Michael D. Bauer

Federal Reserve Bank of San Francisco

Economist

101 Market Street

San Francisco, CA 94105

United States

SCHOLARLY PAPERS

12

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1,672

CITATIONS
Rank 11,274

SSRN RANKINGS

Top 11,274

in Total Papers Citations

36

Scholarly Papers (12)

1.

The Signaling Channel for Federal Reserve Bond Purchases

International Journal of Central Banking, Forthcoming
Number of pages: 47 Posted: 03 Oct 2013
Michael D. Bauer and Glenn D. Rudebusch
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco
Downloads 265 (106,906)
Citation 12

Abstract:

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

2.

Monetary Policy Expectations at the Zero Lower Bound

Number of pages: 44 Posted: 03 Oct 2013 Last Revised: 22 May 2015
Michael D. Bauer and Glenn D. Rudebusch
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco
Downloads 242 (117,417)
Citation 2

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

3.
Downloads 218 (130,231)

Robust Bond Risk Premia

Number of pages: 62 Posted: 29 Sep 2015 Last Revised: 26 Jan 2017
Michael D. Bauer and James D. Hamilton
Federal Reserve Bank of San Francisco and University of California at San Diego
Downloads 107 (237,619)

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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 D. Bauer and James D. Hamilton
Federal Reserve Bank of San Francisco and University of California at San Diego
Downloads 97 (254,484)

Abstract:

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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
Michael D. Bauer and James D. Hamilton
Federal Reserve Bank of San Francisco and University of California at San Diego
Downloads 14 (542,237)
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4.

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 D. Bauer, Glenn D. Rudebusch and Jing Cynthia Wu
Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco and University of Notre Dame - Department of Economics
Downloads 213 (133,142)
Citation 13

Abstract:

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

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 D. Bauer
Federal Reserve Bank of San Francisco
Downloads 113 (228,390)

Abstract:

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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 D. Bauer
Federal Reserve Bank of San Francisco
Downloads 38 (413,123)

Abstract:

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

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 D. Bauer and Glenn D. Rudebusch
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco
Downloads 58 (343,780)

Abstract:

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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 D. Bauer and Glenn D. Rudebusch
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco
Downloads 58 (343,780)

Abstract:

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

7.

Term Premia and the News

Number of pages: 51 Posted: 16 Mar 2011
Michael D. Bauer
Federal Reserve Bank of San Francisco
Downloads 101 (245,937)
Citation 5

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

8.
Downloads 96 (254,443)

Interest Rates Under Falling Stars

Number of pages: 55 Posted: 18 Jul 2017 Last Revised: 19 Nov 2017
Michael D. Bauer and Glenn D. Rudebusch
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco
Downloads 57 (346,761)

Abstract:

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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: 48 Posted: 20 Aug 2017
Michael D. Bauer and Glenn D. Rudebusch
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco
Downloads 39 (409,021)

Abstract:

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

9.

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 D. Bauer, Glenn D. Rudebusch and Jing Cynthia Wu
Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco and University of Notre Dame - Department of Economics
Downloads 84 (276,785)

Abstract:

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

10.

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 D. Bauer
Federal Reserve Bank of San Francisco
Downloads 76 (293,802)

Abstract:

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

11.

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 D. Bauer and Christopher J. Neely
Federal Reserve Bank of San Francisco and Federal Reserve Bank of St. Louis - Research Division
Downloads 70 (307,724)
Citation 2

Abstract:

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

12.

Inflation Expectations and the News

International Journal of Central Banking, Forthcoming
Number of pages: 37 Posted: 29 Mar 2014 Last Revised: 28 Aug 2014
Michael D. Bauer
Federal Reserve Bank of San Francisco
Downloads 40 (397,014)
Citation 1

Abstract:

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