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 |
1 |
2 |
177 |
An arbitrage-free three-factor term structure model and the recent behavior of long-term yields and distant-horizon forward rates |
0 |
0 |
8 |
908 |
6 |
16 |
58 |
2,021 |
An empirical comparison of Bundesbank and ECB monetary policy rules |
0 |
0 |
1 |
573 |
0 |
1 |
4 |
1,390 |
Asymptotics for GMM Estimators with Weak Instruments |
0 |
0 |
1 |
292 |
0 |
0 |
1 |
1,132 |
Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices |
0 |
0 |
0 |
668 |
0 |
0 |
2 |
1,810 |
Bayesian Model Averaging and exchange rate forecasts |
0 |
0 |
0 |
950 |
1 |
2 |
4 |
2,726 |
Bond risk premia and realized jump volatility |
0 |
0 |
1 |
103 |
0 |
0 |
2 |
303 |
Breaks in the Phillips Curve: Evidence from Panel Data |
0 |
1 |
1 |
1 |
1 |
4 |
4 |
8 |
Breaks in the Phillips Curve: Evidence from Panel Data |
0 |
0 |
2 |
5 |
0 |
0 |
7 |
20 |
Breaks in the Phillips Curve: Evidence from Panel Data |
0 |
0 |
1 |
52 |
3 |
5 |
12 |
54 |
Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset |
0 |
0 |
1 |
168 |
1 |
1 |
6 |
489 |
Confidence intervals for long-horizon predictive regressions via reverse regressions |
0 |
0 |
0 |
31 |
0 |
0 |
1 |
126 |
Cracking the Conundrum |
0 |
0 |
1 |
113 |
2 |
2 |
3 |
335 |
Cracking the Conundrum |
0 |
0 |
0 |
39 |
0 |
1 |
1 |
343 |
Cracking the conundrum |
0 |
0 |
0 |
67 |
1 |
1 |
1 |
223 |
Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach |
0 |
0 |
0 |
104 |
1 |
1 |
2 |
324 |
Credit spreads as predictors of real-time economic activity: a Bayesian Model-Averaging approach |
0 |
0 |
1 |
160 |
2 |
2 |
5 |
192 |
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 |
5 |
371 |
1 |
4 |
17 |
823 |
Evaluating real-time VAR forecasts with an informative democratic prior |
0 |
0 |
0 |
43 |
0 |
0 |
1 |
88 |
Event-day Options |
0 |
1 |
1 |
7 |
0 |
2 |
5 |
40 |
Exact confidence intervals for impulse responses in a Gaussian vector autoregression |
0 |
0 |
0 |
159 |
0 |
0 |
1 |
665 |
Exchange rate forecasting: the errors we've really made |
0 |
0 |
1 |
1,036 |
1 |
2 |
3 |
3,224 |
Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling |
0 |
0 |
3 |
136 |
1 |
1 |
9 |
330 |
Forecasting Interest Rates with Shifting Endpoints |
0 |
0 |
1 |
80 |
1 |
2 |
3 |
201 |
Forecasting U.S. inflation by Bayesian Model Averaging |
0 |
0 |
0 |
774 |
0 |
0 |
1 |
1,946 |
Forecasting professional forecasters |
0 |
0 |
1 |
202 |
0 |
0 |
6 |
470 |
Forward Guidance and Asset Prices |
0 |
0 |
3 |
211 |
0 |
1 |
9 |
506 |
High frequency data, frequency domain inference and volatility forecasting |
0 |
0 |
0 |
544 |
0 |
0 |
1 |
1,197 |
Identification and Inference Using Event Studies |
0 |
1 |
3 |
227 |
0 |
1 |
8 |
446 |
Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data |
0 |
0 |
1 |
176 |
1 |
1 |
3 |
492 |
Identifying the effects of monetary policy shocks on exchange rates using high frequency data |
0 |
0 |
1 |
225 |
