Daniel L. Thornton

Federal Reserve Bank of St. Louis - Research Division

Vice President and Economic Advisor

411 Locust St

Saint Louis, MO 63011

United States

http://research.stlouisfed.org/econ/thornton/

SCHOLARLY PAPERS

32

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5,123

SSRN CITATIONS
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Top 6,704

in Total Papers Citations

75

CROSSREF CITATIONS

121

Scholarly Papers (32)

1.
Downloads 864 ( 40,182)
Citation 12

How Effective is Central Bank Forward Guidance?

Review, Vol. 97, Issue 4, pp. 303-22, 2015
Number of pages: 20 Posted: 28 Mar 2016 Last Revised: 24 Jul 2019
Clemens J.M. Kool and Daniel L. Thornton
Utrecht University - School of Economics and Federal Reserve Bank of St. Louis - Research Division
Downloads 450 (91,649)
Citation 5

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How Effective is Central Bank Forward Guidance?

FRB of St. Louis Working Paper No. 2012-063A
Number of pages: 40 Posted: 05 Jan 2013
Clemens J.M. Kool and Daniel L. Thornton
Utrecht University - School of Economics and Federal Reserve Bank of St. Louis - Research Division
Downloads 301 (143,385)
Citation 1

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monetary policy, central bank transparency, interest rates, term structure, forecasting

How Effective is Central Bank Forward Guidance?

FRB St. Louis Working Paper No. 2012-063
Number of pages: 40 Posted: 09 Nov 2015
Clemens J.M. Kool and Daniel L. Thornton
Utrecht University - School of Economics and Federal Reserve Bank of St. Louis - Research Division
Downloads 113 (340,578)

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Monetary policy, Banks and banking, Central

2.

Evidence on the Portfolio Balance Channel of Quantitative Easing

Federal Reserve Bank of St. Louis Working Paper Series No. 2012-015A
Number of pages: 33 Posted: 16 Jun 2012 Last Revised: 06 Nov 2012
Daniel L. Thornton
Federal Reserve Bank of St. Louis - Research Division
Downloads 636 (60,155)
Citation 1

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quantitative easing, portfolio balance channel, unconventional monetary policy, zero lower bound, term premium

Predictions of Short-Term Rates and the Expectations Hypothesis of the Term Structure of Interest Rates

ECB Working Paper No. 977, FRB of St. Louis Working Paper No. 2004-010A
Number of pages: 29 Posted: 16 Mar 2005
Massimo Guidolin and Daniel L. Thornton
University of Liverpool Management School and Federal Reserve Bank of St. Louis - Research Division
Downloads 288 (150,124)

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Expectations theory, Random walk hypothesis, Time-varying risk premium

Predictions of Short-Term Rates and the Expectations Hypothesis of the Term Structure of Interest Rates

ECB Working Paper No. 977
Number of pages: 32 Posted: 23 Dec 2008
Massimo Guidolin and Daniel L. Thornton
University of Liverpool Management School and Federal Reserve Bank of St. Louis - Research Division
Downloads 185 (229,721)
Citation 3

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expectations theory, random walk, time-varying risk premium

4.

The Federal Reserve's Response to the Financial Crisis: What It Did and What It Should Have Done

FRB of St. Louis Working Paper No. 2012-050A
Number of pages: 46 Posted: 06 Nov 2012
Daniel L. Thornton
Federal Reserve Bank of St. Louis - Research Division
Downloads 309 (140,266)
Citation 3

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financial crisis, monetary base, quantitative easing, operation twist, forward guidance, the natural rate of interest

The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value

FRB of St. Louis Working Paper No. 2006-061B
Number of pages: 42 Posted: 06 Dec 2006
Pasquale Della Corte, Lucio Sarno and Daniel L. Thornton
Imperial College Business School, University of Cambridge - Judge Business School and Federal Reserve Bank of St. Louis - Research Division
Downloads 235 (183,962)
Citation 2

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Expectation Hypothesis, Term Structure of Interest Rates, Vector Autoregression, Economic Value

The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value

CEPR Discussion Paper No. DP6445
Number of pages: 39 Posted: 30 May 2008
Pasquale Della Corte, Lucio Sarno and Daniel L. Thornton
Imperial College Business School, University of Cambridge - Judge Business School and Federal Reserve Bank of St. Louis - Research Division
Downloads 3 (919,222)
Citation 4
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economic value, expectation hypothesis, term structure of interest rates, vector autoregression

6.

