| 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 |
1 |
1 |
85 |
2 |
4 |
6 |
183 |
| An arbitrage-free three-factor term structure model and the recent behavior of long-term yields and distant-horizon forward rates |
0 |
3 |
14 |
922 |
14 |
33 |
99 |
2,114 |
| An empirical comparison of Bundesbank and ECB monetary policy rules |
0 |
0 |
2 |
575 |
2 |
4 |
7 |
1,397 |
| Asymptotics for GMM Estimators with Weak Instruments |
0 |
0 |
0 |
292 |
1 |
3 |
5 |
1,137 |
| Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices |
0 |
0 |
2 |
670 |
5 |
5 |
13 |
1,823 |
| Bayesian Model Averaging and exchange rate forecasts |
0 |
0 |
0 |
950 |
5 |
6 |
10 |
2,735 |
| Bond risk premia and realized jump volatility |
0 |
0 |
0 |
103 |
4 |
6 |
7 |
310 |
| Breaks in the Phillips Curve: Evidence from Panel Data |
0 |
0 |
2 |
54 |
11 |
13 |
24 |
75 |
| Breaks in the Phillips Curve: Evidence from Panel Data |
1 |
1 |
2 |
3 |
3 |
3 |
9 |
16 |
| Breaks in the Phillips Curve: Evidence from Panel Data |
0 |
0 |
0 |
5 |
4 |
6 |
8 |
28 |
| Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset |
0 |
0 |
0 |
168 |
3 |
10 |
13 |
501 |
| Confidence intervals for long-horizon predictive regressions via reverse regressions |
0 |
0 |
0 |
31 |
2 |
3 |
6 |
132 |
| Cracking the Conundrum |
0 |
0 |
0 |
113 |
4 |
6 |
8 |
341 |
| Cracking the Conundrum |
0 |
0 |
0 |
39 |
1 |
7 |
8 |
351 |
| Cracking the conundrum |
0 |
0 |
1 |
68 |
9 |
11 |
13 |
235 |
| Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach |
0 |
0 |
1 |
105 |
3 |
9 |
15 |
338 |
| Credit spreads as predictors of real-time economic activity: a Bayesian Model-Averaging approach |
0 |
0 |
1 |
161 |
3 |
4 |
9 |
199 |
| Detecting lack of identification in GMM |
0 |
0 |
0 |
283 |
5 |
7 |
10 |
645 |
| Efficient Prediction of Excess Returns |
0 |
0 |
0 |
152 |
5 |
7 |
9 |
463 |
| Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison |
0 |
0 |
1 |
372 |
3 |
13 |
28 |
850 |
| Evaluating real-time VAR forecasts with an informative democratic prior |
0 |
0 |
0 |
43 |
1 |
6 |
6 |
94 |
| Event-day Options |
0 |
0 |
0 |
7 |
4 |
8 |
8 |
48 |
| Exact confidence intervals for impulse responses in a Gaussian vector autoregression |
0 |
0 |
0 |
159 |
2 |
5 |
5 |
670 |
| Exchange rate forecasting: the errors we've really made |
0 |
0 |
0 |
1,036 |
5 |
11 |
13 |
3,236 |
| Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling |
0 |
0 |
0 |
136 |
8 |
14 |
19 |
348 |
| Forecasting Interest Rates with Shifting Endpoints |
0 |
0 |
0 |
80 |
4 |
6 |
8 |
208 |
| Forecasting U.S. inflation by Bayesian Model Averaging |
0 |
0 |
1 |
775 |
2 |
6 |
8 |
1,954 |
| Forecasting professional forecasters |
0 |
1 |
1 |
203 |
6 |
11 |
12 |
482 |
| Forward Guidance and Asset Prices |
0 |
0 |
2 |
213 |
3 |
6 |
12 |
518 |
| High frequency data, frequency domain inference and volatility forecasting |
0 |
0 |
0 |
544 |
4 |
5 |
6 |
1,203 |
| Identification and Inference Using Event Studies |
0 |
1 |
3 |
230 |
6 |
10 |
13 |
459 |
| Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data |
0 |
0 |
0 |
176 |
4 |
12 |
16 |
507 |
