Glenn D. Rudebusch

Federal Reserve Bank of San Francisco

101 Market Street

San Francisco, CA 94105

United States

SCHOLARLY PAPERS

36

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606

CROSSREF CITATIONS

1,970

Scholarly Papers (36)

The Macroeconomy and the Yield Curve: A Nonstructural Analysis

PIER Working Paper No. 03-024
Number of pages: 39 Posted: 28 Oct 2003
Francis X. Diebold, Glenn D. Rudebusch and S. Borağan Aruoba
University of Pennsylvania - Department of Economics, Federal Reserve Bank of San Francisco and University of Maryland - Department of Economics
Downloads 447 (68,058)
Citation 6

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Yield curve, term structure, interest rates, macroeconomic fundamentals, factor model, statespace model

The Macroeconomy and the Yield Curve: A Nonstructural Analysis

CFS Working Paper No. 2003/31
Number of pages: 40 Posted: 14 Dec 2003
Glenn D. Rudebusch, Francis X. Diebold and S. Borağan Aruoba
Federal Reserve Bank of San Francisco, University of Pennsylvania - Department of Economics and University of Maryland - Department of Economics
Downloads 224 (146,079)
Citation 2

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Yield curve, term structure, interest rates, macroeconomic fundamentals, factor model, state-space model

A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy

Number of pages: 41 Posted: 02 Mar 2004
Glenn D. Rudebusch and Tao Wu
Federal Reserve Bank of San Francisco and Federal Reserve Bank of Dallas
Downloads 571 (50,050)
Citation 121

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No-arbitrage, yield curve, new-Keynesian

A Macro-Finance Model of the Term Structure, Monetary Policy and the Economy

The Economic Journal, Vol. 118, Issue 530, pp. 906-926, July 2008
Number of pages: 21 Posted: 18 Jun 2008
Glenn D. Rudebusch and Tao Wu
Federal Reserve Bank of San Francisco and Federal Reserve Bank of Dallas
Downloads 2 (712,931)
Citation 5
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3.
Downloads 497 ( 60,303)
Citation 72

Modeling Bond Yields in Finance and Macroeconomics

PIER Working Paper No. 05-008
Number of pages: 20 Posted: 21 Jan 2005
Francis X. Diebold, Monika Piazzesi and Glenn D. Rudebusch
University of Pennsylvania - Department of Economics, University of Chicago - Booth School of Business and Federal Reserve Bank of San Francisco
Downloads 439 (69,574)

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term structure, yield curve, Nelson-Siegel model, affine equilibrium model

Modeling Bond Yields in Finance and Macroeconomics

NBER Working Paper No. w11089
Number of pages: 20 Posted: 23 Feb 2005
Francis X. Diebold, Monika Piazzesi and Glenn D. Rudebusch
University of Pennsylvania - Department of Economics, University of Chicago - Booth School of Business and Federal Reserve Bank of San Francisco
Downloads 58 (393,013)
Citation 7

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The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models

PIER Working Paper No. 07-029
Number of pages: 38 Posted: 01 Oct 2007
University of Pennsylvania - Department of Economics, FRB of San Francisco - Financial Research and Federal Reserve Bank of San Francisco
Downloads 259 (126,238)

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arbitrage, Nelson-Siegel, term structure, factor models, forecast accuracy

The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models

FRB of San Francisco Working Paper No. 2007-20
Number of pages: 38 Posted: 02 Nov 2007
FRB of San Francisco - Financial Research, University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 119 (252,117)
Citation 1

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interest rates, econometric models

The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models

NBER Working Paper No. w13611
Number of pages: 38 Posted: 29 Nov 2007 Last Revised: 11 Sep 2010
FRB of San Francisco - Financial Research, University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 57 (396,505)
Citation 14

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5.

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 380 (83,260)
Citation 11

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Interest rates, Economic forecasting

The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach

Rodney L. White Center for Financial Research Working Paper No. 16-04
Number of pages: 41 Posted: 08 Jul 2004
Francis X. Diebold, Glenn D. Rudebusch and S. Borağan Aruoba
University of Pennsylvania - Department of Economics, Federal Reserve Bank of San Francisco and University of Maryland - Department of Economics
Downloads 278 (117,090)
Citation 1

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Term structure, interest rates, macroeconomic fundamentals, factor model, state-space model

The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach

NBER Working Paper No. w10616
Number of pages: 40 Posted: 28 Jul 2004 Last Revised: 06 Jul 2010
Francis X. Diebold, Glenn D. Rudebusch and S. Borağan Aruoba
University of Pennsylvania - Department of Economics, Federal Reserve Bank of San Francisco and University of Maryland - Department of Economics
Downloads 78 (334,302)
Citation 16

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7.