1 |
1 |
6 |
600 |
Identifying the effects of monetary policy shocks on exchange rates using high frequency data |
0 |
0 |
0 |
134 |
1 |
1 |
2 |
461 |
Identifying vars based on high frequency futures data |
0 |
0 |
0 |
238 |
1 |
1 |
2 |
745 |
Jumps in Bond Yields at Known Times |
0 |
0 |
0 |
37 |
0 |
0 |
0 |
92 |
Jumps in Bond Yields at Known Times |
0 |
0 |
0 |
16 |
0 |
0 |
1 |
34 |
Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns |
0 |
0 |
0 |
232 |
1 |
1 |
1 |
665 |
Long memory in emerging market stock returns |
0 |
0 |
0 |
198 |
0 |
0 |
0 |
363 |
Macroeconomics and the Term Structure |
0 |
2 |
5 |
227 |
1 |
5 |
12 |
586 |
Market Effects of Central Bank Credit Markets Support Programs in Europe |
1 |
1 |
1 |
14 |
1 |
1 |
1 |
17 |
Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises |
0 |
0 |
0 |
51 |
1 |
1 |
323 |
742 |
Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises |
0 |
0 |
0 |
43 |
2 |
3 |
3 |
71 |
Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises |
0 |
1 |
3 |
34 |
0 |
3 |
7 |
91 |
Monetary Policy in Uncertain Times |
1 |
1 |
11 |
11 |
1 |
3 |
11 |
11 |
News and noise in G-7 GDP announcements |
1 |
1 |
3 |
353 |
2 |
3 |
5 |
1,245 |
Nonlinear Phillips Curves |
0 |
2 |
14 |
14 |
0 |
2 |
9 |
9 |
Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data |
0 |
0 |
0 |
379 |
1 |
1 |
3 |
1,494 |
Predicting sharp depreciations in industrial country exchange rates |
0 |
0 |
0 |
57 |
0 |
0 |
0 |
205 |
Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates |
0 |
0 |
0 |
73 |
0 |
1 |
4 |
198 |
Reasonable Seasonals? Seasonal Echoes in Economic Data after COVID-19 |
0 |
0 |
5 |
46 |
0 |
1 |
8 |
42 |
Refining Set-Identification in VARs through Independence |
0 |
0 |
1 |
15 |
1 |
1 |
4 |
24 |
Refining Set-Identification in VARs through Independence |
0 |
0 |
1 |
30 |
1 |
1 |
3 |
25 |
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 |
1 |
2 |
2 |
223 |
Seasonal Adjustment of NIPA data |
1 |
1 |
1 |
37 |
2 |
3 |
5 |
66 |
Term premiums and inflation uncertainty: empirical evidence from an international panel dataset |
0 |
0 |
4 |
175 |
0 |
1 |
10 |
561 |
Testing the null of identification in GMM |
0 |
0 |
0 |
63 |
0 |
0 |
2 |
194 |
The Economics of Options-Implied Inflation Probability Density Functions |
0 |
0 |
0 |
22 |
2 |
4 |
6 |
95 |
The Economics of Options-Implied Inflation Probability Density Functions |
0 |
0 |
0 |
73 |
1 |
1 |
4 |
228 |
The Economics of Options-Implied Inflation Probability Density Functions |
0 |
0 |
0 |
29 |
0 |
0 |
0 |
133 |
The Federal Reserve’s Current Framework for Monetary Policy: A Review and Assessment |
0 |
0 |
2 |
65 |
0 |
1 |
6 |
193 |
The Narrow Channel of Quantitative Easing: Evidence from YCC Down Under |
0 |
1 |
1 |
12 |
1 |
3 |
9 |
46 |
The Narrow Channel of Quantitative Easing: Evidence from YCC Down Under |
0 |
1 |
1 |
14 |
1 |
2 |
5 |
26 |
The Sensitivity of Long-Term Interest Rates: A Tale of Two Frequencies |
