Michael D. Bauer

Federal Reserve Bank of San Francisco

Economist

101 Market Street

San Francisco, CA 94105

United States

  • Federal Reserve Bank of San Francisco

SCHOLARLY PAPERS

13

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2,022

SSRN CITATIONS
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Top 2,832

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95

CROSSREF CITATIONS

291

Scholarly Papers (13)

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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 318 (97,796)
Citation 11

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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 250 (126,368)
Citation 20

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

3.

Robust Bond Risk Premia

Downloads 247 (127,943)
Citation 15

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 121 (240,030)
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 D. Bauer and James D. Hamilton
Federal Reserve Bank of San Francisco and University of California at San Diego
Downloads 105 (266,152)

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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 21 (550,320)
Citation 6

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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 223 (141,467)
Citation 5

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

5.

Interest Rates Under Falling Stars

Downloads 164 (188,095)
Citation 9

Interest Rates Under Falling Stars

American Economic Review, Forthcoming
Number of pages: 51 Posted: 18 Jul 2017 Last Revised: 30 Nov 2019
Michael D. Bauer and Glenn D. Rudebusch
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco
Downloads 107 (262,577)
Citation 7

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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 D. Bauer and Glenn D. Rudebusch
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco
Downloads 57 (386,404)
Citation 1

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

6.

Restrictions on Risk Prices in Dynamic Term Structure Models

Downloads 161 (190,099)
Citation 16

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 119 (243,128)
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 D. Bauer
Federal Reserve Bank of San Francisco
Downloads 42 (438,607)
Citation 3

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

7.

Resolving the Spanning Puzzle in Macro-Finance Term Structure Models

Downloads 126 (232,002)
Citation 29

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 63 (363,865)
Citation 10

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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 63 (363,865)
Citation 2

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

8.

Market-Based Monetary Policy Uncertainty

Downloads 117 (245,117)
Citation 3

Market-Based Monetary Policy Uncertainty

Number of pages: 52 Posted: 30 Apr 2019 Last Revised: 07 Dec 2019
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 101 (273,478)
Citation 4

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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 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 16 (583,873)

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

9.

Term Premia and the News

Number of pages: 51 Posted: 16 Mar 2011
Michael D. Bauer
Federal Reserve Bank of San Francisco
Downloads 108 (259,388)

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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 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 100 (273,621)
Citation 3

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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 D. Bauer
Federal Reserve Bank of San Francisco
Downloads 82 (310,268)
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 D. Bauer and Christopher J. Neely
Federal Reserve Bank of San Francisco and Federal Reserve Bank of St. Louis - Research Division
Downloads 76 (324,348)
Citation 18

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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 D. Bauer
Federal Reserve Bank of San Francisco
Downloads 50 (400,458)
Citation 2

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