Michael Bauer

Universität Hamburg

Professor of Financial Economics

Von-Melle-Park 5

Hamburg, 20146

Germany

http://www.michaeldbauer.com

  • Universität Hamburg

SCHOLARLY PAPERS

19

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3,921

SSRN CITATIONS
Rank 2,259

SSRN RANKINGS

Top 2,259

in Total Papers Citations

294

CROSSREF CITATIONS

279

Scholarly Papers (19)

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1.

The Signaling Channel for Federal Reserve Bond Purchases

International Journal of Central Banking
Number of pages: 47 Posted: 03 Oct 2013 Last Revised: 28 Aug 2020
Michael Bauer and Glenn D. Rudebusch
Universität Hamburg and Federal Reserve Bank of San Francisco
Downloads 650 (61,973)
Citation 29

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unconventional monetary policy, QE, LSAP, portfolio balance, no arbitrage

2.

Market-Based Monetary Policy Uncertainty

Downloads 436 (101,392)
Citation 8

Market-Based Monetary Policy Uncertainty

The Economic Journal, Forthcoming
Number of pages: 58 Posted: 30 Apr 2019 Last Revised: 04 Jan 2022
Michael Bauer, Aeimit Lakdawala and Philippe Mueller
Universität Hamburg, Wake Forest University - Department of Economics and Warwick Business School Finance Group
Downloads 399 (111,413)
Citation 9

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policy uncertainty, implied volatility, Federal Reserve, FOMC announcements, event study, asset prices

Market-Based Monetary Policy Uncertainty

CESifo Working Paper No. 7621
Number of pages: 47 Posted: 09 May 2019
Michael Bauer, Aeimit Lakdawala and Philippe Mueller
Universität Hamburg, Wake Forest University - Department of Economics and Warwick Business School Finance Group
Downloads 37 (657,595)

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monetary policy uncertainty, Federal Reserve, event study, monetary transmission, implied volatility

3.

Interest Rates Under Falling Stars

Downloads 336 (136,196)
Citation 29

Interest Rates Under Falling Stars

American Economic Review, Forthcoming
Number of pages: 51 Posted: 18 Jul 2017 Last Revised: 30 Nov 2019
Michael Bauer and Glenn D. Rudebusch
Universität Hamburg and Federal Reserve Bank of San Francisco
Downloads 234 (196,344)
Citation 13

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yield curve, macro-finance, inflation trend, equilibrium real interest rate, shifting endpoints, bond risk premia

Interest Rates under Falling Stars

CESifo Working Paper Series No. 6571
Number of pages: 53 Posted: 23 Jan 2020
Michael Bauer and Glenn D. Rudebusch
Universität Hamburg and Federal Reserve Bank of San Francisco
Downloads 102 (390,525)
Citation 18

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Yield Curve, Macro-Finance, Inflation Trend, Equilibrium Real Interest Rate, Shifting Endpoints, Bond Risk Premia

4.

Robust Bond Risk Premia

Downloads 310 (148,254)
Citation 34

Robust Bond Risk Premia

Number of pages: 62 Posted: 29 Sep 2015 Last Revised: 26 Jan 2017
Michael Bauer and James D. Hamilton
Universität Hamburg and University of California at San Diego
Downloads 152 (289,283)
Citation 2

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yield curve, spanning, return predictability, robust inference, bootstrap

Robust Bond Risk Premia

CESifo Working Paper Series No. 5541
Number of pages: 59 Posted: 06 Nov 2015
Michael Bauer and James D. Hamilton
Universität Hamburg and University of California at San Diego
Downloads 118 (352,147)

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yield curve, spanning, bond returns, small-sample bias, robust inference

Robust Bond Risk Premia

NBER Working Paper No. w23480
Number of pages: 63 Posted: 05 Jun 2017 Last Revised: 27 Feb 2022
Michael Bauer and James D. Hamilton
Universität Hamburg and University of California at San Diego
Downloads 40 (638,824)
Citation 27

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5.

