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Citations for "A Preferred-Habitat Model of the Term Structure of Interest Rates"

by Jean-Luc Vila & Dimitri Vayanos

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  1. Robin Greenwood & Dimitri Vayanos, 2008. "Bond supply and excess bond returns," LSE Research Online Documents on Economics 24425, London School of Economics and Political Science, LSE Library.
  2. Simon Gilchrist & Egon Zakrajsek, 2013. "The impact of the Federal Reserve's Large-Scale Asset Purchase programs on corporate credit risk," Finance and Economics Discussion Series 2013-56, Board of Governors of the Federal Reserve System (U.S.).
  3. Iryna Kaminska & Gabriele Zinna, 2014. "Official Demand for U.S. Debt: Implications for U.S. Real Interest Rates," IMF Working Papers 14/66, International Monetary Fund.
  4. Daniel Carvalho & Michael Fidora, 2014. "Capital inflows and euro area long-term interest rates," Working Papers w201410, Banco de Portugal, Economics and Research Department.
  5. D’Amico, Stefania & King, Thomas B., 2013. "Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply," Journal of Financial Economics, Elsevier, vol. 108(2), pages 425-448.
  6. David Miles & Jochen Schanz, 2013. "The Relevance or Otherwise of the Central Bank's Balance Sheet," NBER Chapters, in: NBER International Seminar on Macroeconomics 2013, pages 103-116 National Bureau of Economic Research, Inc.
  7. Christensen, Jens H.E. & Krogstrup, Signe, 2014. "Swiss unconventional monetary policy: lessons for the transmission of quantitative easing," Working Paper Series 2014-18, Federal Reserve Bank of San Francisco.
  8. Hamilton, James D. & Wu, Jing Cynthia, 2014. "Risk premia in crude oil futures prices," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 9-37.
  9. Michael F. Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley E. Zin, 2007. "Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models," NBER Working Papers 13245, National Bureau of Economic Research, Inc.
  10. John Campbell & Robert Shiller & Luis Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," Yale School of Management Working Papers amz2587, Yale School of Management.
  11. Chabot, Benjamin & Herman, Gabe, 2013. "A History of Large-Scale Asset Purchases before the Federal Reserve," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q IV, pages 140-152.
  12. Jonathan H. Wright, 2011. "What does Monetary Policy do to Long-Term Interest Rates at the Zero Lower Bound?," NBER Working Papers 17154, National Bureau of Economic Research, Inc.
  13. Stéphane Guibaud & Yves Nosbusch & Dimitri Vayanos, 2013. "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," NBER Working Papers 18922, National Bureau of Economic Research, Inc.
  14. Jagjit S Chadha & Philip Turner & Fabrizio Zampolli, 2013. "The interest rate effects of government debt maturity," BIS Working Papers 415, Bank for International Settlements.
  15. Gilchrist, Simon & Lopez-Salido, J. David & Zakrajsek, Egon, 2013. "Monetary Policy and Real Borrowing Costs at the Zero Lower Bound," Finance and Economics Discussion Series 2014-3, Board of Governors of the Federal Reserve System (U.S.).
  16. Carolin E. Pflueger & Luis M. Viceira, 2011. "Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity," NBER Working Papers 16892, National Bureau of Economic Research, Inc.
  17. Joyce, Michael, 2012. "Quantitative easing and other unconventional monetary policies: Bank of England conference summary," Bank of England Quarterly Bulletin, Bank of England, vol. 52(1), pages 48-56.
  18. Michael A. S. Joyce & Ana Lasaosa & Ibrahim Stevens & Matthew Tong, 2011. "The Financial Market Impact of Quantitative Easing in the United Kingdom," International Journal of Central Banking, International Journal of Central Banking, vol. 7(3), pages 113-161, September.
  19. Rieth, Malte & Fratzscher, Marcel, 2014. "Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100277, Verein für Socialpolitik / German Economic Association.
  20. Joseph Gagnon & Matthew Raskin & Julie Remache & Brian Sack, 2011. "Large-scale asset purchases by the Federal Reserve: did they work?," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 41-59.
  21. Michael E. Cahill & Stefania D’Amico & Canlin Li & John S. Sears, 2013. "Duration risk versus local supply channel in Treasury yields: evidence from the Federal Reserve's asset purchase announcements," Finance and Economics Discussion Series 2013-35, Board of Governors of the Federal Reserve System (U.S.).
  22. Jylhä, Petri & Suominen, Matti, 2011. "Speculative capital and currency carry trades," Journal of Financial Economics, Elsevier, vol. 99(1), pages 60-75, January.
  23. Kazuo Nishimura & Carine Nourry & Thomas Seegmuller & Alain Venditti, 2014. "On the (De)Stabilizing Effect of Public Debt in a Ramsey Model with Heterogeneous Agents," Working Papers halshs-01059567, HAL.
  24. Mark Gertler & Peter Karadi, 2013. "QE 1 vs. 2 vs. 3. . . : A Framework for Analyzing Large-Scale Asset Purchases as a Monetary Policy Tool," International Journal of Central Banking, International Journal of Central Banking, vol. 9(1), pages 5-53, January.
  25. Michael D. Bauer & Glenn D. Rudebusch, 2014. "The Signaling Channel for Federal Reserve Bond Purchases," International Journal of Central Banking, International Journal of Central Banking, vol. 10(3), pages 233-289, September.
  26. Hess Chung & Jean‐Philippe Laforte & David Reifschneider & John C. Williams, 2012. "Have We Underestimated the Likelihood and Severity of Zero Lower Bound Events?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44, pages 47-82, 02.
  27. Challe, Edouard & Le Grand, François & Ragot, Xavier, 2013. "Incomplete markets, liquidation risk, and the term structure of interest rates," Journal of Economic Theory, Elsevier, vol. 148(6), pages 2483-2519.
  28. Philippe Mueller & Andrea Vedolin & Hao Zhou, 2011. "Short Run Bond Risk Premia," FMG Discussion Papers dp686, Financial Markets Group.
  29. Marco Del Negro & Gauti Eggertsson & Andrea Ferrero & Nobuhiro Kiyotaki, 2011. "The great escape? A quantitative evaluation of the Fed’s liquidity facilities," Staff Reports 520, Federal Reserve Bank of New York.
  30. John Williams & Eric Swanson, 2012. "Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates," 2012 Meeting Papers 462, Society for Economic Dynamics.
  31. Rogers, John H. & Scotti, Chiara & Wright, Jonathan H., 2014. "Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison," International Finance Discussion Papers 1101, Board of Governors of the Federal Reserve System (U.S.).
  32. Banerjee, Ryan & McLaren, Nick, 2012. "Using changes in auction maturity sectors to help identify the impact of QE on gilt yields," Bank of England Quarterly Bulletin, Bank of England, vol. 52(2), pages 129-137.
  33. Li, Canlin & Wei, Min, 2014. "Term Structure Modeling with Supply Factors and the Federal Reserve's Large Scale Asset Purchase Programs," Finance and Economics Discussion Series 2014-7, Board of Governors of the Federal Reserve System (U.S.).
  34. Joyce, Michael & Liu, Zhuoshi & Tonks, Ian, 2014. "Institutional investor portfolio allocation, quantitative easing and the global financial crisis," Bank of England working papers 510, Bank of England.
  35. George Kapetanios & Haroon Mumtaz & Ibrahim Stevens & Konstantinos Theodoridis, 2012. "Assessing the Economy‐wide Effects of Quantitative Easing," Economic Journal, Royal Economic Society, vol. 122(564), pages F316-F347, November.
  36. Stefania D'Amico & Thomas B. King, 2012. "Flow and stock effects of large-scale asset purchases: evidence on the importance of local supply," Finance and Economics Discussion Series 2012-44, Board of Governors of the Federal Reserve System (U.S.).
  37. Du, Wenxin & Schreger, Jesse, 2013. "Local Currency Sovereign Risk," International Finance Discussion Papers 1094, Board of Governors of the Federal Reserve System (U.S.).
