Michael Bauer

Universität Hamburg

Professor of Financial Economics

Von-Melle-Park 5

Hamburg, 20146

Germany

http://www.michaeldbauer.com

SCHOLARLY PAPERS

16

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Top 23,477

in Total Papers Downloads

2,360

SSRN CITATIONS
Rank 2,494

SSRN RANKINGS

Top 2,494

in Total Papers Citations

213

CROSSREF CITATIONS

296

Scholarly Papers (16)

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 393 (86,442)
Citation 26

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

2.
Downloads 258 (136,686)
Citation 27

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 129 (253,410)
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 105 (294,642)

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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 Bauer and James D. Hamilton
Universität Hamburg and University of California at San Diego
Downloads 24 (584,025)
Citation 19

Abstract:

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3.

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 254 (138,840)
Citation 32

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

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 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 226 (155,456)
Citation 10

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

5.
Downloads 215 (162,959)
Citation 21

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 143 (233,219)
Citation 8

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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 72 (373,316)
Citation 12

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

6.
Downloads 211 (165,853)
Citation 7

Market-Based Monetary Policy Uncertainty

WBS Finance Group Research Paper
Number of pages: 52 Posted: 30 Apr 2019 Last Revised: 07 May 2020
Michael Bauer, Aeimit Lakdawala and Philippe Mueller
Universität Hamburg, Wake Forest University - Department of Economics and Warwick Business School Finance Group
Downloads 192 (180,973)
Citation 7

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Monetary Policy Uncertainty, Federal Reserve, Svent study, Monetary Transmission, Implied Volatility

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 19 (619,902)

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

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 120 (267,688)
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 43 (478,746)
Citation 4

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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 Bauer and Glenn D. Rudebusch
Universität Hamburg and Federal Reserve Bank of San Francisco
Downloads 69 (382,317)
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 64 (398,167)
Citation 9

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

9.

Term Premia and the News

Number of pages: 51 Posted: 16 Mar 2011
Michael Bauer
Universität Hamburg
Downloads 115 (274,700)
Citation 1

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

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 104 (294,740)
Citation 8

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

11.

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 83 (340,181)
Citation 3

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

12.

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 80 (347,679)
Citation 28

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

13.

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 Bauer
Universität Hamburg
Downloads 56 (419,680)
Citation 2

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

14.

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

Number of pages: 38 Posted: 12 Aug 2020
Michael Bauer and Glenn D. Rudebusch
Universität Hamburg and Federal Reserve Bank of San Francisco
Downloads 28 (542,383)

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

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 21 (605,216)

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

The Fed'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: 29 Apr 2020
Michael Bauer and Eric T. Swanson
Universität Hamburg and University of California, Irvine - Department of Economics
Downloads 3 (746,020)
Citation 1
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16.

The Fed’s Response to Economic News Explains the ‘Fed Information Effect’

Number of pages: 61 Posted: 03 Apr 2020
Michael Bauer and Eric T. Swanson
Universität Hamburg and University of California, Irvine - Department of Economics
Downloads 17 (612,449)

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