| Identifying the effects of monetary policy shocks on exchange rates using high frequency data |
0 |
0 |
0 |
225 |
9 |
12 |
13 |
612 |
| Identifying the effects of monetary policy shocks on exchange rates using high frequency data |
0 |
0 |
0 |
134 |
3 |
4 |
10 |
470 |
| Identifying vars based on high frequency futures data |
0 |
0 |
0 |
238 |
4 |
5 |
10 |
754 |
| Jumps in Bond Yields at Known Times |
0 |
0 |
0 |
37 |
1 |
6 |
6 |
98 |
| Jumps in Bond Yields at Known Times |
0 |
0 |
1 |
17 |
2 |
3 |
10 |
44 |
| Kalshi and the Rise of Macro Markets |
14 |
14 |
14 |
14 |
37 |
37 |
37 |
37 |
| Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns |
0 |
0 |
0 |
232 |
6 |
15 |
16 |
680 |
| Long memory in emerging market stock returns |
0 |
0 |
0 |
198 |
4 |
6 |
6 |
369 |
| Macroeconomics and the Term Structure |
0 |
0 |
1 |
228 |
7 |
10 |
18 |
603 |
| Market Effects of Central Bank Credit Markets Support Programs in Europe |
0 |
0 |
1 |
14 |
3 |
7 |
8 |
24 |
| Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises |
0 |
0 |
0 |
51 |
4 |
12 |
15 |
756 |
| Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises |
0 |
0 |
0 |
43 |
2 |
8 |
12 |
81 |
| Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises |
0 |
0 |
1 |
35 |
3 |
3 |
9 |
100 |
| Monetary Policy in Uncertain Times |
0 |
1 |
2 |
12 |
2 |
4 |
9 |
19 |
| News and noise in G-7 GDP announcements |
0 |
0 |
1 |
353 |
2 |
9 |
13 |
1,256 |
| Nonlinear Phillips Curves |
0 |
1 |
2 |
16 |
4 |
9 |
12 |
21 |
| Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data |
0 |
0 |
0 |
379 |
2 |
3 |
5 |
1,498 |
| Predicting sharp depreciations in industrial country exchange rates |
0 |
0 |
0 |
57 |
1 |
5 |
7 |
212 |
| Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates |
0 |
0 |
0 |
73 |
3 |
7 |
11 |
209 |
| Reasonable Seasonals? Seasonal Echoes in Economic Data after COVID-19 |
0 |
0 |
1 |
47 |
2 |
2 |
3 |
45 |
| Refining Set-Identification in VARs through Independence |
0 |
0 |
0 |
30 |
19 |
21 |
24 |
48 |
| Refining Set-Identification in VARs through Independence |
0 |
0 |
0 |
4 |
2 |
6 |
9 |
30 |
| Refining Set-Identification in VARs through Independence |
0 |
0 |
0 |
15 |
2 |
3 |
4 |
27 |
| Rounding and the impact of news: a simple test of market rationality |
0 |
0 |
0 |
49 |
3 |
5 |
7 |
229 |
| Seasonal Adjustment of NIPA data |
0 |
0 |
2 |
38 |
2 |
3 |
9 |
73 |
| Term premiums and inflation uncertainty: empirical evidence from an international panel dataset |
0 |
1 |
6 |
181 |
6 |
10 |
19 |
580 |
| Testing the null of identification in GMM |
0 |
0 |
0 |
63 |
5 |
6 |
6 |
200 |
| The Economics of Options-Implied Inflation Probability Density Functions |
0 |
0 |
1 |
23 |
6 |
9 |
12 |
105 |
| The Economics of Options-Implied Inflation Probability Density Functions |
0 |
0 |
0 |
73 |
7 |
11 |
16 |
243 |
| The Economics of Options-Implied Inflation Probability Density Functions |
0 |
0 |
0 |
29 |
4 |
8 |
10 |
143 |
| The Federal Reserve’s Current Framework for Monetary Policy: A Review and Assessment |
0 |
0 |
0 |
65 |
8 |
14 |
18 |
211 |
| The Narrow Channel of Quantitative Easing: Evidence from YCC Down Under |
0 |
0 |
0 |
14 |