0 |
0 |
2 |
28 |
0 |
1 |
9 |
78 |
The TIPS yield curve and inflation compensation |
0 |
2 |
2 |
598 |
3 |
6 |
10 |
2,094 |
The U.S. Treasury yield curve: 1961 to the present |
3 |
7 |
13 |
1,633 |
5 |
10 |
35 |
6,522 |
The high-frequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market |
0 |
0 |
0 |
313 |
0 |
0 |
1 |
956 |
The high-frequency impact of news on long-term yields and forward rates: Is it real? |
0 |
1 |
1 |
157 |
0 |
1 |
3 |
426 |
The high-frequency response of exchange rates and interest rates to macroeconomic announcements |
0 |
0 |
3 |
552 |
2 |
3 |
12 |
1,600 |
The yield curve and predicting recessions |
0 |
0 |
6 |
416 |
3 |
5 |
21 |
1,177 |
Trading activity and exchange rates in high-frequency EBS data |
0 |
0 |
2 |
243 |
1 |
2 |
10 |
986 |
Unconventional Monetary Policy and International Risk Premia |
0 |
1 |
3 |
161 |
1 |
3 |
8 |
300 |
Uncovered interest parity: it works, but not for long |
0 |
0 |
1 |
556 |
2 |
3 |
6 |
1,661 |
Weather-adjusting employment data |
0 |
0 |
1 |
16 |
2 |
2 |
4 |
57 |
What does Monetary Policy do to Long-Term Interest Rates at the Zero Lower Bound? |
0 |
1 |
5 |
490 |
1 |
2 |
16 |
1,167 |
Total Working Papers |
7 |
27 |
130 |
16,852 |
66 |
136 |
772 |
49,720 |
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 |
2 |
3 |
3 |
8 |
A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments |
0 |
0 |
0 |
0 |
3 |
9 |
33 |
2,208 |
A new estimator of the fractionally integrated stochastic volatility model |
0 |
0 |
0 |
27 |
1 |
1 |
1 |
77 |
Alternative Variance-Ratio Tests Using Ranks and Signs |
0 |
0 |
0 |
0 |
1 |
4 |
11 |
1,170 |
Analyzing cross-validation for forecasting with structural instability |
0 |
0 |
0 |
4 |
0 |
0 |
4 |
11 |
Bayesian Model Averaging and exchange rate forecasts |
0 |
1 |
7 |
255 |
1 |
2 |
13 |
673 |
Bond risk premia and realized jump risk |
0 |
1 |
2 |
61 |
1 |
3 |
6 |
198 |
Comment |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
27 |
Comment |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
21 |
Comment on “Measuring euro area monetary policy” by Carlo Altavilla, Luca Brugnolini, Refet Gürkaynak, Giuseppe Ragusa and Roberto Motto |
0 |
0 |
3 |
29 |
1 |
1 |
6 |
118 |
Comment on “The long and variable lags of monetary policy: Evidence from disaggregated price indices” by S. Borağan Aruoba and Thomas Drechsel |
0 |
1 |
1 |
1 |
2 |
3 |
3 |
3 |
Comparing Greenbook and Reduced Form Forecasts Using a Large Realtime Dataset |
0 |
1 |
3 |
79 |
0 |
1 |
8 |
329 |
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 |
1 |
2 |
161 |
Cracking the Conundrum |
0 |
0 |
0 |
112 |
1 |
2 |
9 |
543 |
Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach |
0 |
1 |
7 |
120 |
1 |
3 |
15 |
398 |
DETECTING LACK OF IDENTIFICATION IN GMM |
0 |
0 |
0 |
65 |
0 |
0 |
0 |
154 |
Do Federal Reserve Policy Surprises Reveal Superior Information about the Economy? |
0 |
1 |
4 |
129 |
1 |
3 |
