| 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 |
2 |
177 |
| An arbitrage-free three-factor term structure model and the recent behavior of long-term yields and distant-horizon forward rates |
1 |
4 |
11 |
915 |
8 |
21 |
72 |
2,059 |
| An empirical comparison of Bundesbank and ECB monetary policy rules |
0 |
0 |
1 |
574 |
0 |
0 |
5 |
1,392 |
| Asymptotics for GMM Estimators with Weak Instruments |
0 |
0 |
0 |
292 |
1 |
1 |
1 |
1,133 |
| Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices |
1 |
2 |
2 |
670 |
2 |
5 |
6 |
1,815 |
| Bayesian Model Averaging and exchange rate forecasts |
0 |
0 |
0 |
950 |
0 |
1 |
5 |
2,728 |
| Bond risk premia and realized jump volatility |
0 |
0 |
1 |
103 |
0 |
0 |
3 |
304 |
| Breaks in the Phillips Curve: Evidence from Panel Data |
0 |
1 |
3 |
54 |
0 |
2 |
14 |
59 |
| Breaks in the Phillips Curve: Evidence from Panel Data |
0 |
0 |
0 |
5 |
0 |
1 |
5 |
21 |
| Breaks in the Phillips Curve: Evidence from Panel Data |
0 |
1 |
2 |
2 |
0 |
2 |
8 |
12 |
| Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset |
0 |
0 |
1 |
168 |
0 |
1 |
4 |
490 |
| Confidence intervals for long-horizon predictive regressions via reverse regressions |
0 |
0 |
0 |
31 |
0 |
2 |
4 |
129 |
| Cracking the Conundrum |
0 |
0 |
0 |
39 |
0 |
0 |
1 |
343 |
| Cracking the Conundrum |
0 |
0 |
1 |
113 |
0 |
0 |
3 |
335 |
| Cracking the conundrum |
0 |
0 |
0 |
67 |
0 |
0 |
1 |
223 |
| Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach |
0 |
1 |
1 |
105 |
1 |
3 |
4 |
327 |
| Credit spreads as predictors of real-time economic activity: a Bayesian Model-Averaging approach |
0 |
1 |
1 |
161 |
0 |
1 |
5 |
193 |
| Detecting lack of identification in GMM |
0 |
0 |
0 |
283 |
0 |
1 |
2 |
637 |
| Efficient Prediction of Excess Returns |
0 |
0 |
0 |
152 |
0 |
1 |
1 |
455 |
| Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison |
0 |
1 |
3 |
372 |
3 |
4 |
19 |
832 |
| Evaluating real-time VAR forecasts with an informative democratic prior |
0 |
0 |
0 |
43 |
0 |
0 |
0 |
88 |
| Event-day Options |
0 |
0 |
1 |
7 |
0 |
0 |
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 |
0 |
1,036 |
1 |
1 |
3 |
3,225 |
| Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling |
0 |
0 |
0 |
136 |
1 |
1 |
3 |
332 |
| Forecasting Interest Rates with Shifting Endpoints |
0 |
0 |
0 |
80 |
0 |
0 |
2 |
201 |
| Forecasting U.S. inflation by Bayesian Model Averaging |
0 |
0 |
1 |
775 |
0 |
1 |
3 |
1,948 |
| Forecasting professional forecasters |
0 |
0 |
0 |
202 |
0 |
0 |
5 |
471 |
| Forward Guidance and Asset Prices |
0 |
1 |
2 |
212 |
1 |
3 |
10 |
510 |
| High frequency data, frequency domain inference and volatility forecasting |
0 |
0 |
0 |
544 |
0 |
0 |
2 |
1,198 |
| Identification and Inference Using Event Studies |
0 |
1 |
3 |
228 |
0 |
1 |
6 |
447 |
| Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data |
0 |
0 |
1 |
176 |
0 |
0 |
2 |
492 |
| Identifying the effects of monetary policy shocks on exchange rates using high frequency data |
0 |
0 |
1 |
225 |
0 |
0 |
3 |
600 |
| Identifying the effects of monetary policy shocks on exchange rates using high frequency data |
0 |
0 |
0 |
134 |
1 |
2 |
5 |
464 |
| Identifying vars based on high frequency futures data |
0 |
0 |
0 |
238 |
0 |
0 |
2 |
746 |
| Jumps in Bond Yields at Known Times |
0 |
0 |
1 |
17 |
0 |
0 |
4 |
37 |
| Jumps in Bond Yields at Known Times |
0 |
0 |
0 |
37 |
0 |
0 |
0 |
92 |
| Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns |
0 |
0 |
0 |
232 |
0 |
0 |
1 |
665 |
| Long memory in emerging market stock returns |
0 |
0 |
0 |
198 |
0 |
0 |
0 |
363 |
| Macroeconomics and the Term Structure |
0 |
1 |
4 |
228 |
1 |
3 |
11 |
589 |
| Market Effects of Central Bank Credit Markets Support Programs in Europe |