The Signaling Channel for Federal Reserve Bond Purchases

International Journal of Central Banking, Forthcoming
Number of pages: 47 Posted: 03 Oct 2013
Michael Bauer and Glenn D. Rudebusch
Universität Hamburg and Federal Reserve Bank of San Francisco
Downloads 332 (97,117)
Citation 14

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unconventional monetary policy, QE, LSAP, portfolio balance, no arbitrage

8.

The Bond Yield 'Conundrum' from a Macro-Finance Perspective

FRB of San Francisco Working Paper No. 2006-16
Number of pages: 42 Posted: 26 Jul 2007
Glenn D. Rudebusch, Eric T. Swanson and Tao Wu
Federal Reserve Bank of San Francisco, University of California, Irvine - Department of Economics and Federal Reserve Bank of Dallas
Downloads 313 (103,693)
Citation 35

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Treasury bonds, Federal funds rate

9.

Monetary Policy Expectations at the Zero Lower Bound

Number of pages: 44 Posted: 03 Oct 2013 Last Revised: 22 May 2015
Michael Bauer and Glenn D. Rudebusch
Universität Hamburg and Federal Reserve Bank of San Francisco
Downloads 251 (130,959)
Citation 25

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dynamic term structure models, shadow rates, policy liftoff, macro-finance

10.

Assessing the Lucas Critique in Monetary Policy Models

FRB of San Francisco Working Paper No. 2002-02
Number of pages: 29 Posted: 24 May 2004
Glenn D. Rudebusch
Federal Reserve Bank of San Francisco
Downloads 244 (134,750)
Citation 23

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Monetary policy, vector autoregression

11.

Correcting Estimation Bias in Dynamic Term Structure Models

Journal of Business and Economic Statistics, Vol. 30, No.3, pp. 454-467, 2012
Number of pages: 32 Posted: 06 Sep 2013
Michael Bauer, Glenn D. Rudebusch and Jing Cynthia Wu
Universität Hamburg, Federal Reserve Bank of San Francisco and University of Notre Dame - Department of Economics
Downloads 223 (147,112)
Citation 5

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small-sample bias correction, vector auto-regression, dynamic term structure models, term premium

12.

Monetary Policy Inertia: Fact or Fiction?

FRB of San Francisco Working Paper No. 2005-19
Number of pages: 41 Posted: 07 Dec 2005
Glenn D. Rudebusch
Federal Reserve Bank of San Francisco
Downloads 197 (165,287)
Citation 47

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interest rate smoothing, term structure, partial adjustment

13.
Downloads 191 (169,942)
Citation 13

Interest Rates Under Falling Stars

American Economic Review, Forthcoming
Number of pages: 51 Posted: 18 Jul 2017 Last Revised: 30 Nov 2019
Michael Bauer and Glenn D. Rudebusch
Universität Hamburg and Federal Reserve Bank of San Francisco
Downloads 127 (239,983)
Citation 10

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yield curve, macro-finance, inflation trend, equilibrium real interest rate, shifting endpoints, bond risk premia

Interest Rates under Falling Stars

CESifo Working Paper Series No. 6571
Number of pages: 53 Posted: 23 Jan 2020
Michael Bauer and Glenn D. Rudebusch
Universität Hamburg and Federal Reserve Bank of San Francisco
Downloads 64 (373,606)
Citation 3

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Yield Curve, Macro-Finance, Inflation Trend, Equilibrium Real Interest Rate, Shifting Endpoints, Bond Risk Premia

14.

Forecasting Recessions: The Puzzle of the Enduring Power of the Yield Curve

FRB of San Francisco Working Paper No. 2007-16
Number of pages: 31 Posted: 19 Aug 2007
Glenn D. Rudebusch and John C. Williams
Federal Reserve Bank of San Francisco and Federal Reserve Bank of New York
Downloads 188 (172,421)
Citation 20

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forecasting, recessions

15.

The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective

FRB of San Francisco Working Paper No. 2004-25
Number of pages: 39 Posted: 19 Jan 2005
Glenn D. Rudebusch and Tao Wu
Federal Reserve Bank of San Francisco and Federal Reserve Bank of Dallas
Downloads 162 (196,396)
Citation 14

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The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks

Number of pages: 45 Posted: 22 Mar 2009
Glenn D. Rudebusch and Eric T. Swanson
Federal Reserve Bank of San Francisco and University of California, Irvine - Department of Economics
Downloads 111 (265,165)
Citation 10

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yield curve, term premium, bond pricing, long-run risk