3 |
6 |
10 |
35 |
| The Narrow Channel of Quantitative Easing: Evidence from YCC Down Under |
0 |
0 |
0 |
12 |
5 |
7 |
17 |
62 |
| The Sensitivity of Long-Term Interest Rates: A Tale of Two Frequencies |
0 |
0 |
0 |
28 |
5 |
9 |
10 |
88 |
| The TIPS yield curve and inflation compensation |
0 |
1 |
1 |
599 |
8 |
12 |
19 |
2,110 |
| The U.S. Treasury yield curve: 1961 to the present |
1 |
1 |
7 |
1,637 |
5 |
11 |
26 |
6,543 |
| The high-frequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market |
1 |
1 |
4 |
317 |
4 |
6 |
12 |
968 |
| The high-frequency impact of news on long-term yields and forward rates: Is it real? |
0 |
0 |
1 |
158 |
5 |
10 |
11 |
437 |
| The high-frequency response of exchange rates and interest rates to macroeconomic announcements |
0 |
0 |
0 |
552 |
3 |
4 |
10 |
1,608 |
| The yield curve and predicting recessions |
1 |
4 |
5 |
421 |
11 |
21 |
37 |
1,211 |
| Trading activity and exchange rates in high-frequency EBS data |
0 |
0 |
0 |
243 |
8 |
9 |
14 |
999 |
| Unconventional Monetary Policy and International Risk Premia |
0 |
1 |
1 |
162 |
0 |
6 |
10 |
309 |
| Uncovered interest parity: it works, but not for long |
0 |
0 |
2 |
558 |
6 |
11 |
31 |
1,690 |
| Weather-adjusting employment data |
0 |
0 |
0 |
16 |
1 |
2 |
10 |
65 |
| What does Monetary Policy do to Long-Term Interest Rates at the Zero Lower Bound? |
1 |
2 |
3 |
493 |
11 |
14 |
22 |
1,188 |
| Total Working Papers |
19 |
34 |
91 |
16,936 |
378 |
651 |
1,036 |
50,690 |
| 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 |
1 |
3 |
5 |
11 |
| A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments |
0 |
0 |
0 |
0 |
15 |
105 |
137 |
2,342 |
| A new estimator of the fractionally integrated stochastic volatility model |
0 |
0 |
0 |
27 |
1 |
3 |
7 |
83 |
| Alternative Variance-Ratio Tests Using Ranks and Signs |
0 |
0 |
0 |
0 |
0 |
5 |
17 |
1,186 |
| Analyzing cross-validation for forecasting with structural instability |
1 |
1 |
1 |
5 |
6 |
8 |
11 |
22 |
| Bayesian Model Averaging and exchange rate forecasts |
0 |
0 |
3 |
258 |
7 |
9 |
18 |
690 |
| Bond risk premia and realized jump risk |
0 |
0 |
1 |
62 |
4 |
6 |
9 |
206 |
| Comment |
0 |
0 |
0 |
0 |
2 |
2 |
2 |
29 |
| Comment |
0 |
0 |
0 |
0 |
2 |
3 |
4 |
25 |
| Comment on “Measuring euro area monetary policy” by Carlo Altavilla, Luca Brugnolini, Refet Gürkaynak, Giuseppe Ragusa and Roberto Motto |
0 |
0 |
1 |
30 |
4 |
9 |
18 |
135 |
| Comment on “The long and variable lags of monetary policy: Evidence from disaggregated price indices” by S. Borağan Aruoba and Thomas Drechsel |
0 |
0 |
2 |
3 |
2 |
6 |
12 |
13 |
| Comparing Greenbook and Reduced Form Forecasts Using a Large Realtime Dataset |
0 |
1 |
2 |
81 |
3 |
10 |
16 |
345 |
| Confidence Intervals for Univariate Impulse Responses with a Near Unit Root |
0 |
0 |
0 |
0 |
3 |
5 |
9 |
209 |
| Confidence Sets for Cointegrating Coefficients Based on Stationarity Tests |
0 |
0 |
0 |
0 |
6 |
8 |
10 |
171 |
| Cracking the Conundrum |
0 |
0 |
0 |
112 |
4 |
7 |
9 |
551 |
| Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach |
0 |
0 |
2 |
122 |
9 |
16 |
28 |
425 |
