Brian P. Sack

Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section

Economist

20th and C Streets, NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

28

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CITATIONS
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1,251

Scholarly Papers (28)

1.

Large-Scale Asset Purchases by the Federal Reserve: Did They Work?

FRB of New York Staff Report No. 441
Number of pages: 43 Posted: 24 Mar 2010
Peterson Institute, affiliation not provided to SSRN, Federal Reserve Banks - Federal Reserve Bank of New York and Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section
Downloads 1,328 (13,710)
Citation 45

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Term Premium, Portfolio Balance, Zero Bound, Monetary Policy, Duration, Bond Yield

Measuring the Reaction of Monetary Policy to the Stock Market

FEDS Working Paper No. 2001-14
Number of pages: 32 Posted: 11 Jun 2001
Roberto Rigobon and Brian P. Sack
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section
Downloads 1,104 (17,851)
Citation 92

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Monetary policy, stock market, identification, heteroskedasticity

Measuring the Reaction of Monetary Policy to the Stock Market

NBER Working Paper No. w8350
Number of pages: 34 Posted: 28 Jun 2001 Last Revised: 20 Aug 2001
Brian P. Sack and Roberto Rigobon
Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 90 (279,936)
Citation 92

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3.

Monetary Policy Alternatives at the Zero Bound: An Empirical Assessment

FEDS Working Paper No. 2004-48
Number of pages: 113 Posted: 20 Dec 2004
Board of Governors of the Federal Reserve System, American Enterprise Institute (AEI) and Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section
Downloads 984 (21,601)
Citation 107

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Deflation, zero bound, monetary policy, term structure, policy expectations

4.

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

FEDS Working Paper No. 2004-66
Number of pages: 43 Posted: 19 Dec 2004
Refet S. Gurkaynak, 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 889 (25,087)
Citation 73

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Measuring monetary policy surprises, FOMC statement, factor models, assest prices

Treasury Inflation-Indexed Debt: A Review of the U.S. Experience

FEDS Working Paper No. 2002-32
Number of pages: 40 Posted: 16 Sep 2002
Brian P. Sack and Robert Elsasser
Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 478 (56,625)
Citation 31

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Inflation-indexed debt, TIPS

Treasury Inflation-Indexed Debt: A Review of the U.S. Experience

Economic Policy Review, Vol. 10, No. 1, May 2004
Number of pages: 17 Posted: 25 Aug 2005
Brian P. Sack and Robert Elsasser
Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 297 (99,127)
Citation 31

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treasury securities, inflation-indexed debt, TIIS, TIPS

6.

Deriving Inflation Expectations from Nominal and Inflation-Indexed Treasury Yields

FEDS Working Paper No. 2000-33
Number of pages: 24 Posted: 21 Aug 2000
Brian P. Sack
Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section
Downloads 738 (32,465)
Citation 10

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Inflation-indexed debt, inflation expectations, treasury market

7.
Downloads 702 ( 34,708)
Citation 124

The Impact of Monetary Policy on Asset Prices

FEDS Working Paper No. 2002-04
Number of pages: 34 Posted: 31 Jan 2002
Brian P. Sack and Roberto Rigobon
Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 614 (40,928)
Citation 123

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Monetary policy, stock market, yield curve, identification, heteroskedasticity

The Impact of Monetary Policy on Asset Prices

NBER Working Paper No. w8794
Number of pages: 40 Posted: 14 Feb 2002 Last Revised: 26 Oct 2010
Brian P. Sack and Roberto Rigobon
Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 88 (284,027)
Citation 124

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8.

Using Treasury Strips to Measure the Yield Curve

FEDS Working Paper No. 2000-42
Number of pages: 35 Posted: 08 Nov 2000
Brian P. Sack
Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section
Downloads 620 (41,022)
Citation 12

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9.

The U.S. Treasury Yield Curve: 1961 to the Present

FEDS Working Paper No. 2006-28
Number of pages: 42 Posted: 25 Jul 2006
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 437 (63,915)
Citation 121

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

10.

Does Mortgage Hedging Amplify Movements in Long-Term Interest Rates?

FEDS Working Paper No. 2003-49
Number of pages: 19 Posted: 30 Nov 2003
Brian P. Sack and Roberto Perli
Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and Federal Reserve Board - Monetary Affairs
Downloads 413 (68,410)
Citation 16

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Mortgage hedging, MBS, prepayment risk

11.
Downloads 412 ( 68,615)
Citation 16

The Effects of War Risk on U.S. Financial Markets

MIT Sloan Working Paper No. 4417-03
Number of pages: 16 Posted: 01 Apr 2003
Brian P. Sack and Roberto Rigobon
Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 251 (118,562)
Citation 16

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War Risk, Stock Markets, Monetary Policy, Identification, Heteroskedasticity

The Effects of War Risk on U.S. Financial Markets

FEDS Working Paper No. 2003-18
Number of pages: 18 Posted: 19 Jun 2003
Brian P. Sack and Roberto Rigobon
Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 120 (229,051)
Citation 16

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War, flight to quality, heteroskedasticity, identification

The Effects of War Risk on U.S. Financial Markets

NBER Working Paper No. w9609
Number of pages: 16 Posted: 05 Apr 2003
Brian P. Sack and Roberto Rigobon
Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 41 (419,586)
Citation 16

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12.