Interest Rate Skewness and Biased Beliefs

Downloads 303 (152,395)

Interest Rate Skewness and Biased Beliefs

CESifo Working Paper No. 9150
Number of pages: 62 Posted: 24 Jun 2021
Mikhail Chernov and Michael Bauer
UCLA Anderson and Universität Hamburg
Downloads 180 (250,319)

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bond risk premia, slope, asymmetry, skewness, biased beliefs, monetary policy

Interest Rate Skewness and Biased Beliefs

Forthcoming in Journal of Finance
Number of pages: 60 Posted: 06 Jan 2023
Michael Bauer and Mikhail Chernov
Universität Hamburg and UCLA Anderson
Downloads 69 (500,374)

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Bond risk premia, slope, asymmetry, skewness, biased beliefs, monetary policy

Interest Rate Skewness and Biased Beliefs

NBER Working Paper No. w28954
Number of pages: 61 Posted: 28 Jun 2021 Last Revised: 06 Jan 2023
Michael Bauer and Mikhail Chernov
Universität Hamburg and UCLA Anderson
Downloads 54 (562,193)

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Interest Rate Skewness and Biased Beliefs

CEPR Discussion Paper No. DP16274
Number of pages: 64 Posted: 14 Jul 2021 Last Revised: 04 Feb 2022
Michael Bauer and Mikhail Chernov
Universität Hamburg and UCLA Anderson
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Biased Beliefs, Bond Markets, monetary policy, Skewness, yield curve

6.

Monetary Policy Expectations at the Zero Lower Bound

Number of pages: 44 Posted: 03 Oct 2013 Last Revised: 22 May 2015
Michael Bauer and Glenn D. Rudebusch
Universität Hamburg and Federal Reserve Bank of San Francisco
Downloads 276 (167,303)
Citation 34

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dynamic term structure models, shadow rates, policy liftoff, macro-finance

7.

Correcting Estimation Bias in Dynamic Term Structure Models

Journal of Business and Economic Statistics, Vol. 30, No.3, pp. 454-467, 2012
Number of pages: 32 Posted: 06 Sep 2013
Michael Bauer, Glenn D. Rudebusch and Jing Cynthia Wu
Universität Hamburg, Federal Reserve Bank of San Francisco and University of Notre Dame - Department of Economics
Downloads 256 (180,361)
Citation 12

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small-sample bias correction, vector auto-regression, dynamic term structure models, term premium

8.

Restrictions on Risk Prices in Dynamic Term Structure Models

Downloads 180 (250,342)
Citation 9

Restrictions on Risk Prices in Dynamic Term Structure Models

Journal of Business and Economic Statistics, Forthcoming
Number of pages: 35 Posted: 19 Mar 2012 Last Revised: 26 Jan 2017
Michael Bauer
Universität Hamburg
Downloads 128 (331,450)
Citation 4

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no-arbitrage, prices of risk, term premium, Markov-chain Monte Carlo, model selection

Restrictions on Risk Prices in Dynamic Term Structure Models

CESifo Working Paper Series No. 5241
Number of pages: 55 Posted: 20 Mar 2015
Michael Bauer
Universität Hamburg
Downloads 52 (572,119)
Citation 6

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no-arbitrage, prices of risk, Bayesian model selection, term premium

9.

Resolving the Spanning Puzzle in Macro-Finance Term Structure Models

Downloads 158 (279,673)
Citation 38

Resolving the Spanning Puzzle in Macro-Finance Term Structure Models

Review of Finance, 2016
Number of pages: 56 Posted: 03 Nov 2014 Last Revised: 26 Jan 2017
Michael Bauer and Glenn D. Rudebusch
Universität Hamburg and Federal Reserve Bank of San Francisco
Downloads 82 (449,438)
Citation 9

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yield curve, term structure models, macro-finance, unspanned macro risk, monetary policy

Resolving the Spanning Puzzle in Macro-Finance Term Structure Models

CESifo Working Paper Series No. 5187
Number of pages: 50 Posted: 05 Feb 2015
Michael Bauer and Glenn D. Rudebusch
Universität Hamburg and Federal Reserve Bank of San Francisco
Downloads 76 (470,145)
Citation 9

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yield curve, term structure models, macro-finance, unspanned macro risks, monetary policy

10.

The Rising Cost of Climate Change: Evidence from the Bond Market

Review of Economics and Statistics, Forthcoming
Number of pages: 35 Posted: 12 Aug 2020 Last Revised: 04 Jan 2022
Michael Bauer and Glenn D. Rudebusch
Universität Hamburg and Federal Reserve Bank of San Francisco
Downloads 148 (295,200)
Citation 3

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social discount rate, cost of carbon, natural rate of interest, r-star

11.