| DETECTING LACK OF IDENTIFICATION IN GMM |
0 |
0 |
1 |
66 |
1 |
3 |
4 |
158 |
| Do Federal Reserve Policy Surprises Reveal Superior Information about the Economy? |
0 |
0 |
5 |
134 |
7 |
15 |
27 |
576 |
| EVALUATING REAL‐TIME VAR FORECASTS WITH AN INFORMATIVE DEMOCRATIC PRIOR |
0 |
0 |
1 |
14 |
11 |
14 |
16 |
68 |
| Editors' Report 2011 |
0 |
0 |
0 |
0 |
4 |
4 |
4 |
13 |
| Editors’ Report 2009 |
0 |
0 |
0 |
6 |
5 |
6 |
6 |
59 |
| Editors’ Report 2011 |
0 |
0 |
0 |
19 |
0 |
1 |
1 |
92 |
| Efficient Prediction of Excess Returns |
0 |
0 |
0 |
12 |
6 |
8 |
12 |
76 |
| Efficient forecast tests for conditional policy forecasts |
0 |
0 |
1 |
89 |
2 |
3 |
8 |
263 |
| Evaluating asset-market effects of unconventional monetary policy: a multi-country review |
0 |
0 |
7 |
222 |
4 |
7 |
20 |
574 |
| Exchange rate forecasting: the errors we've really made |
0 |
0 |
2 |
290 |
6 |
9 |
24 |
704 |
| Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling |
0 |
0 |
2 |
269 |
7 |
11 |
21 |
848 |
| Forecasting Professional Forecasters |
0 |
0 |
4 |
97 |
5 |
12 |
21 |
229 |
| Forecasting US inflation by Bayesian model averaging |
0 |
0 |
0 |
147 |
6 |
8 |
13 |
386 |
| Forecasting With Model Uncertainty: Representations and Risk Reduction |
0 |
0 |
1 |
10 |
3 |
4 |
9 |
76 |
| Forecasting interest rates with shifting endpoints |
0 |
0 |
0 |
27 |
3 |
8 |
14 |
112 |
| Forward-Looking Estimates of Interest-Rate Distributions |
0 |
0 |
1 |
9 |
1 |
2 |
4 |
39 |
| Frequency domain inference for univariate impulse responses |
0 |
0 |
0 |
22 |
3 |
4 |
6 |
71 |
| GMM with Weak Identification |
0 |
0 |
0 |
0 |
3 |
5 |
10 |
843 |
| HERMIN Ireland |
0 |
0 |
0 |
154 |
2 |
6 |
8 |
499 |
| High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting |
0 |
0 |
0 |
190 |
1 |
6 |
11 |
634 |
| Identification and Inference Using Event Studies |
0 |
1 |
6 |
296 |
16 |
22 |
28 |
647 |
| Identifying VARS based on high frequency futures data |
0 |
0 |
2 |
275 |
21 |
26 |
35 |
655 |
| Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data |
0 |
0 |
0 |
157 |
5 |
9 |
13 |
515 |
| LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS |
0 |
0 |
0 |
66 |
3 |
7 |
10 |
258 |
| Macroeconomics and the Term Structure |
2 |
4 |
13 |
439 |
7 |
11 |
36 |
1,141 |
| Missing Events in Event Studies: Identifying the Effects of Partially Measured News Surprises |
0 |
0 |
3 |
48 |
8 |
17 |
29 |
212 |
| News and Noise in G-7 GDP Announcements |
0 |
0 |
0 |
0 |
9 |
15 |
21 |
669 |
| Options-Implied Probability Density Functions for Real Interest Rates |
0 |
0 |
1 |
19 |
2 |
3 |
7 |
91 |
| Order flow and exchange rate dynamics in electronic brokerage system data |
0 |
0 |
5 |
120 |
5 |
10 |
25 |
479 |
| REVERSE REGRESSIONS AND LONG‐HORIZON FORECASTING |
0 |
0 |
0 |
0 |
7 |
10 |
12 |
94 |
| Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates* |
0 |
1 |
5 |
35 |
3 |
13 |
38 |
167 |
| Refining set-identification in VARs through independence |
0 |
0 |
4 |
7 |
6 |
7 |
15 |
24 |
| Risk Premia in the 8:30 Economy |
0 |
0 |
1 |
35 |
1 |
2 |
4 |
111 |
