Michael Bauer

Federal Reserve Bank of San Francisco

Economist

101 Market Street

San Francisco, CA 94105

United States

Universität Hamburg

Professor of Financial Economics

Von-Melle-Park 5

Hamburg, 20146

Germany

http://www.michaeldbauer.com

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 17,568

SSRN RANKINGS

Top 17,568

in Total Papers Downloads

5,324

SSRN CITATIONS
Rank 1,382

SSRN RANKINGS

Top 1,382

in Total Papers Citations

888

CROSSREF CITATIONS

284

Scholarly Papers (21)

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
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco
Downloads 772 (60,652)
Citation 29

Abstract:

Loading...

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

2.
Downloads 552 (93,036)
Citation 8

Interest Rate Skewness and Biased Beliefs

Forthcoming in Journal of Finance
Number of pages: 60 Posted: 06 Jan 2023
Michael Bauer and Mikhail Chernov
Federal Reserve Bank of San Francisco and UCLA Anderson
Downloads 255 (219,260)

Abstract:

Loading...

Bond risk premia, slope, asymmetry, skewness, biased beliefs, monetary policy

Interest Rate Skewness and Biased Beliefs

CESifo Working Paper No. 9150
Number of pages: 62 Posted: 24 Jun 2021
Mikhail Chernov and Michael Bauer
UCLA Anderson and Federal Reserve Bank of San Francisco
Downloads 235 (237,720)
Citation 1

Abstract:

Loading...

bond risk premia, slope, asymmetry, skewness, biased beliefs, monetary policy

Interest Rate Skewness and Biased Beliefs

NBER Working Paper No. w28954
Number of pages: 61 Posted: 28 Jun 2021 Last Revised: 11 Feb 2023
Michael Bauer and Mikhail Chernov
Federal Reserve Bank of San Francisco and UCLA Anderson
Downloads 62 (650,329)

Abstract:

Loading...

Interest Rate Skewness and Biased Beliefs

CEPR Discussion Paper No. DP16274
Number of pages: 64 Posted: 14 Jul 2021 Last Revised: 04 Feb 2022
Michael Bauer and Mikhail Chernov
Federal Reserve Bank of San Francisco and UCLA Anderson
Downloads 0
Citation 2
  • Add to Cart

Abstract:

Loading...

Biased Beliefs, Bond Markets, monetary policy, Skewness, yield curve

3.
Downloads 488 (108,303)
Citation 41

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
Federal Reserve Bank of San Francisco, Wake Forest University - Department of Economics and Warwick Business School Finance Group
Downloads 435 (122,726)
Citation 9

Abstract:

Loading...

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

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
Federal Reserve Bank of San Francisco, Wake Forest University - Department of Economics and Warwick Business School Finance Group
Downloads 53 (702,916)

Abstract:

Loading...

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

4.
Downloads 388 (141,352)
Citation 78

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
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco
Downloads 256 (218,352)
Citation 11

Abstract:

Loading...

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
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco
Downloads 132 (395,307)
Citation 67

Abstract:

Loading...

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

5.
Downloads 348 (159,518)
Citation 65

Robust Bond Risk Premia

Number of pages: 62 Posted: 29 Sep 2015 Last Revised: 26 Jan 2017
Michael Bauer and James D. Hamilton
Federal Reserve Bank of San Francisco and University of California at San Diego
Downloads 167 (325,584)
Citation 2

Abstract:

Loading...

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
Federal Reserve Bank of San Francisco and University of California at San Diego
Downloads 125 (412,751)
Citation 4

Abstract:

Loading...

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: 27 Feb 2022
Michael Bauer and James D. Hamilton
Federal Reserve Bank of San Francisco and University of California at San Diego
Downloads 56 (684,706)
Citation 56

Abstract:

Loading...

6.

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
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco
Downloads 290 (193,620)
Citation 34

Abstract:

Loading...

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

7.

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
Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco and University of Notre Dame - Department of Economics
Downloads 268 (209,744)
Citation 12

Abstract:

Loading...

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

8.

Where is the Carbon Premium? Global Performance of Green and Brown Stocks

CESifo Working Paper No. 10246
Number of pages: 45 Posted: 02 Feb 2023
Federal Reserve Bank of San Francisco, Universität Hamburg, Brookings Institution and University of Hamburg
Downloads 231 (245,772)

Abstract:

Loading...

climate risk, transition risk, carbon emissions, green stocks, brown stocks

9.

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
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco
Downloads 224 (249,932)
Citation 16

Abstract:

Loading...

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
Federal Reserve Bank of San Francisco and University of California, Irvine - Department of Economics
Downloads 132 (395,307)
Citation 7

Abstract:

Loading...

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

An Alternative Explanation for the “Fed Information Effect”

NBER Working Paper No. w27013
Number of pages: 49 Posted: 20 Apr 2020 Last Revised: 10 Jul 2023
Michael Bauer and Eric T. Swanson
Federal Reserve Bank of San Francisco and University of California, Irvine - Department of Economics
Downloads 82 (554,575)
Citation 3

Abstract:

Loading...

11.

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
Federal Reserve Bank of San Francisco
Downloads 206 (270,240)
Citation 16

Abstract:

Loading...

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

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
Federal Reserve Bank of San Francisco
Downloads 139 (379,427)
Citation 5

Abstract:

Loading...

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
Federal Reserve Bank of San Francisco
Downloads 66 (628,932)
Citation 13

Abstract:

Loading...

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

13.

The Effect of U.S. Climate Policy on Financial Markets: An Event Study of the Inflation Reduction Act

CESifo Working Paper No. 10739
Number of pages: 38 Posted: 08 Nov 2023
Michael Bauer, Eric Offner and Glenn D. Rudebusch
Federal Reserve Bank of San Francisco, University of Hamburg and Brookings Institution
Downloads 188 (297,691)
Citation 1

Abstract:

Loading...

transition risk, stranded assets, event study, carbon emissions, ESG scores, green stocks, brown stocks

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
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco
Downloads 93 (511,846)
Citation 9

Abstract:

Loading...

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
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco
Downloads 87 (534,323)
Citation 9

Abstract:

Loading...

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

15.

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
Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco and University of Notre Dame - Department of Economics
Downloads 174 (315,972)
Citation 8

Abstract:

Loading...

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

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
Federal Reserve Bank of San Francisco and University of California, Irvine - Department of Economics
Downloads 173 (315,972)
Citation 1

Abstract:

Loading...

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

17.

Term Premia and the News

Number of pages: 51 Posted: 16 Mar 2011
Michael Bauer
Federal Reserve Bank of San Francisco
Downloads 158 (341,429)

Abstract:

Loading...

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

18.

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
Federal Reserve Bank of San Francisco and Federal Reserve Bank of St. Louis - Research Division
Downloads 133 (392,054)
Citation 30

Abstract:

Loading...

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

19.

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
Federal Reserve Bank of San Francisco
Downloads 109 (455,461)
Citation 3

Abstract:

Loading...

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

A Reassessment of Monetary Policy Surprises and High-Frequency Identification

NBER Working Paper No. w29939
Number of pages: 67 Posted: 18 Apr 2022 Last Revised: 22 Apr 2023
Michael Bauer and Eric T. Swanson
Federal Reserve Bank of San Francisco and University of California, Irvine - Department of Economics
Downloads 13 (1,049,311)
Citation 14

Abstract:

Loading...

A Reassessment of Monetary Policy Surprises and High-Frequency Identification

CEPR Discussion Paper No. DP17116
Number of pages: 69 Posted: 29 Mar 2022
Michael Bauer and Eric T. Swanson
Federal Reserve Bank of San Francisco and University of California, Irvine - Department of Economics
Downloads 0
Citation 5
  • Add to Cart

Abstract:

Loading...

External Instruments, FOMC, Monetary Transmission, Policy rule, SVAR

21.

Perceptions About Monetary Policy

NBER Working Paper No. w30480
Number of pages: 70 Posted: 19 Sep 2022 Last Revised: 03 Jul 2023
Federal Reserve Bank of San Francisco, National Bureau of Economic Research (NBER)University of Chicago - Harris School of Public Policy and Harvard University
Downloads 10 (1,042,162)

Abstract:

Loading...