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

by Dimitri Vayanos & Jean-Luc Vila

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  1. 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.
  2. Simon Gilchrist & Egon Zakrajšek, 2013. "The Impact of the Federal Reserve's Large‐Scale Asset Purchase Programs on Corporate Credit Risk," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(s2), pages 29-57, December.
  3. Jens H.E. Christensen & Signe Krogstrup, 2015. "Transmission of Quantitative Easing: The Role of Central Bank Reserves," Working Papers 2015-06, Swiss National Bank.
  4. Marcel Fratzscher & Malte Rieth, 2015. "Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area," Discussion Papers of DIW Berlin 1448, DIW Berlin, German Institute for Economic Research.
  5. Jagjit S Chadha & Philip Turner & Fabrizio Zampolli, 2013. "The interest rate effects of government debt maturity," BIS Working Papers 415, Bank for International Settlements.
  6. John C. Williams, 2011. "Unconventional monetary policy: lessons from the past three years," Speech 92, Federal Reserve Bank of San Francisco.
  7. 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.
  8. Mamatzakis, Emmanuel & Bermpei, Theodora, 2016. "What is the effect of unconventional monetary policy on bank performance?," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 239-263.
  9. christiaan Pattipeilohy, 2016. "A comparative analysis of developments in central bank balance sheet composition," BIS Working Papers 559, Bank for International Settlements.
  10. Valiante, Diego, 2015. "The ‘visible hand’ of the ECB’s quantitative easing," CEPS Papers 10611, Centre for European Policy Studies.
  11. Miles, David & Schanz, Jochen, 2014. "Should central banks provide reserves via repos or outright bond purchases?," CEPR Discussion Papers 10229, C.E.P.R. Discussion Papers.
  12. Falagiarda, Matteo & Reitz, Stefan, 2015. "Announcements of ECB unconventional programs: Implications for the sovereign spreads of stressed euro area countries," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 276-295.
  13. Robin Greenwood & Dimitri Vayanos, 2014. "Bond Supply and Excess Bond Returns," Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 663-713.
  14. Eric T. Swanson, 2011. "Let’s twist again: a high-frequency event-study analysis of operation twist and its implications for QE2," Working Paper Series 2011-08, Federal Reserve Bank of San Francisco.
  15. Simon Gilchrist & David López-Salido & Egon Zakrajšek, 2014. "Monetary Policy and Real Borrowing Costs at the Zero Lower Bound," NBER Working Papers 20094, National Bureau of Economic Research, Inc.
  16. John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," Cowles Foundation Discussion Papers 1696, Cowles Foundation for Research in Economics, Yale University.
  17. Fritz Breuss, 2016. "The Crisis Management of the ECB," WIFO Working Papers 507, WIFO.
  18. 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.
  19. Jakree Koosakul, 2016. "Daily Movements in the Thai Yield Curve: Fundamental and Non-Fundamental Drivers," PIER Discussion Papers 30., Puey Ungphakorn Institute for Economic Research, revised Jun 2016.
  20. Kapetanios, George & Mumtaz, Haroon & Stevens, Ibrahim & Theodoridis, Konstantinos, 2012. "Assessing the economy-wide effects of quantitative easing," Bank of England working papers 443, Bank of England.
  21. Stéphane Guibaud & Yves Nosbusch & Dimitri Vayanos, 2013. "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," Review of Financial Studies, Society for Financial Studies, vol. 26(8), pages 1914-1961.
  22. Hayashi, Fumio, 2016. "Affine term structure pricing with bond supply as factors," FRB Atlanta CQER Working Paper 2016-1, Federal Reserve Bank of Atlanta.
  23. Falagiarda, Matteo & Reitz, Stefan, 2013. "Announcements of ECB unconventional programs: Implications for the sovereign risk of Italy," Kiel Working Papers 1866, Kiel Institute for the World Economy (IfW).
  24. Philip Turner, 2014. "The exit from non-conventional monetary policy: what challenges?," BIS Working Papers 448, Bank for International Settlements.
  25. Marco Di Maggio & Amir Kermani & Christopher Palmer, 2016. "How Quantitative Easing Works: Evidence on the Refinancing Channel," NBER Working Papers 22638, National Bureau of Economic Research, Inc.