An Evaluation of Event-Study Evidence on the Effectiveness of the FOMC’s LSAP Program: Are the Announcement Effects Identified?

FRB of St. Louis Working Paper No. 2013-033B
Number of pages: 47 Posted: 02 Nov 2013 Last Revised: 12 Mar 2014
Daniel L. Thornton
Federal Reserve Bank of St. Louis - Research Division
Downloads 218 (198,157)

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quantitative easing, large-scale asset purchases, FOMC, event-studies, announcement effect.

7.

Out-of-sample Predictions of Bond Excess Returns and Forward Rates: An Asset-Allocation Perspective

Number of pages: 38 Posted: 07 Oct 2010 Last Revised: 12 Apr 2011
Daniel L. Thornton and Giorgio Valente
Federal Reserve Bank of St. Louis - Research Division and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 216 (199,880)
Citation 24

Abstract:

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bond yields, bond excess returns, predictability

8.

The Effectiveness of Unconventional Monetary Policy: The Term Auction Facility

Number of pages: 38 Posted: 30 Oct 2010
Daniel L. Thornton
Federal Reserve Bank of St. Louis - Research Division
Downloads 188 (226,518)
Citation 1

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term auction facility, liquidity premium, counterparty risk, libor rate

9.

Predictions of Short-Term Rates and the Expectations Hypothesis

Federal Reserve Bank of St. Louis Working Paper Series No. 2010-013B
Number of pages: 53 Posted: 21 May 2010 Last Revised: 15 Jan 2011
Massimo Guidolin and Daniel L. Thornton
University of Liverpool Management School and Federal Reserve Bank of St. Louis - Research Division
Downloads 173 (243,374)
Citation 1

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expectations hypothesis, random walk, time-varying risk premium, predictability

10.

Resolving the Unbiasedness and Forward Premium Puzzles

FRB of St. Louis Working Paper No. 2007-014A
Number of pages: 45 Posted: 01 Apr 2007
Daniel L. Thornton
Federal Reserve Bank of St. Louis - Research Division
Downloads 170 (247,012)

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uncovered interest parity, covered interest parity, forward premium, unbiasedness

11.

Open Market Operations and the Federal Funds Rate

FRB of St. Louis Working Paper No. 2005-063A
Number of pages: 48 Posted: 08 Nov 2005
Daniel L. Thornton
Federal Reserve Bank of St. Louis - Research Division
Downloads 148 (276,776)
Citation 1

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open market operations, federal funds rate, federal funds market, operating procedure, monetary policy

12.

The Unusual Behavior of the Federal Funds Rate and Treasury Yields: A Conundrum or an Instance of Goodhart’s Law?

FRB of St. Louis Working Paper No. 2007-039D
Number of pages: 100 Posted: 18 Sep 2007 Last Revised: 05 Sep 2010
Daniel L. Thornton
Federal Reserve Bank of St. Louis - Research Division
Downloads 142 (285,939)

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federal funds rate, federal funds target, Goodhart's Law, term structure

13.

When Did the FOMC Begin Targeting the Federal Funds Rate? What the Verbatim Transcripts Tell Us

FRB of St. Louis Working Paper No. 2004-015B
Number of pages: 55 Posted: 26 Jul 2005
Daniel L. Thornton
Federal Reserve Bank of St. Louis - Research Division
Downloads 137 (294,132)
Citation 14

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Federal funds rate target, monetary policy, operating procedure, borrowed reserves

14.