The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks

National Bank of Belgium Working Paper No. 143
Number of pages: 50 Posted: 02 Oct 2010
Glenn D. Rudebusch and Eric T. Swanson
Federal Reserve Bank of San Francisco and University of California, Irvine - Department of Economics
Downloads 36 (481,070)
Citation 97

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17.
Downloads 143 (217,850)

Policy Rules for Inflation Targeting

NBER Working Paper No. w6512
Number of pages: 54 Posted: 20 Sep 2000
Glenn D. Rudebusch and Lars E. O. Svensson
Federal Reserve Bank of San Francisco and Stockholm School of Economics
Downloads 143 (218,360)

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Policy Rules for Inflation Targeting

CEPR Discussion Paper Series No. 1999
Posted: 10 Feb 1999
Lars E. O. Svensson and Glenn D. Rudebusch
Stockholm School of Economics and Federal Reserve Bank of San Francisco

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18.

An Arbitrage-Free Generalized Nelson-Siege Term Structure Model

PIER Working Paper No. 08-030
Number of pages: 30 Posted: 25 Aug 2008
FRB of San Francisco - Financial Research, University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 141 (220,292)

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Yield Curve, Interest Rate, Bond Market, Svensson Model

19.

Term Structure Evidence on Interest Rate Smoothing and Monetary Policy Inertia

Number of pages: 39 Posted: 25 May 2004
Glenn D. Rudebusch
Federal Reserve Bank of San Francisco
Downloads 140 (221,591)
Citation 102

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Monetary policy, interest rates, Taylor rule

20.
Downloads 130 (234,875)
Citation 47

Eurosystem Monetary Targeting: Lessons from U.S. Data

Number of pages: 29 Posted: 31 Aug 1999
Glenn D. Rudebusch and Lars E. O. Svensson
Federal Reserve Bank of San Francisco and Stockholm School of Economics
Downloads 100 (285,555)
Citation 1

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Eurosystem Monetary Targeting: Lessons from U.S. Data

NBER Working Paper No. NBER_W7179
Number of pages: 31 Posted: 25 May 2006
Glenn D. Rudebusch and Lars E. O. Svensson
Federal Reserve Bank of San Francisco and Stockholm School of Economics
Downloads 21 (569,156)
Citation 1

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Eurosystem Monetary Targeting: Lessons from U.S. Data

NBER Working Paper No. w7179
Number of pages: 31 Posted: 13 Oct 2010
Glenn D. Rudebusch and Lars E. O. Svensson
Federal Reserve Bank of San Francisco and Stockholm School of Economics
Downloads 9 (655,432)
Citation 1

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Resolving the Spanning Puzzle in Macro-Finance Term Structure Models

Review of Finance, 2016
Number of pages: 56 Posted: 03 Nov 2014 Last Revised: 26 Jan 2017
Michael Bauer and Glenn D. Rudebusch
Universität Hamburg and Federal Reserve Bank of San Francisco
Downloads 64 (373,606)
Citation 10

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yield curve, term structure models, macro-finance, unspanned macro risk, monetary policy

Resolving the Spanning Puzzle in Macro-Finance Term Structure Models

CESifo Working Paper Series No. 5187
Number of pages: 50 Posted: 05 Feb 2015
Michael Bauer and Glenn D. Rudebusch
Universität Hamburg and Federal Reserve Bank of San Francisco
Downloads 64 (373,606)
Citation 4

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yield curve, term structure models, macro-finance, unspanned macro risks, monetary policy

22.

Estimating the Euler Equation for Output

Number of pages: 26 Posted: 22 Nov 2003
Jeffrey C. Fuhrer and Glenn D. Rudebusch
Federal Reserve Bank of Boston and Federal Reserve Bank of San Francisco
Downloads 116 (255,691)
Citation 35

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Consumption, Keynesian Economics

23.

Comment on 'Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset'

American Economic Review, Forthcoming, Chicago Booth Research Paper No. 13-74
Number of pages: 21 Posted: 06 Sep 2013 Last Revised: 27 Sep 2013
Michael Bauer, Glenn D. Rudebusch and Jing Cynthia Wu
Universität Hamburg, Federal Reserve Bank of San Francisco and University of Notre Dame - Department of Economics
Downloads 100 (283,668)
Citation 4

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term premia, dynamic term structure model, small-sample bias

24.

