Glenn D. Rudebusch

Federal Reserve Bank of San Francisco

101 Market Street

San Francisco, CA 94105

United States

SCHOLARLY PAPERS

34

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1,739

Scholarly Papers (34)

1.

The Signaling Channel for Federal Reserve Bond Purchases

International Journal of Central Banking
Number of pages: 47 Posted: 03 Oct 2013 Last Revised: 28 Aug 2020
Michael Bauer and Glenn D. Rudebusch
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco
Downloads 810 (58,696)
Citation 29

Abstract:

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

The Macroeconomy and the Yield Curve: A Nonstructural Analysis

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 513 (103,716)
Citation 8

Abstract:

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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

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 254 (226,500)
Citation 2

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

3.

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

Number of pages: 41 Posted: 02 Mar 2004
Glenn D. Rudebusch, Tao Wu and Tao Wu
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San FranciscoFederal Reserve Bank of Dallas
Downloads 609 (84,607)
Citation 127

Abstract:

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No-arbitrage, yield curve, new-Keynesian

4.
Downloads 585 (89,103)
Citation 81

Modeling Bond Yields in Finance and Macroeconomics

Number of pages: 20 Posted: 21 Jan 2005
Francis X. Diebold, Monika Piazzesi and Glenn D. Rudebusch
University of Pennsylvania - Department of Economics, Stanford University and Federal Reserve Bank of San Francisco
Downloads 476 (113,475)

Abstract:

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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 Last Revised: 26 Oct 2022
Francis X. Diebold, Monika Piazzesi and Glenn D. Rudebusch
University of Pennsylvania - Department of Economics, Stanford University and Federal Reserve Bank of San Francisco
Downloads 109 (471,473)
Citation 16

Abstract:

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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 296 (193,751)

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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 146 (375,397)
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 2022
FRB of San Francisco - Financial Research, University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 79 (584,393)
Citation 64

Abstract:

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6.

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 520 (103,243)
Citation 12

Abstract:

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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 335 (169,726)
Citation 2

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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 2022
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 116 (449,652)
Citation 25

Abstract:

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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, Tao Wu and Tao Wu
Federal Reserve Bank of San Francisco, University of California, Irvine - Department of Economics and Federal Reserve Bank of San FranciscoFederal Reserve Bank of Dallas
Downloads 430 (129,418)
Citation 36

Abstract:

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Treasury bonds, Federal funds rate

9.
Downloads 394 (143,110)
Citation 87

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
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco
Downloads 259 (222,087)
Citation 11

Abstract:

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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
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco
Downloads 135 (399,704)
Citation 79

Abstract:

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

10.

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
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco
Downloads 292 (197,748)
Citation 34

Abstract:

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

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
Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco and The University of Illinois at Urbana-Champaign
Downloads 270 (214,265)
Citation 12

Abstract:

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

12.

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 266 (217,410)
Citation 25

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Monetary policy, vector autoregression

13.

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 260 (222,417)
Citation 66

Abstract:

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interest rate smoothing, term structure, partial adjustment

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 181 (311,885)
Citation 11

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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 65 (652,597)
Citation 160

Abstract:

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15.

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 237 (243,691)
Citation 29

Abstract:

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forecasting, recessions

16.

The Rising Cost of Climate Change: Evidence from the Bond Market

Review of Economics and Statistics, Forthcoming
Number of pages: 35 Posted: 12 Aug 2020 Last Revised: 04 Jan 2022
Michael Bauer and Glenn D. Rudebusch
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco
Downloads 233 (247,676)
Citation 17

Abstract:

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social discount rate, cost of carbon, natural rate of interest, r-star

17.

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, Tao Wu and Tao Wu
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San FranciscoFederal Reserve Bank of Dallas
Downloads 198 (288,226)
Citation 17

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18.

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 194 (293,536)
Citation 122

Abstract:

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Monetary policy, interest rates, Taylor rule

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
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco
Downloads 95 (519,616)
Citation 9

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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
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco
Downloads 90 (538,281)
Citation 9

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

20.
Downloads 182 (310,847)

Policy Rules for Inflation Targeting

NBER Working Paper No. w6512
Number of pages: 54 Posted: 20 Sep 2000 Last Revised: 19 Oct 2022
Glenn D. Rudebusch and Lars E. O. Svensson
Federal Reserve Bank of San Francisco and Stockholm School of Economics
Downloads 182 (310,381)
Citation 8

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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

Abstract:

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21.

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
Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco and The University of Illinois at Urbana-Champaign
Downloads 177 (318,599)
Citation 8

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

22.
Downloads 176 (320,231)
Citation 52

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 117 (446,731)
Citation 1

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Eurosystem Monetary Targeting: Lessons from U.S. Data

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 33 (873,184)
Citation 3

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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 Last Revised: 13 Feb 2022
Glenn D. Rudebusch and Lars E. O. Svensson
Federal Reserve Bank of San Francisco and Stockholm School of Economics
Downloads 26 (938,242)
Citation 1

Abstract:

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23.

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 172 (326,834)

Abstract:

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Yield Curve, Interest Rate, Bond Market, Svensson Model

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 108 (474,643)
Citation 2

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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: 15 Jul 2022
Glenn D. Rudebusch and John C. Williams
Federal Reserve Bank of San Francisco and Federal Reserve Bank of New York
Downloads 49 (749,292)
Citation 12

Abstract:

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25.

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 151 (364,866)
Citation 38

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Consumption, Keynesian Economics

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 112 (461,995)
Citation 1

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

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

NBER Working Paper No. w28228
Number of pages: 31 Posted: 21 Dec 2020 Last Revised: 17 Feb 2023
Francis X. Diebold and Glenn D. Rudebusch
University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 17 (1,034,149)
Citation 6

Abstract:

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27.

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 125 (423,135)
Citation 7

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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 104 (484,800)

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

29.

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

Number of pages: 44 Posted: 10 Dec 2002
Glenn D. Rudebusch
Federal Reserve Bank of San Francisco
Downloads 90 (533,109)
Citation 1

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Real-time Data, Optimal Policy

30.

Measuring Business Cycles: A Modern Perspective

NBER Working Paper No. w4643
Number of pages: 35 Posted: 25 Jul 2000 Last Revised: 11 Mar 2022
Francis X. Diebold and Glenn D. Rudebusch
University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 77 (585,512)
Citation 22

Abstract:

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31.

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 2022
FRB of San Francisco - Financial Research, University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 69 (621,919)

Abstract:

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32.

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, Bocconi University, Université du Québec à Montréal - Département des Sciences Économiques, Federal Reserve Bank of San Francisco and University of Pennsylvania - Department of Economics
Downloads 60 (667,763)
Citation 1

Abstract:

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Climate modeling, nowcasting, model averaging, ensemble averaging

33.

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 Board of Governors of the Federal Reserve System

Abstract:

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34.

Opportunistic and Deliberate Disinflation Under Imperfect Credibility

Economics Discussion Series (98-01)
Posted: 03 Mar 1998
Antulio N. Bomfim and Glenn D. Rudebusch
Board of Governors of the Federal Reserve System and Federal Reserve Bank of San Francisco

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