  26. Weale, Martin & Wieladek, Tomasz, 2015. "What are the macroeconomic effects of asset purchases?," CEPR Discussion Papers 10495, C.E.P.R. Discussion Papers.
  27. Ricardo Reis, 2016. "Funding Quantitative Easing to Target Inflation," Discussion Papers 1626, Centre for Macroeconomics (CFM).
  28. David K. Miles & Jochen Schanz, 2014. "The Relevance or Otherwise of the Central Bank's Balance Sheet," CESifo Working Paper Series 4615, CESifo Group Munich.
  29. Wenxin Du & Jesse Schreger, 2014. "Local Currency Sovereign Risk," Working Paper 102321, Harvard University OpenScholar.
  30. 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.
  31. Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2015. "The Impact of Monetary Policy on Corporate Bonds under Regime Shifts," Working Papers 562, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  32. Giuseppe Grande & Sergio Masciantonio & Andrea Tiseno, 2014. "The interest-rate sensitivity of the demand for sovereign debt. Evidence from OECD countries (1995-2011)," Temi di discussione (Economic working papers) 988, Bank of Italy, Economic Research and International Relations Area.
  33. Marco Del Negro & Gauti Eggertsson & Andrea Ferrero & Nobuhiro Kiyotaki, 2016. "The Great Escape? A Quantitative Evaluation of the Fed’s Liquidity Facilities," NBER Working Papers 22259, National Bureau of Economic Research, Inc.
  34. Christiaan Pattipeilohy, 2016. "A comparative analysis of developments in central bank balance sheet composition," DNB Working Papers 510, Netherlands Central Bank, Research Department.
  35. 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.
  36. James L. Butkiewicz & Mihaela Solcan, 2012. "The Original Operation Twist: The War Finance Corporation's War Bond Purchase, 1918-1920," Working Papers 12-13, University of Delaware, Department of Economics.
  37. Annette Vissing-Jorgensen & Arvind Krishnamurthy, 2011. "The Effects of Quantitative Easing on Long-term Interest Rates," 2011 Meeting Papers 1447, Society for Economic Dynamics.
  38. 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.
  39. Nelson, Edward, 2013. "Friedman's monetary economics in practice," Journal of International Money and Finance, Elsevier, vol. 38(C), pages 59-83.
  40. Schuster, Philipp & Uhrig-Homburg, Marliese, 2015. "Limits to arbitrage and the term structure of bond illiquidity premiums," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 143-159.
  41. Eric T. Swanson & John C. Williams, 2014. "Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates," NBER Working Papers 20486, National Bureau of Economic Research, Inc.
  42. 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.).
  43. Williamson, Stephen D., 2016. "Scarce collateral, the term premium, and quantitative easing," Journal of Economic Theory, Elsevier, vol. 164(C), pages 136-165.
  44. John Driffill, 2016. "Unconventional Monetary Policy in the Euro Zone," Open Economies Review, Springer, vol. 27(2), pages 387-404, April.
  45. Jhuvesh Sobrun & Philip Turner, 2015. "Bond markets and monetary policy dilemmas for the emerging markets," BIS Working Papers 508, Bank for International Settlements.
  46. 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.
  47. Juan A. Montecino & Gerald Epstein, 2015. "Have Large Scale Asset Purchases Increased Bank Profits?," Working Papers Series 5, Institute for New Economic Thinking.
  48. Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2014. "Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model," BAFFI CAREFIN Working Papers 1623, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  49. 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.
  50. 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.
  51. Jack Meaning & James Warren, 2015. "The Transmission of Unconventional Monetary Policy in UK Government Debt Markets," National Institute Economic Review, National Institute of Economic and Social Research, vol. 234(1), pages R40-R47, November.
  52. James D. Hamilton & Jing Cynthia Wu, 2013. "Risk Premia in Crude Oil Futures Prices," NBER Working Papers 19056, National Bureau of Economic Research, Inc.
  53. 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.
  54. Hanson, Samuel G. & Stein, Jeremy C., 2015. "Monetary policy and long-term real rates," Journal of Financial Economics, Elsevier, vol. 115(3), pages 429-448.