0 |
0 |
1 |
14 |
0 |
0 |
1 |
17 |
| Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises |
0 |
0 |
0 |
51 |
0 |
0 |
36 |
743 |
| Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises |
0 |
0 |
0 |
43 |
0 |
0 |
3 |
71 |
| Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises |
0 |
1 |
3 |
35 |
1 |
2 |
9 |
95 |
| Monetary Policy in Uncertain Times |
0 |
0 |
11 |
11 |
0 |
1 |
14 |
14 |
| News and noise in G-7 GDP announcements |
0 |
0 |
2 |
353 |
0 |
0 |
4 |
1,245 |
| Nonlinear Phillips Curves |
1 |
1 |
15 |
15 |
1 |
2 |
11 |
11 |
| Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data |
0 |
0 |
0 |
379 |
0 |
0 |
3 |
1,495 |
| 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 |
2 |
3 |
200 |
| Reasonable Seasonals? Seasonal Echoes in Economic Data after COVID-19 |
0 |
0 |
3 |
46 |
0 |
0 |
6 |
42 |
| Refining Set-Identification in VARs through Independence |
0 |
0 |
1 |
30 |
1 |
2 |
5 |
27 |
| Refining Set-Identification in VARs through Independence |
0 |
0 |
0 |
15 |
0 |
0 |
2 |
24 |
| Refining Set-Identification in VARs through Independence |
0 |
0 |
0 |
4 |
1 |
1 |
1 |
22 |
| Rounding and the impact of news: a simple test of market rationality |
0 |
0 |
0 |
49 |
0 |
0 |
2 |
223 |
| Seasonal Adjustment of NIPA data |
0 |
0 |
2 |
38 |
1 |
1 |
6 |
69 |
| Term premiums and inflation uncertainty: empirical evidence from an international panel dataset |
1 |
3 |
3 |
178 |
1 |
3 |
6 |
564 |
| 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 |
29 |
0 |
2 |
2 |
135 |
| The Economics of Options-Implied Inflation Probability Density Functions |
1 |
1 |
1 |
23 |
1 |
1 |
7 |
96 |
| The Economics of Options-Implied Inflation Probability Density Functions |
0 |
0 |
0 |
73 |
1 |
2 |
5 |
230 |
| The Federal Reserve’s Current Framework for Monetary Policy: A Review and Assessment |
0 |
0 |
1 |
65 |
0 |
1 |
4 |
194 |
| The Narrow Channel of Quantitative Easing: Evidence from YCC Down Under |
0 |
0 |
1 |
12 |
1 |
4 |
12 |
54 |
| The Narrow Channel of Quantitative Easing: Evidence from YCC Down Under |
0 |
0 |
1 |
14 |
0 |
2 |
5 |
28 |
| The Sensitivity of Long-Term Interest Rates: A Tale of Two Frequencies |
0 |
0 |
1 |
28 |
0 |
0 |
4 |
79 |
| The TIPS yield curve and inflation compensation |
0 |
0 |
2 |
598 |
0 |
0 |
8 |
2,095 |
| The U.S. Treasury yield curve: 1961 to the present |
1 |
3 |
13 |
1,636 |
2 |
5 |
29 |
6,529 |
| The high-frequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market |
0 |
2 |
2 |
315 |
0 |
2 |
3 |
959 |
| The high-frequency impact of news on long-term yields and forward rates: Is it real? |
1 |
1 |
2 |
158 |
1 |
1 |
3 |
427 |
| The high-frequency response of exchange rates and interest rates to macroeconomic announcements |
0 |
0 |
1 |
552 |
0 |
1 |
9 |
1,604 |
| The yield curve and predicting recessions |
0 |
1 |
7 |
417 |
0 |
1 |
27 |
1,187 |
| Trading activity and exchange rates in high-frequency EBS data |
0 |
0 |
1 |
243 |
1 |
1 |
6 |
987 |
| Unconventional Monetary Policy and International Risk Premia |
0 |
0 |
2 |
161 |
1 |
1 |
6 |
301 |
| Uncovered interest parity: it works, but not for long |
0 |
1 |
2 |
558 |
1 |
5 |
14 |
1,671 |
| Weather-adjusting employment data |
0 |
0 |
0 |
16 |
0 |
4 |
6 |
61 |
| What does Monetary Policy do to Long-Term Interest Rates at the Zero Lower Bound? |
0 |
1 |
2 |
491 |
2 |
6 |
10 |
1,173 |
| Total Working Papers |
7 |
29 |
121 |
16,890 |
37 |
111 |
507 |
49,908 |
| 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 |
3 |
8 |
| A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments |
0 |
0 |
0 |
0 |
4 |
11 |
40 |
2,225 |
| A new estimator of the fractionally integrated stochastic volatility model |
0 |
0 |
0 |
27 |
2 |
2 |
3 |
79 |