10 |
550 |
EVALUATING REAL‐TIME VAR FORECASTS WITH AN INFORMATIVE DEMOCRATIC PRIOR |
0 |
1 |
1 |
13 |
0 |
1 |
3 |
52 |
Editors' Report 2011 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
9 |
Editors’ Report 2009 |
0 |
0 |
0 |
6 |
0 |
1 |
1 |
53 |
Editors’ Report 2011 |
0 |
0 |
0 |
19 |
0 |
0 |
0 |
91 |
Efficient Prediction of Excess Returns |
0 |
0 |
0 |
12 |
1 |
1 |
1 |
65 |
Efficient forecast tests for conditional policy forecasts |
0 |
0 |
0 |
88 |
0 |
1 |
6 |
255 |
Evaluating asset-market effects of unconventional monetary policy: a multi-country review |
0 |
0 |
6 |
215 |
0 |
1 |
24 |
554 |
Exchange rate forecasting: the errors we've really made |
0 |
2 |
4 |
288 |
1 |
4 |
11 |
681 |
Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling |
0 |
1 |
4 |
267 |
1 |
4 |
15 |
828 |
Forecasting Professional Forecasters |
1 |
1 |
2 |
94 |
2 |
2 |
9 |
210 |
Forecasting US inflation by Bayesian model averaging |
0 |
0 |
1 |
147 |
0 |
0 |
1 |
373 |
Forecasting With Model Uncertainty: Representations and Risk Reduction |
0 |
0 |
0 |
9 |
0 |
0 |
0 |
67 |
Forecasting interest rates with shifting endpoints |
0 |
0 |
1 |
27 |
0 |
0 |
1 |
98 |
Forward-Looking Estimates of Interest-Rate Distributions |
0 |
0 |
1 |
8 |
0 |
0 |
2 |
35 |
Frequency domain inference for univariate impulse responses |
0 |
0 |
0 |
22 |
0 |
0 |
0 |
65 |
GMM with Weak Identification |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
833 |
HERMIN Ireland |
0 |
0 |
0 |
154 |
0 |
0 |
0 |
491 |
High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting |
0 |
0 |
0 |
190 |
1 |
2 |
3 |
624 |
Identification and Inference Using Event Studies |
0 |
1 |
4 |
290 |
1 |
3 |
10 |
620 |
Identifying VARS based on high frequency futures data |
0 |
0 |
5 |
273 |
0 |
0 |
9 |
620 |
Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data |
0 |
0 |
2 |
157 |
2 |
7 |
11 |
504 |
LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS |
0 |
0 |
0 |
66 |
0 |
0 |
0 |
248 |
Macroeconomics and the Term Structure |
3 |
4 |
13 |
429 |
7 |
9 |
32 |
1,112 |
Missing Events in Event Studies: Identifying the Effects of Partially Measured News Surprises |
1 |
3 |
10 |
46 |
3 |
6 |
23 |
186 |
News and Noise in G-7 GDP Announcements |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
648 |
Options-Implied Probability Density Functions for Real Interest Rates |
0 |
0 |
4 |
18 |
0 |
1 |
10 |
84 |
Order flow and exchange rate dynamics in electronic brokerage system data |
1 |
1 |
2 |
116 |
2 |
2 |
3 |
456 |
REVERSE REGRESSIONS AND LONG‐HORIZON FORECASTING |
0 |
0 |
0 |
0 |
1 |
1 |
8 |
83 |
Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates* |
0 |
0 |
9 |
30 |
0 |
3 |
31 |
129 |
Refining set-identification in VARs through independence |
1 |
1 |
3 |
4 |
2 |
3 |
10 |
11 |
Risk Premia in the 8:30 Economy |
0 |
0 |
0 |
34 |
0 |
0 |
3 |
107 |
STOCHASTIC ORDERS OF MAGNITUDE ASSOCIATED WITH TWO‐STAGE ESTIMATORS OF FRACTIONAL ARIMA SYSTEMS |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data |
