Refet S. Gürkaynak

Bilkent University - Department of Economics

06533 Ankara

Turkey

SCHOLARLY PAPERS

25

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Top 9,936

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6,863

SSRN CITATIONS
Rank 583

SSRN RANKINGS

Top 583

in Total Papers Citations

1,185

CROSSREF CITATIONS

544

Scholarly Papers (25)

1.

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

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 1,730 (14,268)
Citation 224

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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 566 (68,010)
Citation 37

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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 (558,619)
Citation 13
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Inflation targeting

3.

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 558 (70,024)
Citation 380

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

4.
Downloads 555 ( 70,489)
Citation 15

Econometric Tests of Asset Price Bubbles: Taking Stock

Number of pages: 34 Posted: 02 Jan 2005
Refet S. Gürkaynak
Bilkent University - Department of Economics
Downloads 530 (73,884)
Citation 26

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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 25 (683,713)

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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 409 (101,591)
Citation 72

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Yield curve, treasury market, inflation compensation, risk premia

6.

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 404 (103,006)
Citation 34

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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 264 (161,924)

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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 2022
Refet S. Gürkaynak and Justin Wolfers
Bilkent University - Department of Economics and University of Michigan at Ann Arbor - Department of Economics
Downloads 107 (349,085)

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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 (751,663)
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Density forecasts, disagreement, economic derivatives, expectations, forecasting, macroeconomic surveys, prediction markets, surveys, uncertainty

8.

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 340 (125,139)
Citation 178

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Long-term interest rates, excess volatility, inflation expectations

9.

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 334 (127,527)
Citation 63

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monetary policy, federal funds rate, financial markets

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

CFS Working Paper, No. 628, 2019
Number of pages: 56 Posted: 06 Nov 2019
Refet S. Gürkaynak, Hatice Gökce Karasoy-Can and Sang Seok Lee
Bilkent University - Department of Economics, Central Bank of Turkey and Bilkent University
Downloads 197 (214,447)
Citation 4

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Cash flow effect of monetary policy, investor sophistication, financial frictions, stock pricing

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

CESifo Working Paper No. 7898
Number of pages: 55 Posted: 23 Oct 2019
Refet S. Gürkaynak, Hatice Gökce Karasoy-Can and Sang Seok Lee
Bilkent University - Department of Economics, Central Bank of Turkey and Bilkent University
Downloads 38 (596,365)

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cash flow effect of monetary policy, investor sophistication, financial frictions, stock pricing

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 (931,900)
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Cash flow effect of monetary policy, Financial Frictions, Investor sophistication, stock pricing

11.
Downloads 199 (192,112)
Citation 5

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 107 (349,085)
Citation 4

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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 92 (385,545)
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.
Downloads 212 (200,569)
Citation 51

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 85 (405,049)
Citation 7

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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 81 (416,873)
Citation 1

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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: 18 Nov 2021
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 45 (558,619)
Citation 3

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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 (931,900)
Citation 44
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Asymmetry, ECB policy surprise, Event-Study, intraday, Persistence

13.

Is Growth Exogenous? Taking Mankiw, Romer and Weil Seriously

NBER Working Paper No. w8365
Number of pages: 56 Posted: 09 Jul 2001 Last Revised: 12 May 2022
Ben S. Bernanke and Refet S. Gürkaynak
Board of Governors of the Federal Reserve System and Bilkent University - Department of Economics
Downloads 198 (213,550)
Citation 14

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14.

How Useful are Estimated DSGE Model Forecasts?

FEDS Working Paper No. 2011-11
Number of pages: 68 Posted: 18 Apr 2011
Rochelle M. Edge and Refet S. Gürkaynak
Board of Governors of the Federal Reserve System and Bilkent University - Department of Economics
Downloads 190 (221,546)
Citation 9

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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 99 (367,900)

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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 55 (511,509)
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 (863,821)
Citation 7
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anchoring, bond markets, convergence, credibility, EMU, euro area, monetary policy

Monetary Policy Surprises and Exchange Rate Behavior

CFS Working Paper, No. 642, 2020
Number of pages: 55 Posted: 09 Nov 2020
Refet S. Gürkaynak, Hakan Kara, Burçin Kısacıkoğlu and Sang Seok Lee
Bilkent University - Department of Economics, Central Bank of Turkey, Bilkent University - Department of Economics and Bilkent University
Downloads 81 (416,873)

