| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A simple approach to robust inference in a cointegrating system |
0 |
0 |
0 |
84 |
0 |
0 |
1 |
175 |
| An arbitrage-free three-factor term structure model and the recent behavior of long-term yields and distant-horizon forward rates |
0 |
1 |
15 |
904 |
3 |
13 |
87 |
1,990 |
| An empirical comparison of Bundesbank and ECB monetary policy rules |
0 |
0 |
5 |
573 |
1 |
1 |
6 |
1,388 |
| Asymptotics for GMM Estimators with Weak Instruments |
0 |
1 |
1 |
292 |
0 |
1 |
1 |
1,132 |
| Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices |
0 |
0 |
0 |
668 |
1 |
2 |
3 |
1,810 |
| Bayesian Model Averaging and exchange rate forecasts |
0 |
0 |
1 |
950 |
1 |
2 |
6 |
2,724 |
| Bond risk premia and realized jump volatility |
0 |
0 |
0 |
102 |
0 |
0 |
1 |
301 |
| Breaks in the Phillips Curve: Evidence from Panel Data |
0 |
0 |
3 |
51 |
0 |
0 |
13 |
45 |
| Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset |
0 |
0 |
2 |
167 |
1 |
1 |
11 |
487 |
| Confidence intervals for long-horizon predictive regressions via reverse regressions |
0 |
0 |
0 |
31 |
0 |
0 |
2 |
125 |
| Cracking the Conundrum |
1 |
1 |
2 |
113 |
1 |
1 |
4 |
333 |
| Cracking the Conundrum |
0 |
0 |
0 |
39 |
0 |
0 |
0 |
342 |
| Cracking the conundrum |
0 |
0 |
0 |
67 |
0 |
0 |
0 |
222 |
| Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach |
0 |
0 |
0 |
104 |
0 |
0 |
1 |
323 |
| Credit spreads as predictors of real-time economic activity: a Bayesian Model-Averaging approach |
0 |
0 |
1 |
160 |
0 |
0 |
1 |
188 |
| Detecting lack of identification in GMM |
0 |
0 |
0 |
283 |
0 |
0 |
0 |
635 |
| Efficient Prediction of Excess Returns |
0 |
0 |
0 |
152 |
0 |
0 |
1 |
454 |
| Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison |
0 |
1 |
3 |
369 |
1 |
3 |
12 |
814 |
| Evaluating real-time VAR forecasts with an informative democratic prior |
0 |
0 |
1 |
43 |
0 |
0 |
2 |
88 |
| Event-day Options |
0 |
0 |
0 |
6 |
1 |
1 |
4 |
36 |
| Exact confidence intervals for impulse responses in a Gaussian vector autoregression |
0 |
0 |
0 |
159 |
0 |
0 |
1 |
664 |
| Exchange rate forecasting: the errors we've really made |
0 |
0 |
3 |
1,036 |
0 |
0 |
8 |
3,222 |
| Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling |
0 |
1 |
5 |
136 |
0 |
3 |
13 |
329 |
| Forecasting Interest Rates with Shifting Endpoints |
0 |
0 |
1 |
80 |
0 |
0 |
2 |
199 |
| Forecasting U.S. inflation by Bayesian Model Averaging |
0 |
0 |
0 |
774 |
0 |
0 |
3 |
1,945 |
| Forecasting professional forecasters |
0 |
0 |
2 |
202 |
2 |
2 |
5 |
468 |
| Forward Guidance and Asset Prices |
0 |
0 |
3 |
210 |
0 |
0 |
4 |
500 |
| High frequency data, frequency domain inference and volatility forecasting |
0 |
0 |
0 |
544 |
1 |
1 |
2 |
1,197 |
| Identification and Inference Using Event Studies |
1 |
2 |
6 |
226 |
3 |
4 |
18 |
444 |
| Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data |
1 |
1 |
3 |
176 |
1 |
2 |
6 |
491 |
| Identifying the effects of monetary policy shocks on exchange rates using high frequency data |
0 |
0 |
0 |
224 |
0 |
1 |
3 |
597 |
| Identifying the effects of monetary policy shocks on exchange rates using high frequency data |
0 |
0 |
0 |
134 |
1 |
1 |
1 |
460 |
| Identifying vars based on high frequency futures data |
0 |
0 |
1 |
238 |
0 |
1 |
4 |
744 |
| Jumps in Bond Yields at Known Times |
0 |
0 |
0 |
16 |
0 |
0 |
0 |
33 |
| Jumps in Bond Yields at Known Times |
0 |
0 |
0 |
37 |
0 |
0 |
1 |
92 |
| Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns |
0 |
0 |
0 |
232 |
0 |
0 |
1 |
664 |