0 |
0 |
1 |
90 |
0 |
0 |
3 |
236 |
Some observations on forecasting and policy |
0 |
1 |
1 |
14 |
0 |
3 |
5 |
46 |
State Space Models and MIDAS Regressions |
2 |
3 |
27 |
450 |
2 |
10 |
79 |
1,371 |
Structural stability tests in the linear regression model when the regressors have roots local to unity |
0 |
0 |
0 |
28 |
0 |
1 |
1 |
136 |
THE LOCAL ASYMPTOTIC POWER OF CERTAIN TESTS FOR FRACTIONAL INTEGRATION |
0 |
0 |
0 |
7 |
1 |
1 |
1 |
43 |
Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset |
0 |
1 |
4 |
164 |
0 |
3 |
12 |
473 |
Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Reply |
0 |
0 |
3 |
78 |
1 |
2 |
7 |
279 |
Testing for a Structural Break at Unknown Date with Long‐memory Disturbances |
0 |
0 |
0 |
4 |
1 |
1 |
2 |
16 |
Testing for a Unit Root in the Volatility of Asset Returns |
0 |
0 |
1 |
149 |
0 |
0 |
1 |
373 |
Testing for a unit root in the volatility of asset returns |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
Testing the adequacy of conventional asymptotics in GMM |
0 |
0 |
0 |
18 |
0 |
0 |
2 |
151 |
The CUSUM test based on least squares residuals in regressions with integrated variables |
0 |
0 |
0 |
54 |
1 |
1 |
2 |
157 |
The Extent and Consequences of Federal Reserve Balance Sheet Shrinkage |
0 |
0 |
0 |
1 |
2 |
2 |
4 |
9 |
The Federal Reserve's Current Framework for Monetary Policy: A Review and Assessment |
0 |
0 |
5 |
50 |
1 |
9 |
35 |
223 |
The Limiting Distribution of Post-sample Stability Tests for GMM Estimation When the Potential Break Date Is Unknown |
0 |
0 |
0 |
0 |
1 |
2 |
2 |
115 |
The Narrow Channel of Quantitative Easing: Evidence from YCC Down Under |
0 |
2 |
7 |
7 |
4 |
6 |
15 |
15 |
The TIPS Yield Curve and Inflation Compensation |
0 |
1 |
3 |
333 |
3 |
7 |
23 |
1,409 |
The U.S. Treasury yield curve: 1961 to the present |
2 |
9 |
44 |
774 |
9 |
30 |
157 |
2,519 |
The economics of options-implied inflation probability density functions |
2 |
3 |
8 |
166 |
3 |
6 |
23 |
613 |
The high-frequency impact of news on long-term yields and forward rates: Is it real? |
0 |
1 |
4 |
158 |
1 |
3 |
15 |
487 |
The high-frequency response of exchange rates and interest rates to macroeconomic announcements |
1 |
2 |
19 |
484 |
7 |
18 |
57 |
1,458 |
Trading Activity and Macroeconomic Announcements in High-Frequency Exchange Rate Data |
0 |
0 |
0 |
102 |
0 |
1 |
4 |
295 |
Unconventional Monetary Policy and International Risk Premia |
1 |
1 |
7 |
41 |
4 |
6 |
23 |
134 |
Uncovered interest parity: it works, but not for long |
0 |
0 |
3 |
208 |
1 |
2 |
9 |
583 |
Unseasonal Seasonals? |
0 |
1 |
2 |
13 |
1 |
2 |
6 |
66 |
Weather-Adjusting Economic Data |
1 |
1 |
1 |
12 |
3 |
3 |
6 |
56 |
What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound? |
0 |
0 |
4 |
79 |
2 |
3 |
15 |
271 |
Total Journal Articles |
16 |
47 |
243 |
7,388 |
87 |
211 |
869 |
28,580 |