Comment on 'Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset'

American Economic Review, Forthcoming, Chicago Booth Research Paper No. 13-74
Number of pages: 21 Posted: 06 Sep 2013 Last Revised: 27 Sep 2013
Michael Bauer, Glenn D. Rudebusch and Jing Cynthia Wu
Universität Hamburg, Federal Reserve Bank of San Francisco and University of Notre Dame - Department of Economics
Downloads 148 (295,200)
Citation 8

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term premia, dynamic term structure model, small-sample bias

12.

Term Premia and the News

Number of pages: 51 Posted: 16 Mar 2011
Michael Bauer
Universität Hamburg
Downloads 141 (306,749)
Citation 1

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term structure of interest rates, macroeconomic news, term premium, no- arbitrage, market prices of risk, Bayesian inference

13.

Inflation Expectations and the News

International Journal of Central Banking
Number of pages: 37 Posted: 29 Mar 2014 Last Revised: 29 Jan 2021
Michael Bauer
Universität Hamburg
Downloads 135 (317,333)
Citation 4

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inflation expectations, macroeconomic news, inflation compensation, TIPS, inflation swaps, survey expectations

14.

An Alternative Explanation for the ‘Fed Information Effect’

Number of pages: 48 Posted: 03 Apr 2020 Last Revised: 04 Jan 2022
Michael Bauer and Eric T. Swanson
Universität Hamburg and University of California, Irvine - Department of Economics
Downloads 132 (322,837)

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Federal Reserve, forecasts, survey, Blue Chip, Delphic forward guidance

15.

International Channels of the Fed’s Unconventional Monetary Policy

FRB of St. Louis Working Paper No. 2012-028D, Journal of International Money and Finance, Forthcoming
Number of pages: 45 Posted: 29 Aug 2012 Last Revised: 19 Feb 2014
Michael Bauer and Christopher J. Neely
Universität Hamburg and Federal Reserve Bank of St. Louis - Research Division
Downloads 113 (361,459)
Citation 30

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Monetary policy, zero lower bound, LSAP, signaling, portfolio balance, dynamic term structure model

16.

An Alternative Explanation for the “Fed Information Effect”

Downloads 95 (406,302)
Citation 6

An Alternative Explanation for the “Fed Information Effect”

NBER Working Paper No. w27013
Number of pages: 49 Posted: 20 Apr 2020 Last Revised: 30 Oct 2022
Michael Bauer and Eric T. Swanson
Universität Hamburg and University of California, Irvine - Department of Economics
Downloads 52 (572,119)
Citation 3

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The Fed's Response to Economic News Explains the 'Fed Information Effect'

CESifo Working Paper No. 8151
Number of pages: 63 Posted: 11 Mar 2020
Michael Bauer and Eric T. Swanson
Universität Hamburg and University of California, Irvine - Department of Economics
Downloads 43 (620,936)
Citation 3

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Federal Reserve, forecasts, survey, Blue Chip, Delphic forward guidance

17.

Nominal Interest Rates and the News

Journal of Money, Credit, and Banking, Forthcoming
Number of pages: 44 Posted: 17 Feb 2009 Last Revised: 19 Feb 2014
Michael Bauer
Universität Hamburg
Downloads 95 (406,302)
Citation 3

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term structure of interest rates, no-arbitrage, news, monetary policy surprises, macroeconomic announcements, policy inertia

18.

A Reassessment of Monetary Policy Surprises and High-Frequency Identification

Downloads 5 (907,994)

A Reassessment of Monetary Policy Surprises and High-Frequency Identification

NBER Working Paper No. w29939
Number of pages: 67 Posted: 18 Apr 2022 Last Revised: 26 Oct 2022
Michael Bauer and Eric T. Swanson
Universität Hamburg and University of California, Irvine - Department of Economics
Downloads 5 (944,391)
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A Reassessment of Monetary Policy Surprises and High-Frequency Identification

CEPR Discussion Paper No. DP17116
Number of pages: 69 Posted: 29 Mar 2022
Michael Bauer and Eric T. Swanson
Universität Hamburg and University of California, Irvine - Department of Economics
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External Instruments, FOMC, Monetary Transmission, Policy rule, SVAR

19.

Perceptions About Monetary Policy

NBER Working Paper No. w30480
Number of pages: 70 Posted: 19 Sep 2022 Last Revised: 14 Oct 2022
Michael Bauer, Carolin E. Pflueger, Carolin E. Pflueger and Aditya Sunderam
Universität Hamburg, National Bureau of Economic Research (NBER)University of Chicago - Harris School of Public Policy and Harvard University
Downloads 4 (918,931)
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