| Long memory in emerging market stock returns |
0 |
0 |
0 |
198 |
0 |
0 |
0 |
363 |
| Macroeconomics and the Term Structure |
0 |
1 |
9 |
224 |
0 |
1 |
14 |
578 |
| Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises |
1 |
1 |
2 |
33 |
1 |
1 |
4 |
87 |
| Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises |
0 |
0 |
0 |
43 |
0 |
0 |
2 |
68 |
| Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises |
0 |
0 |
0 |
51 |
33 |
164 |
512 |
740 |
| News and noise in G-7 GDP announcements |
0 |
0 |
2 |
351 |
0 |
0 |
2 |
1,241 |
| Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data |
0 |
0 |
0 |
379 |
0 |
0 |
3 |
1,492 |
| Predicting sharp depreciations in industrial country exchange rates |
0 |
0 |
0 |
57 |
0 |
0 |
1 |
205 |
| Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates |
0 |
0 |
1 |
73 |
0 |
1 |
4 |
197 |
| Reasonable Seasonals? Seasonal Echoes in Economic Data after COVID-19 |
0 |
0 |
5 |
43 |
0 |
0 |
6 |
36 |
| Refining Set-Identification in VARs through Independence |
0 |
0 |
2 |
15 |
0 |
0 |
3 |
22 |
| Refining Set-Identification in VARs through Independence |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
21 |
| Rounding and the impact of news: a simple test of market rationality |
0 |
0 |
0 |
49 |
0 |
0 |
1 |
221 |
| Seasonal Adjustment of NIPA data |
0 |
0 |
0 |
36 |
0 |
2 |
3 |
63 |
| Term premiums and inflation uncertainty: empirical evidence from an international panel dataset |
0 |
0 |
4 |
175 |
0 |
0 |
10 |
558 |
| Testing the null of identification in GMM |
0 |
0 |
0 |
63 |
0 |
0 |
1 |
192 |
| The Economics of Options-Implied Inflation Probability Density Functions |
0 |
0 |
0 |
29 |
0 |
0 |
1 |
133 |
| The Economics of Options-Implied Inflation Probability Density Functions |
0 |
0 |
0 |
22 |
0 |
0 |
0 |
89 |
| The Economics of Options-Implied Inflation Probability Density Functions |
0 |
0 |
1 |
73 |
0 |
0 |
6 |
225 |
| The Federal Reserve’s Current Framework for Monetary Policy: A Review and Assessment |
0 |
0 |
2 |
64 |
0 |
1 |
5 |
190 |
| The Narrow Channel of Quantitative Easing: Evidence from YCC Down Under |
0 |
0 |
1 |
11 |
0 |
3 |
6 |
42 |
| The Sensitivity of Long-Term Interest Rates: A Tale of Two Frequencies |
0 |
1 |
1 |
27 |
0 |
3 |
10 |
75 |
| The TIPS yield curve and inflation compensation |
0 |
0 |
0 |
596 |
0 |
0 |
8 |
2,087 |
| The U.S. Treasury yield curve: 1961 to the present |
1 |
2 |
9 |
1,624 |
4 |
7 |
38 |
6,504 |
| The high-frequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market |
0 |
0 |
1 |
313 |
0 |
0 |
2 |
956 |
| The high-frequency impact of news on long-term yields and forward rates: Is it real? |
0 |
0 |
1 |
156 |
0 |
0 |
4 |
424 |
| The high-frequency response of exchange rates and interest rates to macroeconomic announcements |
1 |
2 |
5 |
552 |
1 |
4 |
14 |
1,596 |
| The yield curve and predicting recessions |
3 |
3 |
3 |
413 |
3 |
4 |
13 |
1,163 |
| Trading activity and exchange rates in high-frequency EBS data |
0 |
1 |
2 |
242 |
1 |
5 |
13 |
982 |
| Unconventional Monetary Policy and International Risk Premia |
1 |
1 |
4 |
160 |
1 |
1 |
9 |
296 |
| Uncovered interest parity: it works, but not for long |
0 |
1 |
3 |
556 |
1 |
2 |
11 |
1,658 |
| Weather-adjusting employment data |
0 |
1 |
3 |
16 |
0 |
2 |
7 |
55 |
| What does Monetary Policy do to Long-Term Interest Rates at the Zero Lower Bound? |
0 |
2 |
6 |
489 |
0 |
5 |
17 |
1,163 |
| Total Working Papers |
10 |
24 |
125 |
16,719 |
63 |
246 |
958 |
49,383 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A New Test for Structural Stability Based on Recursive Residuals |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
