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Johns Hopkins University - Department of Economics
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Monetary policy, Taylor rule, fiscal policy
forward contracts, futures, forecast evaluation, risk premia, random walk
shrinkage, Phillips curve, model uncertainty, forecasting, inflation
Autoregression, spectrum, volatility forecasting,
Interest rates, forecasting, GDP growth, term premiums, probit
Forward rates, term-structure model, arbitrage-free pricing, term premiums
Foreign exchange, trading volume, news announcements, high-frequency data, conditional mean, conditional volatility
Taylor Rule, monetary policy, European Central Bank, Bundesbank, inflation
Long memory, stock returns, frequency domain, emerging markets
Unspanned Stochastic Volatility, Regime-Shift Term Structure, Bond Return Predictability, Expectations Hypothesis, Countercyclical Risk Premia, Realized Jump Risk
Yield curve, forward rates, on-the-run premium, treasury market
monetary model, real time data, random walk
shrinkage, model uncertainty, forecasting, exchange rates, bootstrap
Yield curve, treasury market, inflation compensation, risk premia
uncovered interest parity, high frequency data, exchange rates, risk premia
Trading volume, foreign exchange, high-frequency data, news announcements
order flow, foreign exchange, high-frequency data, news announcements
data releases, exchange rates, uncovered interest parity, overshooting
High frequency data, identification, vector autoregression, exchange rates, monetary policy
Survey forecasts, mixed frequency data sampling, forecast evaluation, rational expectations, Kalman filter, Kalman smoother, news announcement
Non-stationarity, survey forecasts, term structure of interest rates, forecasting, yield curve
Large scale asset purchases, quantitative easing, zero bound, term premium
Semiparametric Methods, Fractional Integration, Stochastic Volatility, Stock Returns, Heavy Tails.
Yield curve, forward rates, volatility, term premium, affine models, monetary policy
yield curve, forward rates, volatility, term premium, affine models, monetary policy
Vintage Data, Preliminary Data, Final Data, Revision, GDP
Generalized Method of Moments, Identification, Asset Pricing, Instrumental Variables
partial identification, monetary policy, vector autoregressions
Confidence Intervals, Vector Autoregressions, Impulse Responses, Bootstrap
News Announcements, Rounding, Market Efficiency, Rational Inattention
Cointegration, Local to Unit Roots, Robustness, Instrumental Variables
Identification, Robust Confidence Sets, Weak Instruments, Generalized Method of Moments
Forecasting, real-time data, Bayesian Model Averaging, credit spreads
current account, forecasting
Term structure models, bond yields, jumps, news announcements, bond risk premia
This is a National Bureau of Economic Research Paper. NBER charges a fee of
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File name: nber.
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This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: ecoj2556.
Instrument relevance, Instrumental variables, Similar tests
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP8018.
affine models, expectations hypothesis, financial crisis, inflation, interest rates, segmented markets, Term structure
Weather, employment data, seasonal adjustment, MIDAS
File name: DP9388.
Bond Markets, Event Study, High-Frequency Data, Identification, TAF
File name: ectj.
interest rates, conundrum, monetary policy transmission
File name: ECOP.
File name: manc12020.
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