Using a Long-Term Interest Rate as the Monetary Policy Instrument

FRB of San Francisco Working Paper No. 2004-22
Number of pages: 32 Posted: 19 Jan 2005
Bruce McGough, Glenn D. Rudebusch and John C. Williams
Oregon State University - Department of Economics, Federal Reserve Bank of San Francisco and Federal Reserve Bank of New York
Downloads 96 (291,304)
Citation 2

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Revealing the Secrets of the Temple: The Value of Publishing Central Bank Interest Rate Projections

Federal Reserve Bank of San Francisco Working Paper No. 2006-31
Number of pages: 44 Posted: 05 Aug 2007
Glenn D. Rudebusch and John C. Williams
Federal Reserve Bank of San Francisco and Federal Reserve Bank of New York
Downloads 62 (379,938)
Citation 1

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monetary policy

Revealing the Secrets of the Temple: The Value of Publishing Central Bank Interest Rate Projections

NBER Working Paper No. w12638
Number of pages: 44 Posted: 20 Nov 2006 Last Revised: 03 Sep 2010
Glenn D. Rudebusch and John C. Williams
Federal Reserve Bank of San Francisco and Federal Reserve Bank of New York
Downloads 24 (548,865)
Citation 5

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Assessing Nominal Income Rules for Monetary Policy with Model and Data Uncertainty

ECB Working Paper No. 14
Number of pages: 44 Posted: 10 Dec 2002
Glenn D. Rudebusch
Federal Reserve Bank of San Francisco
Downloads 72 (350,294)

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Real-time Data, Optimal Policy

Assessing Nominal Income Rules for Monetary Policy with Model and Data Uncertainty

Economic Journal, Vol. 112, pp. 402-432, 2002
Number of pages: 31 Posted: 05 May 2003
Glenn D. Rudebusch
Federal Reserve Bank of San Francisco
Downloads 14 (618,338)
Citation 6
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27.

Measuring Business Cycles: A Modern Perspective

NBER Working Paper No. w4643
Number of pages: 35 Posted: 25 Jul 2000 Last Revised: 14 Sep 2010
Francis X. Diebold and Glenn D. Rudebusch
University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 48 (421,737)
Citation 9

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28.

On the Evolution of U.S. Temperature Dynamics

PIER Working Paper No. 19-012, July 2019
Number of pages: 92 Posted: 09 Jul 2019
Francis X. Diebold and Glenn D. Rudebusch
University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 40 (453,196)

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DTR, temperature volatility, temperature variability, climate modeling, climate change

29.

An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model

NBER Working Paper No. w14463
Number of pages: 34 Posted: 10 Nov 2008 Last Revised: 10 Jul 2010
FRB of San Francisco - Financial Research, University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 38 (461,556)

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30.

Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections

PIER Working Paper No. 20-001
Number of pages: 29 Posted: 03 Jan 2020
Francis X. Diebold and Glenn D. Rudebusch
University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 32 (488,846)

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sea ice extent; climate models; climate change; climate trends; climate predition; cryospheric science

31.

Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach

PIER Working Paper No. 20-012
Number of pages: 22 Posted: 02 Apr 2020
University of Pennsylvania - Department of Economics, affiliation not provided to SSRN, affiliation not provided to SSRN, Federal Reserve Bank of San Francisco and University of Pennsylvania - Department of Economics
Downloads 8 (635,851)

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Climate modeling, nowcasting, model averaging, ensemble averaging

32.

Macro-Finance Models of Interest Rates and the Economy

The Manchester School, Vol. 78, Issue s1, pp. 25-52, September 2010
Number of pages: 28 Posted: 10 Aug 2010
Glenn D. Rudebusch
Federal Reserve Bank of San Francisco
Downloads 4 (663,831)
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33.

An Arbitrage-Free Generalized Nelson–Siegel Term Structure Model

Econometrics Journal, Vol. 12, Issue 3, pp. C33-C64, November 2009
Number of pages: 32 Posted: 01 Dec 2009
FRB of San Francisco - Financial Research, University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 2 (681,085)
Citation 4
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34.

The Response of Interest Rates to US and UK Quantitative Easing

The Economic Journal, Vol. 122, Issue 564, pp. F385-F414, 2012
Number of pages: 30 Posted: 30 Oct 2012
Jens Henrik Eggert Christensen and Glenn D. Rudebusch
FRB of San Francisco - Financial Research and Federal Reserve Bank of San Francisco
Downloads 1 (693,134)
Citation 13
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35.

Judging Instrument Relevance in Instrumental Variables Estimation

Posted: 22 Oct 2000
Alastair R. Hall, Glenn D. Rudebusch and David W. Wilcox
North Carolina State University - Department of Economics, Federal Reserve Bank of San Francisco and Federal Reserve Board - Division of Research and Statistics

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36.

Opportunistic and Deliberate Disinflation Under Imperfect Credibility

Economics Discussion Series (98-01)
Posted: 03 Mar 1998
Antulio N. Bomfim and Glenn D. Rudebusch
Macroeconomic Advisers, LLC and Federal Reserve Bank of San Francisco

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