Jeffery D. Amato

Goldman Sachs International

Head of European Credit Strategy

United States

SCHOLARLY PAPERS

16

DOWNLOADS
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SSRN RANKINGS

Top 5,058

in Total Papers Downloads

6,773

CITATIONS
Rank 1,584

SSRN RANKINGS

Top 1,584

in Total Papers Citations

354

Scholarly Papers (16)

1.

Macro Factors in the Term Structure of Credit Spreads

BIS Working Paper No. 203
Number of pages: 68 Posted: 20 Sep 2007
Jeffery D. Amato and Maurizio Luisi
Goldman Sachs International and affiliation not provided to SSRN
Downloads 1,326 (9,934)
Citation 18

Abstract:

corporate bonds, default intensity, event risk, risk premia, interest rate rule

2.

Are Credit Ratings Procyclical?

Bank for International Settlements Working Paper No. 129
Number of pages: 52 Posted: 13 Dec 2005
Jeffery D. Amato and Craig Furfine
Goldman Sachs International and Kellogg School of Management
Downloads 977 (16,602)
Citation 60

Abstract:

rating agencies, business cycles, credit risk

3.

The Credit Spread Puzzle

BIS Quarterly Review, December 2003
Number of pages: 14 Posted: 29 Apr 2012
Jeffery D. Amato and Eli M. Remolona
Goldman Sachs International and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 606 (23,063)
Citation 42

Abstract:

4.

The Pricing of Unexpected Credit Losses

BIS Working Paper No. 190
Number of pages: 46 Posted: 20 Sep 2007
Jeffery D. Amato and Eli M. Remolona
Goldman Sachs International and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 525 (38,464)
Citation 23

Abstract:

credit spread puzzle, jump-at-default risk, Sharpe ratio, collateralised debt obligation

5.
Downloads 485 ( 46,282)
Citation 35

Communication and Monetary Policy

Cowles Foundation Discussion Paper No. 1405
Number of pages: 22 Posted: 08 Mar 2003
Jeffery D. Amato, Stephen Morris and Hyun Song Shin
Goldman Sachs International, Princeton University - Department of Economics and Bank for International Settlements
Downloads 337 (71,224)
Citation 35

Abstract:

Communication, Monetary Policy, Transparency, Common Knowledge

Communication and Monetary Policy

BIS Working Paper No. 123
Number of pages: 30 Posted: 13 Dec 2005
Jeffery D. Amato, Stephen Morris and Hyun Song Shin
Goldman Sachs International, Princeton University - Department of Economics and Bank for International Settlements
Downloads 148 (163,486)
Citation 35

Abstract:

6.

CDS Index Tranches and the Pricing of Credit Risk Correlations

BIS Quarterly Review, March 2005
Number of pages: 16 Posted: 20 May 2012
Jeffery D. Amato and Jacob Gyntelberg
Goldman Sachs International and Copenhagen Business School
Downloads 454 (37,995)
Citation 16

Abstract:

CDS Index Tranches, asset pricing, credit risk correlation

7.

Risk Aversion and Risk Premia in the CDS Market

BIS Quarterly Review, December 2005
Number of pages: 14 Posted: 29 May 2012
Jeffery D. Amato
Goldman Sachs International
Downloads 404 (45,569)
Citation 20

Abstract:

8.

Research on Exchange Rates and Monetary Policy: An Overview

BIS Working Paper No. 178
Number of pages: 22 Posted: 20 Sep 2007
Goldman Sachs International, Bank for International Settlements (BIS) - Monetary and Economic Department, De Nederlandsche Bank, Bank for International Settlements - Research and Policy Analysis and Bank for International Settlements (BIS)
Downloads 378 (59,959)
Citation 2

Abstract:

Monetary Policy, International Finance, Macroeconomic Aspects of International Trade and Finance

Inflation Targeting in Emerging Market and Transition Economies: Lessons after a Decade

HKIMR Working Paper No. 13/2001
Number of pages: 11 Posted: 04 Sep 2007
Jeffery D. Amato and Stefan Gerlach
Goldman Sachs International and Central Bank of Ireland
Downloads 190 (130,579)
Citation 19

Abstract:

Inflation targeting, central banks, monetary policy

Inflation Targeting in Emerging Market and Transition Economies: Lessons After a Decade

CEPR Discussion Paper No. 3074
Number of pages: 15 Posted: 11 Dec 2001
Jeffery D. Amato and Stefan Gerlach
Goldman Sachs International and Central Bank of Ireland
Downloads 45 (345,602)
Citation 20

Abstract:

Inflation targeting, central banks, monetary policy

10.

Public and Private Information in Monetary Policy Models

BIS Working Paper No. 138
Number of pages: 81 Posted: 20 Sep 2007
Jeffery D. Amato and Hyun Song Shin
Goldman Sachs International and Bank for International Settlements
Downloads 192 (119,613)
Citation 21

Abstract:

Imperfect information, monopolistic competition, targeting

11.

The Role of the Natural Rate of Interest in Monetary Policy

BIS Working Paper No. 171
Number of pages: 24 Posted: 20 Sep 2007
Jeffery D. Amato
Goldman Sachs International
Downloads 174 (137,583)
Citation 5

Abstract:

Real interest rate, interest rate rules, Wicksell, New Keynesian models, financial imperfections

12.

Rule-of-Thumb Behaviour and Monetary Policy

FEDS Working Paper No. 2002-05
Number of pages: 51 Posted: 03 Feb 2002
Thomas Laubach and Jeffery D. Amato
Federal Reserve Board and Goldman Sachs International
Downloads 164 (147,079)
Citation 40

Abstract:

Rule of thumb, optimal monetary policy, interest rate rules

13.

Implications of Habit Formation for Optimal Monetary Policy

FEDS Working Paper No. 2001-58, BIS Working Paper No. 121
Number of pages: 43 Posted: 13 Dec 2005
Thomas Laubach and Jeffery D. Amato
Federal Reserve Board and Goldman Sachs International
Downloads 115 (195,328)
Citation 28

Abstract:

Habit formation, interest rate rules

14.

Forecast-based Monetary Policy

BIS Working Paper No. 89
Number of pages: 40 Posted: 13 Dec 2005
Jeffery D. Amato and Thomas Laubach
Goldman Sachs International and Federal Reserve Board
Downloads 52 (310,424)
Citation 2

Abstract:

15.

Monetary Policy in an Estimated Optimisation-based Model with Sticky Prices and Wages

BIS Working Paper No. 87
Number of pages: 46 Posted: 13 Dec 2005
Jeffery D. Amato and Thomas Laubach
Goldman Sachs International and Federal Reserve Board
Downloads 40 (345,841)
Citation 4

Abstract:

16.

The Real-time Predictive Content of Money for Output

BIS Working Paper No. 96
Number of pages: 34 Posted: 13 Dec 2005
Jeffery D. Amato and Norman R. Swanson
Goldman Sachs International and Rutgers University - Department of Economics
Downloads 34 (366,006)
Citation 18

Abstract: