default author photo

Antulio N. Bomfim

Board of Governors of the Federal Reserve System

Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

  • Board of Governors of the Federal Reserve System

    • Email
    • Tel: 202-735-5619
    • Fax: 202-452-2301
SCHOLARLY PAPERS

17

DOWNLOADS
Rank 23,047

SSRN RANKINGS

Top 23,047

in Total Papers Downloads

5,436

TOTAL CITATIONS
Rank 18,472

SSRN RANKINGS

Top 18,472

in Total Papers Citations

91

Scholarly Papers (17)

Actions:
Email selected abstracts
1.

Understanding Credit Derivatives and Their Potential to Synthesize Riskless Assets

Board of Governors of the Federal Reserve System, 2001-50
Number of pages: 31 Posted: 14 Dec 2001
Antulio N. Bomfim
Board of Governors of the Federal Reserve System
Downloads 1,137 (47,204)
Citation 5

Abstract:

Loading...

Credit default swaps, risk, asset swaps, financial engineering, synthetic CDOs

2.

Credit Default Swaps

FEDS Working Paper No. 2022-23
Number of pages: 27 Posted: 13 May 2022
Antulio N. Bomfim
Board of Governors of the Federal Reserve System
Downloads 707 (90,336)
Citation 4

Abstract:

Loading...

Credit derivatives, Credit default swaps, Credit risk, CDX, Credit curves, CDS-cash basis, CDS valuation

3.

Counterparty Credit Risk in Interest Rate Swaps During Times of Market Stress

Number of pages: 52 Posted: 16 Jun 2003
Antulio N. Bomfim
Board of Governors of the Federal Reserve System
Downloads 613 (108,884)
Citation 8

Abstract:

Loading...

Convexity adjustment, futures and forward rates, affine models, calibration

4.

Pre-Announcement Effects, News, and Volatility: Monetary Policy and the Stock

Number of pages: 33 Posted: 11 Apr 2001
Antulio N. Bomfim
Board of Governors of the Federal Reserve System
Downloads 610 (109,586)
Citation 19

Abstract:

Loading...

Uncertainty, information, announcements, expectations, GARCH, risk

5.

Monetary Policy and the Yield Curve

Number of pages: 37 Posted: 24 Jul 2003
Antulio N. Bomfim
Board of Governors of the Federal Reserve System
Downloads 574 (118,447)
Citation 3

Abstract:

Loading...

Affine models, expectations hypothesis, latent factors, eurodollar futures

6.

Measuring Equilibrium Real Interest Rates: What Can We Learn from Yields on Indexed Bonds?

Number of pages: 26 Posted: 17 Dec 2001
Antulio N. Bomfim
Board of Governors of the Federal Reserve System
Downloads 425 (170,764)
Citation 20

Abstract:

Loading...

Inflation-indexed securities, forward rates, risk premium, monetary policy

7.

Making News: Financial Market Effects of Federal Reserve Disclosure Practices

Number of pages: 37 Posted: 17 Jul 2000
Antulio N. Bomfim and Vincent R. Reinhart
Board of Governors of the Federal Reserve System and American Enterprise Institute (AEI)
Downloads 414 (176,035)
Citation 23

Abstract:

Loading...

Monetary policy transparency, expectations, asset prices

8.

'Interest Rates as Options': Assessing the Markets' View of the Liquidity Trap

Number of pages: 41 Posted: 09 Oct 2003
Antulio N. Bomfim
Board of Governors of the Federal Reserve System
Downloads 235 (324,656)
Citation 5

Abstract:

Loading...

Zero bound, term structure of interest rates, monetary policy, deflation

9.

Optimal Portfolio Allocation in a World Without Treasury Securities

Number of pages: 27 Posted: 23 Feb 2001
Antulio N. Bomfim
Board of Governors of the Federal Reserve System
Downloads 219 (348,255)
Citation 1

Abstract:

Loading...

CAPM, risk, corporate securities, government debt

10.

Do Noisy Data Exacerbate Cyclical Volatility?

Number of pages: 12 Posted: 03 Jan 2000
Antulio N. Bomfim
Board of Governors of the Federal Reserve System
Downloads 177 (426,635)

Abstract:

Loading...

11.

Measurement Error in General Equilibrium: The Aggregate Effects of Noisy Economic Indicators

Number of pages: 28 Posted: 11 Apr 2000
Antulio N. Bomfim
Board of Governors of the Federal Reserve System
Downloads 123 (584,619)
Citation 2

Abstract:

Loading...

cyclical volatility, signal extraction, bounded rationality, production externalities

12.

Heterogeneous Forecasts and Aggregate Dynamics

Number of pages: 19 Posted: 06 Nov 2000
Antulio N. Bomfim
Board of Governors of the Federal Reserve System
Downloads 108 (649,907)

Abstract:

Loading...

Expectations, business cycles, strategic complementarity, propagation, bounded rationality

13.

Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers

NBER Working Paper No. w5482
Number of pages: 29 Posted: 21 May 1998 Last Revised: 26 Jun 2022
Antulio N. Bomfim and Francis X. Diebold
Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics
Downloads 52 (1,041,696)

Abstract:

Loading...

14.

Expectations, Learning and the Costs of Disinflation: Experiments using the FRB/US Model

FEDS Working Paper No. 1997-42
Number of pages: 34 Posted: 01 Aug 2022
Antulio N. Bomfim, Robert J. Tetlow, Peter von zur Muehlen and John C. Williams
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Federal Reserve Board and Federal Reserve Bank of New York
Downloads 42 (1,157,785)
Citation 1

Abstract:

Loading...

Monetary policy, disinflation, expectations, learning, macroeconomic modeling

15.

Opportunistic and Deliberate Disinflation Under Imperfect Credibility

Economics Discussion Series (98-01)
Posted: 03 Mar 1998
Antulio N. Bomfim and Glenn D. Rudebusch
Board of Governors of the Federal Reserve System and Federal Reserve Bank of San Francisco

Abstract:

Loading...

16.

Forecasting the Forecasts of Others: Expectational Heterogeneity and Aggregate Dynamics

Posted: 19 Nov 1996
Antulio N. Bomfim
Board of Governors of the Federal Reserve System

Abstract:

Loading...

17.

The Equilibrium Fed Funds Rate and the Indicator Properties of Term-Structure Spreads

Downloads 0 (1,596,965)

The Equilibrium Fed Funds Rate and the Indicator Properties of Term-Structure Spreads

Federal Reserve System Working Paper 95-40
Posted: 19 Oct 1995
Antulio N. Bomfim
Board of Governors of the Federal Reserve System

Abstract:

Loading...

The Equilibrium Fed Funds Rate and the Indicator Properties of Term Structure Spreads

Economic Inquiry, Volume XXXV, Number 4, October 1997
Posted: 17 Nov 1997
Antulio N. Bomfim
Board of Governors of the Federal Reserve System

Abstract:

Loading...