Monetary Policy: Why Money Matters and Interest Rates Don't

Number of pages: 33 Posted: 08 May 2008
Daniel L. Thornton
Federal Reserve Bank of St. Louis - Research Division
Downloads 119 (326,534)

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money, medium of exchange, monetary policy, federal funds target, structure of interest rates, price-level determination

15.

The Effect of Underreporting on LIBOR Rates

FRB of St. Louis Working Paper No. 2013-008A
Number of pages: 9 Posted: 27 Feb 2013
Andrea Monticini and Daniel L. Thornton
Catholic University of the Sacred Heart of Milan - Institute of Economy and Finance and Federal Reserve Bank of St. Louis - Research Division
Downloads 117 (330,430)
Citation 2

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LIBOR rate, default risk, structural breaks

16.

The Daily Liquidity Effect

FRB of St. Louis Working Paper No. 2006-020A
Number of pages: 44 Posted: 14 Apr 2006
Daniel L. Thornton
Federal Reserve Bank of St. Louis - Research Division
Downloads 105 (355,997)

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federal funds rate target, monetary policy, operating procedure, FOMC

17.

Greenspan’s Conundrum and the Fed’s Ability to Affect Long-Term Yields

FRB of St. Louis Working Paper No. 2012-036A
Number of pages: 69 Posted: 18 Sep 2012
Daniel L. Thornton
Federal Reserve Bank of St. Louis - Research Division
Downloads 94 (382,291)
Citation 1

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Federal funds rate, federal funds target, Lucas critique, term structure

18.

The Identification of the Response of Interest Rates to Monetary Policy Actions Using Market-Based Measures of Monetary Policy Shocks

Federal Reserve Bank of St. Louis Working Paper Series No. 2009-037B
Number of pages: 34 Posted: 19 Aug 2009 Last Revised: 16 Jun 2012
Daniel L. Thornton
Federal Reserve Bank of St. Louis - Research Division
Downloads 93 (384,831)
Citation 3

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monetary policy shocks, identification, simultaneity, federal funds target

19.

Revisiting the Predictability of Bond Risk Premia

Number of pages: 36 Posted: 18 Mar 2009
Daniel L. Thornton and Giorgio Valente
Federal Reserve Bank of St. Louis - Research Division and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 85 (406,709)

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bond prices, bond risk premia, predictability

20.

A Dynamic Factor Analysis of the Response of U. S. Interest Rates to News

Federal Reserve Bank of Saint Louis Working Paper No. 2004-013A
Number of pages: 20 Posted: 12 Mar 2005
Marco Lippi and Daniel L. Thornton
Dipartimento di Scienze Economiche (DiSSE) and Federal Reserve Bank of St. Louis - Research Division
Downloads 80 (421,379)

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Interest rates, dynamic factor models

21.

Monetary Policy: Why Money Matters, and Interest Rates Don’t

FRB of St. Louis Working Paper No. 2012-020A
Number of pages: 45 Posted: 17 Jul 2012 Last Revised: 08 Nov 2012
Daniel L. Thornton
Federal Reserve Bank of St. Louis - Research Division
Downloads 78 (427,601)

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money, medium of exchange, monetary policy, federal funds target, structure of interest rates, inflation

22.

The Daily and Policy-Relevant Liquidity Effects

ECB Working Paper No. 984, FRB of St. Louis Working Paper No. 2007-001B
Number of pages: 31 Posted: 05 Jan 2007
Daniel L. Thornton
Federal Reserve Bank of St. Louis - Research Division
Downloads 78 (427,601)

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liquidity effect, federal funds rate, monetary policy, operating

23.

The Expectations Hypothesis of the Term Structure of Bond Yields: Results from the VAR Test

Number of pages: 34 Posted: 01 Mar 2005
Robert Dittmar and Daniel L. Thornton
Citigroup, Inc. - CitiMortgage and Federal Reserve Bank of St. Louis - Research Division
Downloads 76 (433,847)

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Expectations hypothesis, LaGrange multiplier test, vector autoregression

24.