| Alternative Variance-Ratio Tests Using Ranks and Signs |
0 |
0 |
0 |
0 |
1 |
4 |
14 |
1,175 |
| Analyzing cross-validation for forecasting with structural instability |
0 |
0 |
0 |
4 |
1 |
1 |
5 |
12 |
| Bayesian Model Averaging and exchange rate forecasts |
1 |
1 |
5 |
258 |
2 |
3 |
11 |
679 |
| Bond risk premia and realized jump risk |
0 |
0 |
2 |
61 |
0 |
0 |
6 |
198 |
| Comment |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
21 |
| Comment |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
27 |
| Comment on “Measuring euro area monetary policy” by Carlo Altavilla, Luca Brugnolini, Refet Gürkaynak, Giuseppe Ragusa and Roberto Motto |
0 |
1 |
3 |
30 |
2 |
4 |
8 |
123 |
| Comment on “The long and variable lags of monetary policy: Evidence from disaggregated price indices” by S. Borağan Aruoba and Thomas Drechsel |
1 |
2 |
3 |
3 |
1 |
2 |
6 |
6 |
| Comparing Greenbook and Reduced Form Forecasts Using a Large Realtime Dataset |
0 |
1 |
3 |
80 |
1 |
4 |
8 |
333 |
| Confidence Intervals for Univariate Impulse Responses with a Near Unit Root |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
202 |
| Confidence Sets for Cointegrating Coefficients Based on Stationarity Tests |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
161 |
| Cracking the Conundrum |
0 |
0 |
0 |
112 |
0 |
0 |
6 |
543 |
| Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach |
1 |
1 |
7 |
122 |
1 |
2 |
15 |
404 |
| 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 |
2 |
7 |
133 |
0 |
5 |
16 |
559 |
| EVALUATING REAL‐TIME VAR FORECASTS WITH AN INFORMATIVE DEMOCRATIC PRIOR |
0 |
0 |
1 |
13 |
0 |
1 |
4 |
53 |
| Editors' Report 2011 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
9 |
| Editors’ Report 2009 |
0 |
0 |
0 |
6 |
0 |
0 |
1 |
53 |
| Editors’ Report 2011 |
0 |
0 |
0 |
19 |
0 |
0 |
0 |
91 |
| Efficient Prediction of Excess Returns |
0 |
0 |
0 |
12 |
1 |
2 |
3 |
67 |
| Efficient forecast tests for conditional policy forecasts |
0 |
1 |
1 |
89 |
1 |
2 |
6 |
258 |
| Evaluating asset-market effects of unconventional monetary policy: a multi-country review |
1 |
2 |
9 |
222 |
1 |
2 |
18 |
562 |
| Exchange rate forecasting: the errors we've really made |
0 |
0 |
5 |
290 |
2 |
4 |
20 |
693 |
| Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling |
0 |
0 |
3 |
269 |
0 |
3 |
14 |
834 |
| Forecasting Professional Forecasters |
0 |
1 |
2 |
95 |
2 |
5 |
8 |
215 |
| Forecasting US inflation by Bayesian model averaging |
0 |
0 |
1 |
147 |
0 |
1 |
2 |
374 |
| Forecasting With Model Uncertainty: Representations and Risk Reduction |
0 |
0 |
0 |
9 |
3 |
3 |
3 |
70 |
| Forecasting interest rates with shifting endpoints |
0 |
0 |
0 |
27 |
1 |
3 |
3 |
101 |
| Forward-Looking Estimates of Interest-Rate Distributions |
0 |
0 |
1 |
8 |
0 |
1 |
3 |
36 |
| Frequency domain inference for univariate impulse responses |
0 |
0 |
0 |
22 |
2 |
2 |
2 |
67 |
| GMM with Weak Identification |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
835 |
| HERMIN Ireland |
0 |
0 |
0 |
154 |
1 |
1 |
1 |
492 |
| High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting |
0 |
0 |
0 |
190 |
0 |
0 |
4 |
625 |
| Identification and Inference Using Event Studies |
0 |
2 |
7 |
294 |
0 |
2 |
13 |
624 |
| Identifying VARS based on high frequency futures data |
0 |
0 |
4 |
274 |
0 |
1 |
9 |
625 |
| Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data |
0 |
0 |
0 |
157 |
0 |
0 |
10 |
505 |
| LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS |
0 |
0 |
0 |
66 |
1 |
1 |
1 |
249 |
| Macroeconomics and the Term Structure |
1 |
2 |
11 |
433 |
1 |
5 |
33 |
1,124 |
| Missing Events in Event Studies: Identifying the Effects of Partially Measured News Surprises |
0 |
0 |
7 |
47 |
0 |
4 |
24 |
193 |
