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Term premia and the news
Bauer, Michael D. - 2011 - Rev.
How do monetary policy expectations and term premia respond to news? This paper provides new answers to this question by means of a dynamic term structure model (DTSM) in which risk prices are restricted. This leads to more precise and more reliable estimates of expectations and term premium...
Persistent link: https://www.econbiz.de/10008859117
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Nominal interest rates and the news
Bauer, Michael D. - 2011
Persistent link: https://www.econbiz.de/10009313232
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Inflation expectations and the news
Bauer, Michael D. - 2014
Persistent link: https://www.econbiz.de/10010340289
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Unbiased estimation of dynamic term structure models
Bauer, Michael D.; Rudebusch, Glenn D.; Wu, Jing Cynthia - 2011
Persistent link: https://www.econbiz.de/10009010468
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The signaling channel for Federal Reserve bond purchases
Bauer, Michael D.; Rudebusch, Glenn D. - 2011
Persistent link: https://www.econbiz.de/10009313230
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Monetary policy expectations at the zero lower bound
Bauer, Michael D.; Rudebusch, Glenn D. - 2013
Persistent link: https://www.econbiz.de/10009791702
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Robust bond risk premia
Bauer, Michael D.; Hamilton, James D. - 2016 - Revised: January 20, 2016
Persistent link: https://www.econbiz.de/10011529375
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Resolving the spanning puzzle in macro-finance term structure models
Bauer, Michael D.; Rudebusch, Glenn D. - 2015
Persistent link: https://www.econbiz.de/10010504116
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International channels of the fed’s unconventional monetary policy
Bauer, Michael D.; Neely, Christopher J. - 2012
Persistent link: https://www.econbiz.de/10009615055
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The Fed's response to economic news explains the "Fed information effect"
Bauer, Michael D.; Swanson, Eric T. - 2020
Persistent link: https://www.econbiz.de/10012182199