  55. 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.
  56. 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.
  57. Edouard Challe & François Le Grand & Xavier Ragot, 2013. "Incomplete markets, liquidation risk, and the term structure of interest rates," PSE Working Papers hal-00843147, HAL.
  58. Seth B. Carpenter & Selva Demiralp & Jane E. Ihrig & Elizabeth C. Klee, 2013. "Analyzing Federal Reserve asset purchases: from whom does the Fed buy?," Finance and Economics Discussion Series 2013-32, Board of Governors of the Federal Reserve System (U.S.).
  59. 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.
  60. Moessner, Richhild, 2015. "Reactions of US government bond yields to explicit FOMC forward guidance," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 217-233.
  61. 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.
  62. 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.
  63. Bank for International Settlements, 2011. "Interactions of sovereign debt management with monetary conditions and financial stability," CGFS Papers, Bank for International Settlements, number 42.
  64. Engen, Eric M. & Laubach, Thomas & Reifschneider, David L., 2015. "The Macroeconomic Effects of the Federal Reserve's Unconventional Monetary Policies," Finance and Economics Discussion Series 2015-5, Board of Governors of the Federal Reserve System (U.S.).
  65. Hess Chung & Jean-Philippe Laforte & David L. Reifschneider & John C. Williams, 2011. "Have we underestimated the likelihood and severity of zero lower bound events?," Working Paper Series 2011-01, Federal Reserve Bank of San Francisco.
  66. Laura Jaramillo & Yuanyan S Zhang, 2013. "Real Money Investors and Sovereign Bond Yields," IMF Working Papers 13/254, International Monetary Fund.
  67. repec:ecb:ecbwps:20141798 is not listed on IDEAS
  68. Eser, Fabian & Schwaab, Bernd, 2013. "Assessing asset purchases within the ECB’s securities markets programme," Working Paper Series 1587, European Central Bank.
  69. Hanson, Samuel G., 2014. "Mortgage convexity," Journal of Financial Economics, Elsevier, vol. 113(2), pages 270-299.
  70. 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.
  71. Simon, Zorka, 2016. "Essays on sovereign bond pricing and inflation-linked products," Other publications TiSEM dc5e8926-32bf-4419-b0e4-d, Tilburg University, School of Economics and Management.
  72. 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.
  73. Jylhä, Petri & Suominen, Matti, 2011. "Speculative capital and currency carry trades," Journal of Financial Economics, Elsevier, vol. 99(1), pages 60-75, January.
  74. Davide Dottori & Michele Manna, 2015. "Strategy and tactics in public debt management," Temi di discussione (Economic working papers) 1005, Bank of Italy, Economic Research and International Relations Area.
  75. 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.
  76. Laura Andrade-Pardo & Oscar Valencia-Arana & Diego Vásquez-Escobar & Mauricio Villamizar-Villegas, 2016. "Uncovering the portfolio balance channel with the use of sovereign credit ratings," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 34(81), pages 191-205, November.
  77. Foley-Fisher, Nathan & Ramcharan, Rodney & Yu, Edison, 2016. "The impact of unconventional monetary policy on firm financing constraints: Evidence from the maturity extension program," Journal of Financial Economics, Elsevier, vol. 122(2), pages 409-429.
  78. 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.).
  79. 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.
  80. 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.
  81. Viktors Ajevskis, 2016. "A Term Structure of Interest Rates Model with Zero Lower Bound and the European Central Bank's Non-standard Monetary Policy Measures," Working Papers 2016/02, Latvijas Banka.
  82. Lim, Jamus Jerome & Mohapatra, Sanket, 2016. "Quantitative easing and the post-crisis surge in financial flows to developing countries," Journal of International Money and Finance, Elsevier, vol. 68(C), pages 331-357.
  83. John Driffill, 2015. "Unconventional Monetary Policy in the Euro Zone," Working Papers Department of Economics 2015/15, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  84. Jacob Boudoukh & Jordan Brooks & Matthew Richardson & Zhikai Xu, 2016. "The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds," NBER Working Papers 22576, National Bureau of Economic Research, Inc.
