Refet S. Gürkaynak

Bilkent University - Department of Economics

06533 Ankara

Turkey

SCHOLARLY PAPERS

21

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4,673

SSRN CITATIONS
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Top 716

in Total Papers Citations

555

CROSSREF CITATIONS

667

Scholarly Papers (21)

1.

Do Actions Speak Louder than Words? The Response of Asset Prices to Monetary Policy Actions and Statements

FEDS Working Paper No. 2004-66
Number of pages: 43 Posted: 19 Dec 2004
Refet S. Gürkaynak, Brian P. Sack and Eric T. Swanson
Bilkent University - Department of Economics, Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and University of California, Irvine - Department of Economics
Downloads 956 (23,308)
Citation 289

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Measuring monetary policy surprises, FOMC statement, factor models, assest prices

Does Inflation Targeting Anchor Long-Run Inflation Expectations? Evidence from Long-Term Bond Yields in the U.S., U.K. And Sweden

Federal Reserve Bank of San Francisco Working Paper No. 2006-09
Number of pages: 51 Posted: 22 Jul 2007
Refet S. Gürkaynak, Andrew T. Levin and Eric T. Swanson
Bilkent University - Department of Economics, affiliation not provided to SSRN and University of California, Irvine - Department of Economics
Downloads 526 (51,772)
Citation 21

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inflation targeting, inflation compensation, excess sensitivity, forward rates, high-frequency data

Does Inflation Targeting Anchor Long-Run Inflation Expectations? Evidence from Long-Term Bond Yields in the U.S., U.K. And Sweden

CEPR Discussion Paper No. 5808
Number of pages: 53 Posted: 12 Oct 2006
Refet S. Gürkaynak, Andrew T. Levin and Eric T. Swanson
Bilkent University - Department of Economics, affiliation not provided to SSRN and University of California, Irvine - Department of Economics
Downloads 45 (416,452)
Citation 11
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Inflation targeting

3.
Downloads 458 ( 62,335)
Citation 11

Econometric Tests of Asset Price Bubbles: Taking Stock

FEDS Working Paper No. 2005-04
Number of pages: 34 Posted: 02 Jan 2005
Refet S. Gürkaynak
Bilkent University - Department of Economics
Downloads 437 (65,309)
Citation 22

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asset price bubbles, econometric bubble detection

Econometric Tests of Asset Price Bubbles: Taking Stock

Journal of Economic Surveys, Vol. 22, Issue 1, pp. 166-186, February 2008
Number of pages: 21 Posted: 31 Jan 2008
Refet S. Gürkaynak
Bilkent University - Department of Economics
Downloads 21 (537,689)
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4.

The U.S. Treasury Yield Curve: 1961 to the Present

FEDS Working Paper No. 2006-28
Number of pages: 42 Posted: 25 Jul 2006
Refet S. Gürkaynak, Brian P. Sack and Jonathan H. Wright
Bilkent University - Department of Economics, Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and Johns Hopkins University - Department of Economics
Downloads 444 (64,697)
Citation 263

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Yield curve, forward rates, on-the-run premium, treasury market

5.

The TIPS Yield Curve and Inflation Compensation

FEDS Working Paper No. 2008-05
Number of pages: 42 Posted: 15 Jan 2009
Refet S. Gürkaynak, Brian P. Sack and Jonathan H. Wright
Bilkent University - Department of Economics, Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and Johns Hopkins University - Department of Economics
Downloads 365 (81,590)
Citation 34

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Yield curve, treasury market, inflation compensation, risk premia

6.

The Excess Sensitivity of Long-Term Interest Rates: Evidence and Implications for Macroeconomic Models

Number of pages: 44 Posted: 09 Mar 2004
Refet S. Gürkaynak, Brian P. Sack and Eric T. Swanson
Bilkent University - Department of Economics, Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and University of California, Irvine - Department of Economics
Downloads 314 (96,668)
Citation 115

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Long-term interest rates, excess volatility, inflation expectations

7.

Market-Based Measures of Monetary Policy Expectations

Federal Reserve Bank of San Francisco Working Paper No. 2006-04, FEDS Working paper 2002-40
Number of pages: 36 Posted: 25 Nov 2002
Refet S. Gürkaynak, Brian P. Sack and Eric T. Swanson
Bilkent University - Department of Economics, Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and University of California, Irvine - Department of Economics
Downloads 293 (104,235)
Citation 47

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monetary policy, federal funds rate, financial markets

8.