| News and Noise in G-7 GDP Announcements |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
649 |
| Options-Implied Probability Density Functions for Real Interest Rates |
0 |
0 |
4 |
19 |
0 |
1 |
13 |
88 |
| Order flow and exchange rate dynamics in electronic brokerage system data |
0 |
3 |
4 |
119 |
2 |
6 |
8 |
462 |
| REVERSE REGRESSIONS AND LONG‐HORIZON FORECASTING |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
83 |
| Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates* |
1 |
3 |
10 |
33 |
2 |
8 |
35 |
144 |
| Refining set-identification in VARs through independence |
2 |
2 |
3 |
6 |
4 |
5 |
10 |
16 |
| Risk Premia in the 8:30 Economy |
0 |
0 |
0 |
34 |
0 |
0 |
2 |
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 |
0 |
90 |
0 |
0 |
1 |
236 |
| Some observations on forecasting and policy |
0 |
1 |
2 |
15 |
1 |
2 |
6 |
48 |
| State Space Models and MIDAS Regressions |
0 |
7 |
17 |
458 |
4 |
20 |
56 |
1,397 |
| Structural stability tests in the linear regression model when the regressors have roots local to unity |
0 |
0 |
0 |
28 |
2 |
3 |
5 |
140 |
| THE LOCAL ASYMPTOTIC POWER OF CERTAIN TESTS FOR FRACTIONAL INTEGRATION |
0 |
0 |
0 |
7 |
1 |
1 |
2 |
44 |
| Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset |
1 |
2 |
5 |
167 |
6 |
8 |
19 |
484 |
| Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Reply |
0 |
0 |
1 |
78 |
3 |
4 |
8 |
283 |
| Testing for a Structural Break at Unknown Date with Long‐memory Disturbances |
0 |
0 |
0 |
4 |
0 |
0 |
2 |
16 |
| Testing for a Unit Root in the Volatility of Asset Returns |
0 |
0 |
0 |
149 |
0 |
1 |
1 |
374 |
| Testing for a unit root in the volatility of asset returns |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
6 |
| Testing the adequacy of conventional asymptotics in GMM |
0 |
0 |
0 |
18 |
0 |
1 |
3 |
152 |
| The CUSUM test based on least squares residuals in regressions with integrated variables |
0 |
0 |
0 |
54 |
0 |
0 |
2 |
157 |
| The Extent and Consequences of Federal Reserve Balance Sheet Shrinkage |
1 |
1 |
1 |
2 |
1 |
2 |
5 |
12 |
| The Federal Reserve's Current Framework for Monetary Policy: A Review and Assessment |
2 |
5 |
10 |
58 |
2 |
11 |
40 |
243 |
| The Limiting Distribution of Post-sample Stability Tests for GMM Estimation When the Potential Break Date Is Unknown |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
116 |
| The Narrow Channel of Quantitative Easing: Evidence from YCC Down Under |
0 |
0 |
3 |
7 |
1 |
3 |
11 |
18 |
| The TIPS Yield Curve and Inflation Compensation |
0 |
0 |
1 |
333 |
0 |
2 |
15 |
1,413 |
| The U.S. Treasury yield curve: 1961 to the present |
3 |
9 |
32 |
786 |
13 |
31 |
116 |
2,564 |
| The economics of options-implied inflation probability density functions |
0 |
0 |
7 |
166 |
1 |
2 |
21 |
617 |
| The high-frequency impact of news on long-term yields and forward rates: Is it real? |
2 |
3 |
8 |
162 |
5 |
8 |
21 |
498 |
| The high-frequency response of exchange rates and interest rates to macroeconomic announcements |
0 |
3 |
14 |
491 |
4 |
16 |
59 |
1,487 |
| Trading Activity and Macroeconomic Announcements in High-Frequency Exchange Rate Data |
0 |
0 |
0 |
102 |
0 |
0 |
1 |
295 |
| Unconventional Monetary Policy and International Risk Premia |
0 |
1 |
5 |
44 |
1 |
4 |
21 |
141 |
| Uncovered interest parity: it works, but not for long |
2 |
2 |
3 |
210 |
3 |
6 |
9 |
589 |
| Unseasonal Seasonals? |
0 |
1 |
2 |
14 |
2 |
3 |
8 |
70 |
| Weather-Adjusting Economic Data |
0 |
0 |
2 |
13 |
2 |
2 |
7 |
59 |
| What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound? |
1 |
1 |
3 |
80 |
2 |
3 |
16 |
279 |
| Total Journal Articles |
20 |
60 |
219 |
7,485 |
94 |
236 |
865 |
28,951 |
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