| STOCHASTIC ORDERS OF MAGNITUDE ASSOCIATED WITH TWO‐STAGE ESTIMATORS OF FRACTIONAL ARIMA SYSTEMS |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
3 |
| Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data |
0 |
0 |
0 |
90 |
4 |
5 |
7 |
243 |
| Some observations on forecasting and policy |
0 |
1 |
3 |
17 |
6 |
10 |
15 |
61 |
| State Space Models and MIDAS Regressions |
1 |
3 |
18 |
466 |
13 |
24 |
65 |
1,434 |
| Structural stability tests in the linear regression model when the regressors have roots local to unity |
0 |
0 |
0 |
28 |
2 |
2 |
6 |
142 |
| THE LOCAL ASYMPTOTIC POWER OF CERTAIN TESTS FOR FRACTIONAL INTEGRATION |
0 |
0 |
0 |
7 |
2 |
3 |
5 |
47 |
| Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset |
0 |
3 |
7 |
171 |
3 |
11 |
27 |
500 |
| Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Reply |
0 |
0 |
0 |
78 |
3 |
7 |
15 |
293 |
| Testing for a Structural Break at Unknown Date with Long‐memory Disturbances |
0 |
0 |
0 |
4 |
4 |
8 |
10 |
25 |
| Testing for a Unit Root in the Volatility of Asset Returns |
0 |
0 |
0 |
149 |
4 |
6 |
10 |
383 |
| Testing for a unit root in the volatility of asset returns |
0 |
0 |
0 |
0 |
2 |
5 |
6 |
11 |
| Testing the adequacy of conventional asymptotics in GMM |
0 |
0 |
0 |
18 |
2 |
3 |
5 |
156 |
| The CUSUM test based on least squares residuals in regressions with integrated variables |
0 |
0 |
0 |
54 |
1 |
2 |
5 |
161 |
| The Extent and Consequences of Federal Reserve Balance Sheet Shrinkage |
0 |
1 |
2 |
3 |
4 |
8 |
13 |
20 |
| The Federal Reserve's Current Framework for Monetary Policy: A Review and Assessment |
0 |
0 |
10 |
60 |
13 |
20 |
46 |
268 |
| The Limiting Distribution of Post-sample Stability Tests for GMM Estimation When the Potential Break Date Is Unknown |
0 |
0 |
0 |
0 |
1 |
4 |
7 |
121 |
| The Narrow Channel of Quantitative Easing: Evidence from YCC Down Under |
0 |
0 |
1 |
8 |
2 |
6 |
16 |
27 |
| The TIPS Yield Curve and Inflation Compensation |
0 |
0 |
3 |
336 |
7 |
13 |
27 |
1,433 |
| The U.S. Treasury yield curve: 1961 to the present |
0 |
1 |
19 |
791 |
13 |
47 |
121 |
2,631 |
| The economics of options-implied inflation probability density functions |
0 |
0 |
2 |
166 |
0 |
2 |
17 |
627 |
| The high-frequency impact of news on long-term yields and forward rates: Is it real? |
0 |
2 |
6 |
164 |
5 |
11 |
27 |
513 |
| The high-frequency response of exchange rates and interest rates to macroeconomic announcements |
1 |
3 |
12 |
495 |
9 |
21 |
68 |
1,519 |
| Trading Activity and Macroeconomic Announcements in High-Frequency Exchange Rate Data |
0 |
0 |
0 |
102 |
1 |
2 |
4 |
299 |
| Unconventional Monetary Policy and International Risk Premia |
1 |
1 |
8 |
48 |
4 |
9 |
26 |
156 |
| Uncovered interest parity: it works, but not for long |
0 |
0 |
2 |
210 |
4 |
10 |
21 |
603 |
| Unseasonal Seasonals? |
0 |
0 |
1 |
14 |
6 |
8 |
14 |
79 |
| Weather-Adjusting Economic Data |
0 |
0 |
2 |
13 |
2 |
6 |
14 |
67 |
| What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound? |
1 |
1 |
4 |
83 |
4 |
8 |
24 |
293 |
| Total Journal Articles |
7 |
24 |
177 |
7,549 |
364 |
756 |
1,448 |
29,941 |
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