Interest-Rate Smoothing and Optimal Monetary Policy: A Review of Recent Empirical Evidence

FEDS Working Paper No. 99-39
Number of pages: 36 Posted: 12 Dec 1999
Brian P. Sack and Volker Wieland
Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and University of Frankfurt
Downloads 395 (72,170)
Citation 73

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13.

Macroeconomic Implications of Changes in the Term Premium

FRB of San Francisco Working Paper No. 2006-46
Number of pages: 48 Posted: 17 Aug 2007
Glenn D. Rudebusch, Brian P. Sack and Eric T. Swanson
Federal Reserve Bank of San Francisco, Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and University of California, Irvine - Department of Economics
Downloads 371 (77,600)
Citation 30

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Interest rates, Economic forecasting

14.

The TIPS Yield Curve and Inflation Compensation

FEDS Working Paper No. 2008-05
Number of pages: 42 Posted: 15 Jan 2009
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 356 (81,428)
Citation 34

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Yield curve, treasury market, inflation compensation, risk premia

15.

The Excess Sensitivity of Long-Term Interest Rates: Evidence and Implications for Macroeconomic Models

Number of pages: 44 Posted: 09 Mar 2004
Refet S. Gurkaynak, 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 305 (96,815)
Citation 106

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Long-term interest rates, excess volatility, inflation expectations

16.
Downloads 305 ( 96,815)
Citation 15

Spillovers Across U.S. Financial Markets

MIT Sloan Working Paper No. 4304-03; FEDS Working Paper No. 2003-13
Number of pages: 30 Posted: 01 May 2003
Brian P. Sack and Roberto Rigobon
Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 273 (108,609)
Citation 15

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Identification, Heteroskedasticity, GARCH, Stock Market, Yield Curve

Spillovers Across U.S. Financial Markets

NBER Working Paper No. w9640
Number of pages: 29 Posted: 25 Apr 2003 Last Revised: 04 May 2003
Brian P. Sack and Roberto Rigobon
Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 32 (458,644)
Citation 15

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17.

Anticipations of Monetary Policy in Financial Markets

FEDS Working Paper No. 2001-24
Number of pages: 38 Posted: 14 Jul 2001
Joe Lange, Brian P. Sack and William C. Whitesell
Cornerstone Research, Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and Federal Reserve Board - Division of Monetary Affairs
Downloads 300 (98,538)
Citation 47

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term structure, policy expectations, funds rate, monetary policy

18.

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. Gurkaynak, 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 288 (103,049)
Citation 65

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monetary policy, federal funds rate, financial markets

19.

Interpreting the Significance of the Lagged Interest Rate in Estimated Monetary Policy Rules

FEDS Working Paper No. 2002-24
Number of pages: 27 Posted: 19 Jun 2002
Government of the United States of America - Division of Monetary Affairs, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section
Downloads 228 (131,124)
Citation 58

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Monetary policy rules, interest rate smoothing

20.

Central Bank Talk: Does it Matter and Why?

FEDS Working Paper No. 2003-55
Number of pages: 38 Posted: 04 Jan 2004
Brian P. Sack and Donald L. Kohn
Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and Board of Governors of the Federal Reserve
Downloads 218 (136,921)
Citation 67

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Monetary policy, statements, speeches, transparency

21.

Large-Scale Asset Purchases by the Federal Reserve: Did They Work?

Economic Policy Review, Vol. 17, No. 1, p. 41, May 2011
Number of pages: 19 Posted: 01 Nov 2011
Peterson Institute, affiliation not provided to SSRN, Federal Reserve Banks - Federal Reserve Bank of New York and Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section
Downloads 169 (172,901)
Citation 45

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22.

Extracting the Expected Path of Monetary Policy from Futures Rates

FEDS Working Paper No. 2002-56
Number of pages: 33 Posted: 25 Mar 2003
Brian P. Sack
Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section
Downloads 164 (177,439)
Citation 25

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Futures rates, monetary policy expectations, risk premia

23.

Uncertainty, Learning, and Gradual Monetary Policy

FEDS Working Paper Series No. (98-34)
Number of pages: 34 Posted: 06 Sep 1998
Brian P. Sack
Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section
Downloads 149 (192,329)
Citation 32

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24.

A Monetary Policy Rule Based on Nominal and Inflation-Indexed Treasury Yield

FEDS Working Paper No. 2003-07
Number of pages: 16 Posted: 04 Jun 2003
Brian P. Sack
Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section
Downloads 137 (205,804)
Citation 1

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Monetary policy rule, inflation-indexed debt

25.

The Effects of Policy Guidance on Perceptions of the Fed's Reaction Function

FRB of New York Staff Report No. 652
Number of pages: 15 Posted: 17 Nov 2013
Katherine Femia, Steven Friedman and Brian P. Sack
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section
Downloads 79 (300,709)

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monetary policy, forward guidance

26.

Latent Policies: An Extended Example

Number of pages: 29 Posted: 19 Nov 1997
Richard J. Arnott, Brian P. Sack and Chong-En Bai
Boston College, Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and The University of Hong Kong - School of Economics and Finance
Downloads 29 (461,493)

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27.

Inventories, Production Smoothing and the Shape of the Cost Function

Posted: 27 Dec 2004
University of Milan - Department of Environmental Science and Policy (DESP), Einaudi Institute for Economics and Finance (EIEF), Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and Boston College - Department of Economics

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Cost function, inventories, production smoothing

28.

Does the Fed Act Gradually? A VAR Analysis

Mimeo
Posted: 09 Jan 1998
Brian P. Sack
Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section

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