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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CITATIONS
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119

Scholarly Papers (32)

1.
Downloads 541 ( 49,430)
Citation 7

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 285 (104,680)
Citation 2

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

How Effective is Central Bank Forward Guidance?

Review, Vol. 97, Issue 4, pp. 303-22, 2015
Number of pages: 20 Posted: 28 Mar 2016
Clemens J.M. Kool and Daniel L. Thornton
Utrecht University - School of Economics and Federal Reserve Bank of St. Louis - Research Division
Downloads 171 (172,889)
Citation 10

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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 85 (293,100)

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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 453 (61,832)

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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
Bocconi University - Department of Finance and Federal Reserve Bank of St. Louis - Research Division
Downloads 272 (110,057)
Citation 2

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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
Bocconi University - Department of Finance and Federal Reserve Bank of St. Louis - Research Division
Downloads 135 (210,867)
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 275 (109,306)
Citation 2

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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, City University London - Sir John Cass Business School and Federal Reserve Bank of St. Louis - Research Division
Downloads 217 (138,493)
Citation 13

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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, City University London - Sir John Cass Business School and Federal Reserve Bank of St. Louis - Research Division
Downloads 3 (649,743)
Citation 18
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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 166 (177,276)
Citation 5

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

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 160 (183,146)

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

Resolving the Unbiasedness and Forward Premium Puzzles

Scottish Journal of Political Economy, Vol. 66, Issue 1, pp. 5-27, 2019
Number of pages: 23 Posted: 07 Jan 2019
Daniel L. Thornton
Federal Reserve Bank of St. Louis - Research Division
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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 152 (190,995)
Citation 9

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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
Bocconi University - Department of Finance and Federal Reserve Bank of St. Louis - Research Division
Downloads 152 (190,995)

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

10.

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 142 (201,885)
Citation 38

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bond yields, bond excess returns, predictability

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 138 (206,567)
Citation 4

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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 127 (220,571)

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

13.

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 111 (243,579)

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

14.

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 99 (263,615)
Citation 2

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

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 93 (274,549)
Citation 9

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LIBOR rate, default risk, structural breaks

16.

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 78 (305,861)
Citation 2

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monetary policy shocks, identification, simultaneity, federal funds target

17.

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 75 (312,951)

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bond prices, bond risk premia, predictability

18.

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 74 (315,372)
Citation 20

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

19.

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 74 (315,372)

Abstract:

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Interest rates, dynamic factor models

20.

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 70 (325,210)
Citation 3

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liquidity effect, federal funds rate, monetary policy, operating

21.

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 63 (343,774)

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

22.

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 63 (343,774)

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Expectations hypothesis, LaGrange multiplier test, vector autoregression

23.

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 61 (349,348)
Citation 4

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

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 50 (383,413)
Citation 1

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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
Federal Reserve Board and Federal Reserve Bank of St. Louis - Research Division
Downloads 45 (400,611)
Citation 7

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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 32 (452,070)
Citation 3

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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 29 (466,211)

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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
City University London - Sir John Cass Business School, Federal Reserve Bank of St. Louis - Research Division and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 29 (466,211)
Citation 23
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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

CEPR Discussion Paper No. 3225
Number of pages: 37 Posted: 14 Mar 2002
Daniel L. Thornton and Lucio Sarno
Federal Reserve Bank of St. Louis - Research Division and City University London - Sir John Cass Business School
Downloads 18 (526,732)
Citation 24
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Interest rates, term structure, equilibrium correction, non-linear dynamics

30.

Federal Funds Rate Prediction

CEPR Discussion Paper No. 4587
Number of pages: 35 Posted: 21 Oct 2004
Lucio Sarno, Daniel L. Thornton and Giorgio Valente
City University London - Sir John Cass Business School, Federal Reserve Bank of St. Louis - Research Division and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 17 (532,499)
Citation 9
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Federal fund rate, forecasting, term structure, nonlinearity

31.

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
City University London - Sir John Cass Business School, Federal Reserve Bank of St. Louis - Research Division and Federal Reserve Bank of St. Louis - Research Department
Downloads 13 (555,983)
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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 3 (620,926)
Citation 2

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