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Exchange rate response to monetary policy, central bank information effect, open economy macro-finance modeling

Monetary Policy Surprises and Exchange Rate Behavior

CESifo Working Paper No. 8557
Number of pages: 54 Posted: 25 Sep 2020
Bilkent University - Department of Economics, Bilkent University - Department of Economics, Bilkent University - Department of Economics and Bilkent University
Downloads 34 (620,418)

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exchange rate response to monetary policy, central bank information effect, open economy macro-finance modeling

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 82 (413,891)

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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 Last Revised: 09 May 2022
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 22 (708,239)

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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
Downloads 0
Citation 4
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Bond Markets, event study, high-frequency data, identification

Exchange Rate and Inflation under Weak Monetary Policy: Turkey Verifies Theory

Center for Financial Studies Working Paper No. 679, 2022
Number of pages: 42 Posted: 18 May 2022
Refet S. Gürkaynak, Burçin Kısacıkoğlu and Sang Seok Lee
Bilkent University - Department of Economics, Bilkent University - Department of Economics and Bilkent University
Downloads 53 (520,368)

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Exchange Rate and Inflation Under Weak Monetary Policy: Turkey Verifies Theory

CESifo Working Paper No. 9748
Number of pages: 41 Posted: 24 May 2022
Refet S. Gürkaynak, Burçin Kısacıkoğlu and Sang Seok Lee
Bilkent University - Department of Economics, Bilkent University - Department of Economics and Bilkent University
Downloads 38 (596,365)

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Exchange Rate and Inflation Under Weak Monetary Policy: Turkey Verifies Theory

CEPR Discussion Paper No. DP17248
Number of pages: 42 Posted: 27 May 2022
Refet S. Gürkaynak, Burçin Kısacıkoğlu and Sang Seok Lee
Bilkent University - Department of Economics, Bilkent University - Department of Economics and Bilkent University
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central bank independence, Currency Crisis, effective upper bound, emerging markets, inflation spirals, Taylor principle, Turkey, weak monetary policy

19.

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 (752,941)
Citation 16
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affine models, expectations hypothesis, financial crisis, inflation, interest rates, segmented markets, Term structure

Monetary Policy Surprises and Exchange Rate Behavior

NBER Working Paper No. w27819
Number of pages: 53 Posted: 14 Sep 2020 Last Revised: 07 Jul 2022
Refet S. Gürkaynak, Hakan Kara, Burçin Kısacıkoğlu and Sang Seok Lee
Bilkent University - Department of Economics, Central Bank of Turkey, Bilkent University - Department of Economics and Bilkent University
Downloads 5 (875,163)
Citation 1

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Monetary Policy Surprises and Exchange Rate Behavior

CEPR Discussion Paper No. DP15289
Number of pages: 55 Posted: 22 Sep 2020
Refet S. Gürkaynak, Hakan Kara, Burçin Kısacıkoğlu and Sang Seok Lee
Bilkent University - Department of Economics, Central Bank of Turkey, Bilkent University - Department of Economics and Bilkent University
Downloads 0
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central bank information effect, Exchange rate response to monetary policy, open economy macro-finance modeling

21.

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
Board of Governors of the Federal Reserve System and Bilkent University - Department of Economics
Downloads 5 (841,493)
Citation 11
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DSGE model forecast, forecast comparison, Great Moderation

22.

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 (852,743)
Citation 11
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Bond Markets, Event Study, High-Frequency Data, Identification, TAF

23.

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 (892,065)
Citation 3
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Bayesian VAR, DSGE, forecast comparison, forecast optimality, Forecasting, real-time data

24.

Output Concerns and Precautionary Savings in Emerging Markets' Debt and Reserve Accumulation

CEPR Discussion Paper No. DP16969
Number of pages: 63 Posted: 04 Feb 2022
Refet S. Gürkaynak, Sang Seok Lee, Paul Luk and Ju Hyun Pyun
Bilkent University - Department of Economics, Bilkent University, Hong Kong Institute for Monetary and Financial Research and Korea University Business School (KUBS)
Downloads 0 (908,821)
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emerging markets, External Debt, International Reserves, Mercantilism, Output Externalities, precautionary savings, Real interest rate, Regime-Switching Small Open Economy Model, Sudden stops

25.

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 (908,821)
Citation 2
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CBRT, fiscal policy, monetary policy, Turkey