Michael D. Bauer

Federal Reserve Bank of San Francisco

Economist

101 Market Street

San Francisco, CA 94105

United States

SCHOLARLY PAPERS

13

DOWNLOADS
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1,768

CITATIONS
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SSRN RANKINGS

Top 11,318

in Total Papers Citations

36

Scholarly Papers (13)

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 294 (100,099)
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 248 (119,709)
Citation 2

Abstract:

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

3.
Downloads 230 (129,143)

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 114 (236,564)

Abstract:

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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 101 (257,995)

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 15 (555,799)

Abstract:

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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 219 (135,461)
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 117 (232,014)

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 40 (421,280)

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

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 60 (351,714)

Abstract:

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

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 59 (354,686)

Abstract:

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

7.
Downloads 113 (236,888)

Interest Rates Under Falling Stars

Number of pages: 65 Posted: 18 Jul 2017 Last Revised: 16 Feb 2019
Michael D. Bauer and Glenn D. Rudebusch
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco
Downloads 69 (326,611)

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 44 (405,549)

Abstract:

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

8.

Term Premia and the News

Number of pages: 51 Posted: 16 Mar 2011
Michael D. Bauer
Federal Reserve Bank of San Francisco
Downloads 104 (251,203)
Citation 5

Abstract:

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

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 90 (276,112)

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 77 (303,555)

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 72 (315,405)
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 42 (405,220)
Citation 1

Abstract:

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

13.

Market-Based Monetary Policy Uncertainty

Number of pages: 45
Michael D. Bauer, Aeimit Lakdawala and Philippe Mueller
Federal Reserve Bank of San Francisco, Michigan State University - Department of Economics and Warwick Business School Finance Group
Downloads 3

Abstract:

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