Michael Bauer

Universität Hamburg

Professor of Financial Economics

Von-Melle-Park 5

Hamburg, 20146

Germany

http://www.michaeldbauer.com

  • Universität Hamburg

SCHOLARLY PAPERS

17

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3,052

SSRN CITATIONS
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SSRN RANKINGS

Top 2,192

in Total Papers Citations

294

CROSSREF CITATIONS

297

Scholarly Papers (17)

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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 510 (72,113)
Citation 29

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

2.

Market-Based Monetary Policy Uncertainty

Downloads 311 (127,205)
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 287 (137,826)
Citation 9

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

Market-Based Monetary Policy Uncertainty

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 24 (649,278)

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

3.

Interest Rates Under Falling Stars

Downloads 296 (134,122)
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 213 (185,351)
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

Number of pages: 53 Posted: 23 Jan 2020
Michael Bauer and Glenn D. Rudebusch
Universität Hamburg and Federal Reserve Bank of San Francisco
Downloads 83 (384,363)
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 269 (148,067)
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 136 (273,386)
Citation 2

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

Robust Bond Risk Premia

Number of pages: 59 Posted: 06 Nov 2015
Michael Bauer and James D. Hamilton
Universität Hamburg and University of California at San Diego
Downloads 106 (328,135)

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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: 29 Aug 2021
Michael Bauer and James D. Hamilton
Universität Hamburg and University of California at San Diego
Downloads 27 (627,363)
Citation 27

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5.

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 259 (153,787)
Citation 34

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

6.

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 241 (165,050)
Citation 12

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

7.

Interest Rate Skewness and Biased Beliefs

Downloads 178 (218,190)

Interest Rate Skewness and Biased Beliefs

Number of pages: 60 Posted: 24 Jun 2021
Mikhail Chernov and Michael Bauer
UCLA Anderson and Universität Hamburg
Downloads 149 (254,020)

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Interest Rate Skewness and Biased Beliefs

NBER Working Paper No. w28954
Number of pages: 62 Posted: 28 Jun 2021 Last Revised: 26 Dec 2021
Michael Bauer and Mikhail Chernov
Universität Hamburg and UCLA Anderson
Downloads 29 (613,682)

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Interest Rate Skewness and Biased Beliefs

Number of pages: 61 Posted: 14 Jul 2021
Michael Bauer and Mikhail Chernov
Universität Hamburg and UCLA Anderson
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8.

Restrictions on Risk Prices in Dynamic Term Structure Models

Downloads 169 (228,012)
Citation 18

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 122 (296,861)
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

Number of pages: 55 Posted: 20 Mar 2015
Michael Bauer
Universität Hamburg
Downloads 47 (514,840)
Citation 5

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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 139 (267,766)
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 71 (420,904)
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

Number of pages: 50 Posted: 05 Feb 2015
Michael Bauer and Glenn D. Rudebusch
Universität Hamburg and Federal Reserve Bank of San Francisco
Downloads 68 (431,072)
Citation 9

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

10.

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 124 (291,997)
Citation 8

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

11.

Term Premia and the News

Number of pages: 51 Posted: 16 Mar 2011
Michael Bauer
Universität Hamburg
Downloads 123 (293,713)
Citation 1

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

12.

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 111 (315,806)
Citation 2

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

13.

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 86 (372,615)
Citation 30

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

14.

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 85 (375,334)
Citation 3

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

15.

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 78 (394,732)
Citation 4

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

16.

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 42 (528,249)

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

17.

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

Downloads 31 (585,544)
Citation 6

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

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 27 (627,363)
Citation 3

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

The Fed&Apos;S Response to Economic News Explains the "Fed Information Effect"

NBER Working Paper No. w27013
Number of pages: 60 Posted: 20 Apr 2020 Last Revised: 24 Oct 2021
Michael Bauer and Eric T. Swanson
Universität Hamburg and University of California, Irvine - Department of Economics
Downloads 4 (815,600)
Citation 3

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