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Wright, Jonathan H.; Zhou, Hao - 2022

We find that augmenting a regression of excess bond returns on the term structure of forward rates with a rolling … estimate of the mean realized jump size - identified from high-frequency bond returns using the bi-power variation technique … the conditional distribution of excess bond returns is affected by a state variable that does not lie in the span of the …

Persistent link: https://www.econbiz.de/10014236286

Forward guidance and asset prices

Akkaya, Yıldız; Gürkaynak, Refet S.; Kısacıkoğlu, … - 2015

Persistent link: https://www.econbiz.de/10011375957

Forecasting interest rates with shifting endpoints

Dijk, Dick van; Koopman, Siem Jan; Wel, Michel van der; … - In: Journal of applied econometrics 29 (2014) 5, pp. 693-712

Persistent link: https://www.econbiz.de/10010414859

Forward-Looking Estimates of Interest-Rate Distributions

Wright, Jonathan H. - 2018

This article reviews methods for extracting both risk-neutral and physical density forecasts for interest rates. It presents some applications, with particular focus on issues pertaining to forward guidance and the zero lower bound. Several important applied questions in macroeconomics and...

Persistent link: https://www.econbiz.de/10012931095

Forward-looking estimates of interest-rate distributions

Wright, Jonathan H. - In: Annual review of financial economics 9 (2017), pp. 333-351

Persistent link: https://www.econbiz.de/10011910883

Interest rate conundrums in the twenty-first century

Hanson, Samuel G.; Lucca, David O.; Wright, Jonathan H. - 2017

A large literature argues that long-term interest rates appear to react far more to high-frequency (for example, daily or monthly) movements in short-term interest rates than is predicted by the standard expectations hypothesis. We find that, since 2000, such high-frequency "excess sensitivity"...

Persistent link: https://www.econbiz.de/10011638523

Identification and inference using event studies

Gürkaynak, Refet S.; Wright, Jonathan H. - 2013

Persistent link: https://www.econbiz.de/10009734152

Identification and inference using event studies

Gürkaynak, Refet S.; Wright, Jonathan H. - In: Papers in money, macroeconomics and finance : … 81 (2013), pp. 48-65

Persistent link: https://www.econbiz.de/10010254184

Missing Events in Event Studies : Identifying the Effects of Partially-Measured News Surprises

Gürkaynak, Refet S. - 2018

Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed surprises in headline numbers and latent factors, reflecting other...

Persistent link: https://www.econbiz.de/10012908673

Missing Events in Event Studies : Identifying the Effects of Partially-Measured News Surprises

Gürkaynak, Refet S. - 2018

Persistent link: https://www.econbiz.de/10012911460

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