A New Federal Funds Rate Target Series: September 27, 1982 - December 31, 1993

FRB of St. Louis Working Paper No. 2005-032A
Number of pages: 28 Posted: 26 Jul 2005
Daniel L. Thornton
Federal Reserve Bank of St. Louis - Research Division
Downloads 61 (486,441)
Citation 5

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Federal funds rate target, monetary policy, operating procedure, FOMC

25.

The Phillips Curve and US Monetary Policy: What the FOMC Transcripts Tell Us

Federal Reserve Bank of St. Louis Working Paper No. 2010-017B
Number of pages: 34 Posted: 03 Jul 2010 Last Revised: 21 Jun 2011
Ellen E. Meade and Daniel L. Thornton
Board of Governors of the Federal Reserve System and Federal Reserve Bank of St. Louis - Research Division
Downloads 59 (494,207)
Citation 8

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Phillips curve, Monetary policy, Inflation forecasting

26.

How Did We Get to Inflation Targeting and Where Do We Go Now? A Perspective from the U.S. Experience

Federal Reserve Bank of St. Louis Working Paper Series No. 2009-038A
Number of pages: 30 Posted: 19 Aug 2009
Daniel L. Thornton
Federal Reserve Bank of St. Louis - Research Division
Downloads 41 (575,963)
Citation 2

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Monetary policy, Phillips curve, dual mandate, inflation targeting

27.

Resolving the Unbiasedness Puzzle in the Foreign Exchange Market

Number of pages: 23 Posted: 27 Jan 2009
Daniel L. Thornton
Federal Reserve Bank of St. Louis - Research Division
Downloads 33 (620,698)

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forward rate, forward premium, unbiasedness

28.

The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields

CEPR Discussion Paper No. 5259
Number of pages: 34 Posted: 02 Nov 2005
Lucio Sarno, Daniel L. Thornton and Giorgio Valente
University of Cambridge - Judge Business School, Federal Reserve Bank of St. Louis - Research Division and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 29 (646,151)
Citation 2
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Expectations hypothesis, term structure of interest rates, vector autoregression

29.

The Dynamic Relationship between the Federal Funds Rate and the Treasury Bill Rate: An Empirical Investigation

Number of pages: 37 Posted: 14 Mar 2002
Daniel L. Thornton and Lucio Sarno
Federal Reserve Bank of St. Louis - Research Division and University of Cambridge - Judge Business School
Downloads 18 (729,972)
Citation 3
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Interest rates, term structure, equilibrium correction, non-linear dynamics

30.

What's Unique about the Federal Funds Rate? Evidence from a Spectral Perspective

Oxford Bulletin of Economics and Statistics, Vol. 69, No. 2, pp. 293-319, April 2007
Number of pages: 27 Posted: 11 Apr 2007
Lucio Sarno, Daniel L. Thornton and Yi Wen
University of Cambridge - Judge Business School, Federal Reserve Bank of St. Louis - Research Division and Federal Reserve Bank of St. Louis - Research Department
Downloads 17 (738,515)

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31.

Federal Funds Rate Prediction

Number of pages: 35 Posted: 21 Oct 2004
Lucio Sarno, Daniel L. Thornton and Giorgio Valente
University of Cambridge - Judge Business School, Federal Reserve Bank of St. Louis - Research Division and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 17 (738,515)
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Federal fund rate, forecasting, term structure, nonlinearity

32.

The Relationship between the Federal Funds Rate and the Fed's Federal Funds Rate Target: Is it Open Market or Open Mouth Operations?

Bundesbank Series 1 Discussion Paper No. 2000,09
Number of pages: 45 Posted: 08 Jun 2016
Daniel L. Thornton
Federal Reserve Bank of St. Louis - Research Division
Downloads 11 (794,319)

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Federal funds rate target, monetary policy, open market operations, open mouth operations