  38. Michael A.S. Joyce & Matthew Tong, 2012. "QE and the Gilt Market: a Disaggregated Analysis," Economic Journal, Royal Economic Society, vol. 122(564), pages F348-F384, November.
  39. Ellison, Martin & Tischbirek, Andreas, 2014. "Unconventional government debt purchases as a supplement to conventional monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 43(C), pages 199-217.
  40. Hau, Harald, 2009. "The Exchange Rate Effect of Multi-Currency Risk Arbitrage," CEPR Discussion Papers 7348, C.E.P.R. Discussion Papers.
  41. Fabrizio Zampolli, 2012. "Sovereign debt management as an instrument of monetary policy: an overview," BIS Papers chapters, in: Bank for International Settlements (ed.), Threat of fiscal dominance?, volume 65, pages 97-118 Bank for International Settlements.
  42. Edward Nelson, 2011. "Friedman's monetary economics in practice," Finance and Economics Discussion Series 2011-26, Board of Governors of the Federal Reserve System (U.S.).
  43. Kettemann, Andreas & Krogstrup, Signe, 2014. "Portfolio balance effects of the Swiss National Bank’s bond purchase program," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 132-149.
  44. Laura Jaramillo & Yuanyan Sophia Zhang, 2013. "Real Money Investors and Sovereign Bond Yields," IMF Working Papers 13/254, International Monetary Fund.
  45. Xavier Gabaix, 2008. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," NBER Working Papers 13724, National Bureau of Economic Research, Inc.
  46. Michael Joyce & David Miles & Andrew Scott & Dimitri Vayanos, 2012. "Quantitative Easing and Unconventional Monetary Policy – an Introduction," Economic Journal, Royal Economic Society, vol. 122(564), pages F271-F288, November.
  47. Philip Turner, 2014. "The exit from non-conventional monetary policy: what challenges?," BIS Working Papers 448, Bank for International Settlements.
  48. Christoph Trebesch & Jeromin Zettelmeyer, 2014. "ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds," CESifo Working Paper Series 4731, CESifo Group Munich.
  49. John C. Williams, 2011. "Unconventional monetary policy: lessons from the past three years," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue oct3.
  50. Eser, Fabian & Schwaab, Bernd, 2013. "Assessing asset purchases within the ECB’s securities markets programme," Working Paper Series 1587, European Central Bank.
  51. Sami Alpanda & Serdar Kabaca, 2015. "International Spillovers of Large-Scale Asset Purchases," Working Papers 15-2, Bank of Canada.
  52. Thornton, Daniel L., 2014. "QE: is there a portfolio balance effect?," Review, Federal Reserve Bank of St. Louis, vol. 96(1), pages 55-72.
  53. Martina Cecioni & Giuseppe Ferrero & Alessandro Secchi, 2011. "Unconventional Monetary Policy in Theory and in Practice," Questioni di Economia e Finanza (Occasional Papers) 102, Bank of Italy, Economic Research and International Relations Area.
  54. Jagjit S. Chadha & Philip Turner & Fabrizio Zampolli, 2013. "The ties that bind: monetary policy and government debt management," Oxford Review of Economic Policy, Oxford University Press, vol. 29(3), pages 548-581, AUTUMN.
  55. Bank for International Settlements, 2011. "Interactions of sovereign debt management with monetary conditions and financial stability," CGFS Papers, Bank for International Settlements, number 42, April.
  56. Carlo Rosa, 2012. "How "unconventional" are large-scale asset purchases? The impact of monetary policy on asset prices," Staff Reports 560, Federal Reserve Bank of New York.
  57. Michael T. Kiley, 2014. "The Aggregate Demand Effects of Short- and Long-Term Interest Rates," International Journal of Central Banking, International Journal of Central Banking, vol. 10(4), pages 69-104, December.
  58. Lo Duca, Marco & Nicoletti, Giulio & Vidal Martinez, Ariadna, 2014. "Global corporate bond issuance: what role for US quantitative easing?," Working Paper Series 1649, European Central Bank.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.