Marcel Priebsch

Board of Governors of the Federal Reserve System

Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

5

DOWNLOADS

487

SSRN CITATIONS
Rank 9,459

SSRN RANKINGS

Top 9,459

in Total Papers Citations

88

CROSSREF CITATIONS

48

Scholarly Papers (5)

1.

Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks

Marshall School of Business Working Paper No. FBE 05.13
Number of pages: 46 Posted: 05 Jul 2013
Scott Joslin, Marcel Priebsch and Kenneth J. Singleton
University of Southern California - Department of Finance and Business Economics, Board of Governors of the Federal Reserve System and Stanford University - Graduate School of Business
Downloads 340 (111,768)
Citation 128

Abstract:

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term structure model, macro finance, unspanned macro risks

2.

Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models

FEDS Working Paper No. 2013-63
Number of pages: 36 Posted: 06 Nov 2013
Marcel Priebsch
Board of Governors of the Federal Reserve System
Downloads 118 (293,363)
Citation 23

Abstract:

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Shadow-rate model, zero lower bound, dynamic term structure model

3.

Are Shadow Rate Models of the Treasury Yield Curve Structurally Stable?

FEDS Working Paper No. 2020-61
Number of pages: 44 Posted: 24 Aug 2020 Last Revised: 25 Aug 2020
Don H. Kim and Marcel Priebsch
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 29 (581,074)

Abstract:

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4.

A New Way to Visualize the Evolution of Monetary Policy Expectations

FEDS Notes No. 2019-09-20-2
Posted: 22 Oct 2019
Marcel Priebsch
Board of Governors of the Federal Reserve System

Abstract:

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5.

A Shadow Rate Model of Intermediate-Term Policy Rate Expectations

FEDS Notes No. 2017-10-04-1 https://doi.org/10.17016/2380-7172.2056
Posted: 16 Oct 2017
Marcel Priebsch
Board of Governors of the Federal Reserve System

Abstract:

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