Using Federal Funds Futures Contracts for Monetary Policy Analysis

FEDS Working Paper No. 2005-29
Number of pages: 34 Posted: 05 Oct 2005
Refet S. Gürkaynak
Bilkent University - Department of Economics
Downloads 261 (117,760)
Citation 30

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Measuring monetary policy surprises, timing slope and level surprises, asset prices

Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty and Risk

IZA Discussion Paper No. 1899, Federal Reserve Bank of San Francisco Working Paper No. 2005-26
Number of pages: 46 Posted: 13 Jan 2006
Refet S. Gürkaynak and Justin Wolfers
Bilkent University - Department of Economics and University of Michigan at Ann Arbor - Department of Economics
Downloads 198 (154,260)

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economic derivatives, macroeconomic forecasting, uncertainty, disagreement, prediction markets, density forecasting

Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty, and Risk

NBER Working Paper No. w11929
Number of pages: 45 Posted: 13 Apr 2006 Last Revised: 07 Aug 2010
Refet S. Gürkaynak and Justin Wolfers
Bilkent University - Department of Economics and University of Michigan at Ann Arbor - Department of Economics
Downloads 44 (420,339)

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Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty and Risk

CEPR Discussion Paper No. 5466
Number of pages: 47 Posted: 03 May 2006
Justin Wolfers and Refet S. Gürkaynak
University of Michigan at Ann Arbor - Department of Economics and Bilkent University - Department of Economics
Downloads 17 (563,774)
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Density forecasts, disagreement, economic derivatives, expectations, forecasting, macroeconomic surveys, prediction markets, surveys, uncertainty

10.

Is Growth Exogenous? Taking Mankiw, Romer and Weil Seriously

NBER Working Paper No. w8365
Number of pages: 56 Posted: 09 Jul 2001 Last Revised: 17 Aug 2001
Ben S. Bernanke and Refet S. Gürkaynak
Board of Governors of the Federal Reserve System and Bilkent University - Department of Economics
Downloads 172 (175,386)
Citation 6

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11.
Downloads 146 (179,906)
Citation 4

Is Optimal Monetary Policy Always Optimal?

Federal Reserve Bank of Kansas City Working Paper No. 15-05
Number of pages: 34 Posted: 05 Aug 2015
Troy Davig and Refet S. Gürkaynak
Federal Reserve Bank of Kansas City and Bilkent University - Department of Economics
Downloads 76 (320,107)
Citation 2

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Is Optimal Monetary Policy Always Optimal?

CFS Working Paper No. 510
Number of pages: 43 Posted: 19 Aug 2015
Troy Davig and Refet S. Gürkaynak
Federal Reserve Bank of Kansas City and Bilkent University - Department of Economics
Downloads 70 (335,649)
Citation 2

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Central Banking, Monetary Policy, Fiscal Policy, Optimal Policy, Optimal Policy Mix

Is Optimal Monetary Policy Always Optimal?

CEPR Discussion Paper No. DP10767
Number of pages: 42 Posted: 18 Aug 2015
Troy Davig and Refet S. Gürkaynak
Federal Reserve Bank of Kansas City and Bilkent University - Department of Economics
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central banking, fiscal policy, monetary policy, optimal policy, optimal policy mix

12.

How Useful are Estimated DSGE Model Forecasts?

Number of pages: 68 Posted: 18 Apr 2011
Rochelle M. Edge and Refet S. Gürkaynak
Monetary Affairs Division at the Board of Governors of the Federal Reserve System and Bilkent University - Department of Economics
Downloads 155 (191,700)
Citation 7

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DSGE Model Forecast, Forecast Comparison, Great Moderation

Convergence and Anchoring of Yield Curves in the Euro Area

ECB Working Paper No. 817
Number of pages: 52 Posted: 19 Oct 2007
European Central Bank (ECB), DIW Berlin, Bilkent University - Department of Economics and University of California, Irvine - Department of Economics
Downloads 87 (294,649)

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bond markets, euro area, EMU, convergence, anchoring, credibility, monetary policy

Convergence and Anchoring of Yield Curves in the Euro Area

FRB of San Francisco Working Paper No. 2007-24
Number of pages: 46 Posted: 02 Nov 2007
European Central Bank (ECB), DIW Berlin, Bilkent University - Department of Economics and University of California, Irvine - Department of Economics
Downloads 44 (420,339)
Citation 25

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bond markets, euro area, EMU; convergence, anchoring, credibility

Convergence and Anchoring of Yield Curves in the Euro Area

CEPR Discussion Paper No. DP6456
Number of pages: 48 Posted: 30 May 2008
European Central Bank (ECB), DIW Berlin, Bilkent University - Department of Economics and University of California, Irvine - Department of Economics
Downloads 6 (640,284)
Citation 2
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anchoring, bond markets, convergence, credibility, EMU, euro area, monetary policy

14.
Downloads 80 (307,379)
Citation 3

Measuring Euro Area Monetary Policy

CFS Working Paper, No. 624, 2019
Number of pages: 57 Posted: 18 Jun 2019
European Central Bank (ECB), affiliation not provided to SSRN, Bilkent University - Department of Economics, European Central Bank (ECB) and University of Pisa - Department of Economics and Management
Downloads 31 (478,210)
Citation 3

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ECB policy surprise, event-study, intraday, persistence, asymmetry