| A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments |
0 |
0 |
0 |
0 |
5 |
9 |
23 |
2,190 |
| A new estimator of the fractionally integrated stochastic volatility model |
0 |
0 |
0 |
27 |
0 |
0 |
0 |
76 |
| Alternative Variance-Ratio Tests Using Ranks and Signs |
0 |
0 |
0 |
0 |
3 |
3 |
11 |
1,164 |
| Bayesian Model Averaging and exchange rate forecasts |
0 |
0 |
6 |
253 |
1 |
1 |
16 |
669 |
| Bond risk premia and realized jump risk |
0 |
0 |
1 |
59 |
0 |
0 |
1 |
192 |
| Comment |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
27 |
| Comment |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
19 |
| Comment on “Measuring euro area monetary policy” by Carlo Altavilla, Luca Brugnolini, Refet Gürkaynak, Giuseppe Ragusa and Roberto Motto |
0 |
0 |
2 |
27 |
0 |
0 |
9 |
115 |
| Comparing Greenbook and Reduced Form Forecasts Using a Large Realtime Dataset |
0 |
0 |
2 |
77 |
0 |
1 |
7 |
325 |
| Confidence Intervals for Univariate Impulse Responses with a Near Unit Root |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
200 |
| Confidence Sets for Cointegrating Coefficients Based on Stationarity Tests |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
159 |
| Cracking the Conundrum |
0 |
0 |
0 |
112 |
2 |
2 |
15 |
539 |
| Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach |
1 |
2 |
6 |
116 |
1 |
4 |
14 |
390 |
| DETECTING LACK OF IDENTIFICATION IN GMM |
0 |
0 |
0 |
65 |
0 |
0 |
1 |
154 |
| Do Federal Reserve Policy Surprises Reveal Superior Information about the Economy? |
0 |
0 |
3 |
126 |
1 |
1 |
10 |
544 |
| EVALUATING REAL‐TIME VAR FORECASTS WITH AN INFORMATIVE DEMOCRATIC PRIOR |
0 |
0 |
0 |
12 |
0 |
0 |
0 |
49 |
| Editors' Report 2011 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
9 |
| Editors’ Report 2009 |
0 |
0 |
0 |
6 |
0 |
0 |
0 |
52 |
| Editors’ Report 2011 |
0 |
0 |
0 |
19 |
0 |
0 |
0 |
91 |
| Efficient Prediction of Excess Returns |
0 |
0 |
0 |
12 |
0 |
0 |
0 |
64 |
| Efficient forecast tests for conditional policy forecasts |
0 |
0 |
1 |
88 |
1 |
1 |
9 |
253 |
| Evaluating asset-market effects of unconventional monetary policy: a multi-country review |
1 |
2 |
5 |
214 |
3 |
11 |
17 |
547 |
| Exchange rate forecasting: the errors we've really made |
0 |
0 |
2 |
285 |
1 |
2 |
12 |
674 |
| Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling |
0 |
0 |
6 |
266 |
0 |
2 |
12 |
820 |
| Forecasting Professional Forecasters |
0 |
0 |
4 |
93 |
0 |
4 |
12 |
207 |
| Forecasting US inflation by Bayesian model averaging |
1 |
1 |
1 |
147 |
1 |
1 |
2 |
373 |
| Forecasting With Model Uncertainty: Representations and Risk Reduction |
0 |
0 |
0 |
9 |
0 |
0 |
2 |
67 |
| Forecasting interest rates with shifting endpoints |
0 |
0 |
2 |
27 |
0 |
0 |
3 |
98 |
| Forward-Looking Estimates of Interest-Rate Distributions |
0 |
0 |
1 |
7 |
0 |
0 |
1 |
33 |
| Frequency domain inference for univariate impulse responses |
0 |
0 |
0 |
22 |
0 |
0 |
0 |
65 |
| GMM with Weak Identification |
0 |
0 |
0 |
0 |
1 |
2 |
7 |
832 |
| HERMIN Ireland |
0 |
0 |
0 |
154 |
0 |
0 |
0 |
491 |
| High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting |
0 |
0 |
0 |
190 |
0 |
0 |
3 |
621 |
| Identification and Inference Using Event Studies |
1 |
2 |
6 |
288 |
3 |
4 |
13 |
614 |
| Identifying VARS based on high frequency futures data |
0 |
2 |
8 |
270 |
0 |
3 |
19 |
616 |
| Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data |
0 |
0 |
2 |
157 |
1 |
1 |
5 |
496 |
| LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS |
0 |
0 |
0 |
66 |
0 |
0 |
3 |
248 |
| Macroeconomics and the Term Structure |
0 |
3 |
8 |
422 |
1 |
6 |
20 |
1,092 |
| Missing Events in Event Studies: Identifying the Effects of Partially Measured News Surprises |
2 |
4 |
8 |
42 |
4 |
7 |
16 |
173 |
| News and Noise in G-7 GDP Announcements |
0 |
0 |
0 |
0 |
0 |
2 |
6 |
647 |
| Options-Implied Probability Density Functions for Real Interest Rates |
0 |
0 |
1 |
15 |
2 |
2 |
10 |
77 |
| Order flow and exchange rate dynamics in electronic brokerage system data |
0 |
1 |
2 |
115 |
0 |
1 |
5 |
454 |
| REVERSE REGRESSIONS AND LONG‐HORIZON FORECASTING |
0 |
0 |
0 |
0 |
0 |
3 |
8 |
80 |
| Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates* |
0 |
0 |
6 |
23 |
2 |
5 |
28 |
111 |
| Risk Premia in the 8:30 Economy |
0 |
0 |
2 |
34 |
1 |
1 |
7 |
106 |
| Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data |
0 |
1 |
1 |
90 |
0 |
2 |
2 |
235 |
| Some observations on forecasting and policy |
0 |
0 |
0 |
13 |
0 |
1 |
3 |
42 |
| State Space Models and MIDAS Regressions |
2 |
9 |
43 |
443 |
4 |
20 |
107 |
1,345 |
| Structural stability tests in the linear regression model when the regressors have roots local to unity |
0 |
0 |
0 |
28 |
0 |
0 |
0 |
135 |
| THE LOCAL ASYMPTOTIC POWER OF CERTAIN TESTS FOR FRACTIONAL INTEGRATION |
0 |
0 |
0 |
7 |
0 |
0 |
0 |
42 |
| Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset |
0 |
1 |
6 |
162 |
2 |
3 |
20 |
467 |
| Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Reply |
0 |
1 |
3 |
77 |
0 |
1 |
5 |
275 |
| Testing for a Structural Break at Unknown Date with Long‐memory Disturbances |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
14 |
| Testing for a Unit Root in the Volatility of Asset Returns |
0 |
0 |
1 |
149 |
0 |
0 |
1 |
373 |
| Testing the adequacy of conventional asymptotics in GMM |
0 |
0 |
0 |
18 |
0 |
0 |
0 |
149 |
| The CUSUM test based on least squares residuals in regressions with integrated variables |
0 |
0 |
0 |
54 |
1 |
1 |
1 |
156 |
| The Federal Reserve's Current Framework for Monetary Policy: A Review and Assessment |
1 |
3 |
6 |
49 |
3 |
11 |
34 |
206 |
| The Limiting Distribution of Post-sample Stability Tests for GMM Estimation When the Potential Break Date Is Unknown |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
113 |
| The TIPS Yield Curve and Inflation Compensation |
0 |
1 |
2 |
332 |
1 |
6 |
20 |
1,399 |
| The U.S. Treasury yield curve: 1961 to the present |
1 |
12 |
61 |
755 |
9 |
40 |
205 |
2,457 |
| The economics of options-implied inflation probability density functions |
0 |
1 |
4 |
159 |
0 |
4 |
13 |
596 |
| The high-frequency impact of news on long-term yields and forward rates: Is it real? |
0 |
0 |
3 |
154 |
0 |
2 |
12 |
477 |
| The high-frequency response of exchange rates and interest rates to macroeconomic announcements |
2 |
5 |
23 |
479 |
4 |
15 |
52 |
1,432 |
| Trading Activity and Macroeconomic Announcements in High-Frequency Exchange Rate Data |
0 |
0 |
1 |
102 |
0 |
1 |
4 |
294 |
| Unconventional Monetary Policy and International Risk Premia |
0 |
2 |
9 |
39 |
3 |
8 |
23 |
123 |
| Uncovered interest parity: it works, but not for long |
0 |
0 |
4 |
207 |
0 |
0 |
11 |
580 |
| Unseasonal Seasonals? |
0 |
1 |
1 |
12 |
0 |
2 |
4 |
62 |
| Weather-Adjusting Economic Data |
0 |
0 |
0 |
11 |
0 |
0 |
4 |
52 |
| What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound? |
0 |
0 |
3 |
77 |
1 |
2 |
12 |
264 |
| Total Journal Articles |
12 |
54 |
256 |
7,266 |
62 |
198 |
862 |
28,116 |
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