Michiel De Pooter

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

14

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SSRN CITATIONS
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Top 12,423

in Total Papers Citations

19

CROSSREF CITATIONS

70

Scholarly Papers (14)

1.

Examining the Nelson-Siegel Class of Term Structure Models: In-Sample Fit versus Out-of-Sample Forecasting Performance

Number of pages: 56 Posted: 12 Jun 2007 Last Revised: 20 Oct 2007
Michiel De Pooter
Board of Governors of the Federal Reserve System
Downloads 1,520 (13,086)
Citation 14

Abstract:

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Term structure of interest rates, Nelson-Siegel, Svensson, Forecasting, State-space model

2.

Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity

Tinbergen Institute Discussion Paper No. 04-067/4
Number of pages: 43 Posted: 24 Jun 2004
Martin Martens, Michiel De Pooter and Dick J. C. van Dijk
Robeco Asset Management, Board of Governors of the Federal Reserve System and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 991 (25,018)
Citation 31

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Realized volatility, high-frequency data, long memory, day-of-the-week effect, leverage effect, volatility forecasting, smooth transition

3.

Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information

Number of pages: 52 Posted: 04 Mar 2007 Last Revised: 04 May 2010
Michiel De Pooter, Francesco Ravazzolo and Dick J. C. van Dijk
Board of Governors of the Federal Reserve System, Free University of Bozen-Bolzano - Faculty of Economics and Management and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 867 (30,281)
Citation 10

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Term structure of interest rates, Nelson-Siegel model, Affine term structure model, forecast combination, Bayesian analysis

4.

Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use?

Tinbergen Institute Discussion Paper No. 05-089/4
Number of pages: 29 Posted: 02 Nov 2005
Michiel De Pooter, Martin Martens and Dick J. C. van Dijk
Board of Governors of the Federal Reserve System, Robeco Asset Management and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 502 (62,397)
Citation 14

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realized volatility, high-frequency data, volatility timing, mean-variance analysis, tracking error

5.

The Liquidity Effects of Official Bond Market Intervention

FRB International Finance Discussion Paper No. 1138
Number of pages: 51 Posted: 08 Sep 2012 Last Revised: 06 May 2016
Michiel De Pooter, Robert F. Martin and Seth Pruitt
Board of Governors of the Federal Reserve System, Federal Reserve Board - International Finance Division and Arizona State University (ASU) - Finance Department
Downloads 435 (74,339)
Citation 9

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Securities Markets Programme, European Central Bank, bond, liquidity risk, search and matching

6.

Term Structure Forecasting Using Macro Factors and Forecast Combination

FRB International Finance Discussion Paper No. 993, Norges Bank Working Paper 2010/01
Number of pages: 54 Posted: 07 Apr 2010
Michiel De Pooter, Francesco Ravazzolo and Dick J. C. van Dijk
Board of Governors of the Federal Reserve System, Free University of Bozen-Bolzano - Faculty of Economics and Management and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 278 (122,970)
Citation 14

Abstract:

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Term structure of interest rates, Nelson-Siegel model, affine term structure model, macro factors, forecast combination, model confidence set

7.

On the Practice of Bayesian Inference in Basic Economic Time Series Models Using Gibbs Sampling

Tinbergen Institute Discussion Papers No. 2006-076/4
Number of pages: 48 Posted: 10 Sep 2006
Michiel De Pooter, Rene Segers and H. K. van Dijk
Board of Governors of the Federal Reserve System, Erasmus University Rotterdam (EUR) and Tinbergen Institute
Downloads 171 (195,290)
Citation 1

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Gibbs sampler, MCMC, serial correlation, non-stationarity, reduced rank models, state-space models, random effects panel data models

8.

Cheap Talk and the Efficacy of the ECB's Securities Market Programme: Did Bond Purchases Matter?

FRB International Finance Discussion Paper No. 1139
Number of pages: 99 Posted: 08 Oct 2015
Board of Governors of the Federal Reserve System, Columbia University - Columbia Business School, Federal Reserve Board - International Finance Division and Arizona State University (ASU) - Finance Department
Downloads 98 (298,966)
Citation 2

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Monetary policy, interest rates, recession, European Central Bank, asset purchases, euro area

Are Long-Term Inflation Expectations Well Anchored in Brazil, Chile and Mexico?

De Pooter, M., P. Robitaille, I. Walker, and M. Zdinak, 2014, “Are Long-Term Inflation Expectations Well Anchored in Brazil, Chile, and Mexico?," International Journal of Central Banking, Vol 10(2):337-400.
Number of pages: 49 Posted: 02 Mar 2015
Board of Governors of the Federal Reserve System, Federal Reserve Board - Division of International Finance (IFDP), Board of Governors of the Federal Reserve System and Washington University in St. Louis
Downloads 60 (401,599)

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Inflation targeting, survey expectations, inflation compensation, Nelson-Siegel model, macro news suprises, Brazil, Chile, Mexico

Are Long-Term Inflation Expectations Well Anchored in Brazil, Chile and Mexico?

FRB International Finance Discussion Paper No. 1098
Number of pages: 49 Posted: 31 May 2017
Board of Governors of the Federal Reserve System, Federal Reserve Board - Division of International Finance (IFDP), Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 10 (673,795)
Citation 1

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Inflation targeting, survey expectations, inflation compensation, Nelson-Siegel model, macro news suprises, Brazil, Chile, Mexico

10.

Measuring Monetary Policy Spillovers between U.S. And German Bond Yields

FRB International Finance Discussion Paper No. 1226
Number of pages: 24 Posted: 06 Jun 2018 Last Revised: 29 Apr 2020
Stephanie E. Curcuru, Michiel De Pooter and George Eckerd
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Georgetown University
Downloads 44 (454,215)
Citation 1

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Monetary policy, Quantitative easing, Interest rate differentials

11.

Monetary Policy Uncertainty and Monetary Policy Surprises

FEDS Working Paper No. 2020-032 https://doi.org/10.17016/FEDS.2020.032
Number of pages: 34 Posted: 18 May 2020
Michiel De Pooter, Giovanni Favara, Michele Modugno and Jason Wu
Board of Governors of the Federal Reserve System, Federal Reserve Board, Board of Governors of the Federal Reserve System and Hong Kong Monetary Authority
Downloads 24 (553,416)
Citation 1

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Monetary policy surprises; Monetary policy uncertainty; Interest rates; Primary dealers

12.

Breaking Down Trace Volumes Further

FEDS Notes No. 2018-11-29
Posted: 06 Dec 2018 Last Revised: 25 Jun 2020
Nassau Community College, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, affiliation not provided to SSRN, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Federal Reserve Bank of New York

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13.

Unlocking the Treasury Market Through Trace

FEDS Notes No. 2018-09-28
Posted: 05 Oct 2018 Last Revised: 02 Oct 2020
Nassau Community College, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System, Columbia University, Board of Governors of the Federal Reserve System and Federal Reserve Bank of New York

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14.

Monetary Policy Surprises and Monetary Policy Uncertainty

FEDS Notes No. 2018-05-18
Posted: 06 Jun 2018 Last Revised: 25 Jun 2020
Michiel De Pooter, Giovanni Favara, Michele Modugno and Jason Wu
Board of Governors of the Federal Reserve System, Federal Reserve Board, Board of Governors of the Federal Reserve System and Hong Kong Monetary Authority

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