  85. Carvalho, Daniel & Fidora, Michael, 2015. "Capital inflows and euro area long-term interest rates," Working Paper Series 1798, European Central Bank.
  86. Eser, Fabian & Schwaab, Bernd, 2016. "Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme," Journal of Financial Economics, Elsevier, vol. 119(1), pages 147-167.
  87. Kaoru Hosono & Shogo Isobe, . "The Financial Market Impact of Unconventional Monetary Policies in the U.S., the U.K., the Eurozone, and Japan," Discussion papers ron259, Policy Research Institute, Ministry of Finance Japan.
  88. 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.
  89. Neely, Christopher J., 2015. "Unconventional monetary policy had large international effects," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 101-111.
  90. Thornton, Daniel L., 2014. "QE: is there a portfolio balance effect?," Review, Federal Reserve Bank of St. Louis, vol. 96(1), pages 55-72.
  91. Paulo José Saraiva & Luiz Fernando De Paula & André De Melo Modenesi, 2016. "A Crise Financeira Americana E As Implicações Para A Política Monetária," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42ndd Brazilian Economics Meeting] 114, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  92. Mirdala, Rajmund, 2015. "Decomposing Euro Area Sovereign Debt Yields into Inflation Expectations and Expected Real Interest Rates," MPRA Paper 68866, University Library of Munich, Germany, revised Nov 2015.
  93. Sami Alpanda & Serdar Kabaca, 2015. "International Spillovers of Large-Scale Asset Purchases," Staff Working Papers 15-2, Bank of Canada.
  94. Nyholm, Ken, 2016. "US-euro area term structure spillovers, implications for central banks," Working Paper Series 1980, European Central Bank.
  95. Michael A. S. Joyce & Nick McLaren & Chris Young, 2012. "Quantitative easing in the United Kingdom: evidence from financial markets on QE1 and QE2," Oxford Review of Economic Policy, Oxford University Press, vol. 28(4), pages 671-701, WINTER.
  96. Peiris, M.Udara & Polemarchakis, Herakles, 2015. "Quantitative Easing in an Open Economy : Prices, Exchange Rates and Risk Premia," The Warwick Economics Research Paper Series (TWERPS) 1094, University of Warwick, Department of Economics.
  97. R. S.J. Koijen & F. Koulischer & B. Nguyen & M. Yogo, 2016. "Quantitative Easing in the Euro Area: The Dynamics of Risk Exposures and the Impact on Asset Prices," Working papers 601, Banque de France.
  98. Jotikasthira, Chotibhak & Le, Anh & Lundblad, Christian, 2015. "Why do term structures in different currencies co-move?," Journal of Financial Economics, Elsevier, vol. 115(1), pages 58-83.
  99. 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.).
  100. Daines, Martin & Joyce, Michael & Tong, Matthew, 2012. "QE and the gilt market: a disaggregated analysis," Bank of England working papers 466, Bank of England.
  101. Blattner, Tobias & Joyce, Michael A. S., 2016. "Net debt supply shocks in the euro area and the implications for QE," Working Paper Series 1957, European Central Bank.
  102. Kühl, Michael, 2016. "The effects of government bond purchases on leverage constraints of banks and non-financial firms," Discussion Papers 38/2016, Deutsche Bundesbank, Research Centre.
  103. Hau, Harald, 2014. "The exchange rate effect of multi-currency risk arbitrage," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 304-331.
  104. 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.
  105. 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.).
  106. 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.
  107. Joseph E. Gagnon & Matthew Raskin & Julie Remache & Brian P. 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.
  108. Christopher Bowdler & Amar Radia, 2012. "Unconventional monetary policy: the assessment," Oxford Review of Economic Policy, Oxford University Press, vol. 28(4), pages 603-621, WINTER.
  109. 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.
  110. Claudio Borio & Anna Zabai, 2016. "Unconventional monetary policies: a re-appraisal," BIS Working Papers 570, Bank for International Settlements.
  111. 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.
  112. Philippe Mueller & Andrea Vedolin & Hao Zhou, 2011. "Short Run Bond Risk Premia," FMG Discussion Papers dp686, Financial Markets Group.
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