Measuring Euro Area Monetary Policy

ECB Working Paper No. 2281 (2019); ISBN 978-92-899-3543-2
Number of pages: 57 Posted: 20 May 2019
European Central Bank (ECB), affiliation not provided to SSRN, Bilkent University - Department of Economics, European Central Bank (ECB) and University of Pisa - Department of Economics and Management
Downloads 28 (494,405)

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ECB policy surprise, event-study, intraday, persistence, asymmetry

Measuring Euro Area Monetary Policy

CESifo Working Paper No. 7699
Number of pages: 56 Posted: 10 Jul 2019 Last Revised: 23 Jul 2019
European Central Bank (ECB), affiliation not provided to SSRN, Bilkent University - Department of Economics, European Central Bank (ECB) and University of Pisa - Department of Economics and Management
Downloads 20 (544,229)

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ECB policy surprise, event-study, intraday, persistence, asymmetry

Measuring Euro Area Monetary Policy

CEPR Discussion Paper No. DP13759
Number of pages: 44 Posted: 11 Jun 2019 Last Revised: 04 Oct 2019
European Central Bank (ECB), affiliation not provided to SSRN, Bilkent University - Department of Economics, European Central Bank (ECB) and University of Pisa - Department of Economics and Management
Downloads 1 (689,218)
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Asymmetry, ECB policy surprise, Event-Study, intraday, Persistence

Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises

CESifo Working Paper No. 7229
Number of pages: 52 Posted: 31 Oct 2018
Refet S. Gürkaynak, Burçin Kısacıkoğlu and Jonathan H. Wright
Bilkent University - Department of Economics, Bilkent University - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 29 (488,764)

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event study, bondmarkets, high-frequency data, identification

Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises

NBER Working Paper No. w25016
Number of pages: 43 Posted: 17 Sep 2018
Refet S. Gürkaynak, Burçin Kısacıkoğlu and Jonathan H. Wright
Bilkent University - Department of Economics, Bilkent University - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 8 (625,807)
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Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises

CEPR Discussion Paper No. DP13153
Number of pages: 63 Posted: 17 Sep 2018 Last Revised: 04 Oct 2019
Refet S. Gürkaynak, Burçin Kısacıkoğlu and Jonathan H. Wright
Bilkent University - Department of Economics, Bilkent University - Department of Economics and Johns Hopkins University - Department of Economics
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Bond Markets, event study, high-frequency data, identification

16.

Macroeconomics and the Term Structure

CEPR Discussion Paper No. DP8018
Number of pages: 68 Posted: 14 Nov 2010
Refet S. Gürkaynak and Jonathan H. Wright
Bilkent University - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 14 (561,755)
Citation 5
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affine models, expectations hypothesis, financial crisis, inflation, interest rates, segmented markets, Term structure

17.

How Useful are Estimated DSGE Model Forecasts for Central Bankers?

CEPR Discussion Paper No. DP8158
Number of pages: 79 Posted: 27 Dec 2010
Rochelle M. Edge and Refet S. Gürkaynak
Monetary Affairs Division at the Board of Governors of the Federal Reserve System and Bilkent University - Department of Economics
Downloads 5 (619,842)
Citation 5
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DSGE model forecast, forecast comparison, Great Moderation

18.

Identification and Inference Using Event Studies

CEPR Discussion Paper No. DP9388
Number of pages: 31 Posted: 19 Mar 2013
Refet S. Gürkaynak and Jonathan H. Wright
Bilkent University - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 4 (626,856)
Citation 1
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Bond Markets, Event Study, High-Frequency Data, Identification, TAF

19.

Stock Market's Assessment of Monetary Policy Transmission: The Cash Flow Effect

CEPR Discussion Paper No. DP14017
Number of pages: 56 Posted: 07 Oct 2019
Refet S. Gürkaynak, Sang Seok Lee and Gokce Karasoy Can
Bilkent University - Department of Economics, Bilkent University and Central Bank of Turkey
Downloads 1 (656,658)
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Cash flow effect of monetary policy, Financial Frictions, Investor sophistication, stock pricing

20.

Do DSGE Models Forecast More Accurately Out-of-Sample than VAR Models?

CEPR Discussion Paper No. DP9576
Number of pages: 63 Posted: 31 Jul 2013
Refet S. Gürkaynak, Burçin Kisacikoglu and Barbara Rossi
Bilkent University - Department of Economics, Johns Hopkins University and Universitat Pompeu Fabra - Centre de Recerca en Economia Internacional (CREI)
Downloads 1 (656,658)
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Bayesian VAR, DSGE, forecast comparison, forecast optimality, Forecasting, real-time data

21.

Monetary Policy in Turkey after Central Bank Independence

CEPR Discussion Paper No. DP10904
Number of pages: 32 Posted: 28 Oct 2015
Refet S. Gürkaynak, Zeynep Kantur, M. Anıl Taş and Seçil Yıldırım
Bilkent University - Department of Economics, Bilkent University, Bilkent University and Bilkent University
Downloads 0 (674,029)
Citation 2
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CBRT, fiscal policy, monetary policy, Turkey