Jens Henrik Eggert Christensen : Citation Profile

Are you Jens Henrik Eggert Christensen?

Federal Reserve Bank of San Francisco

13

H index

15

i10 index

1202

Citations

RESEARCH PRODUCTION:

42

Articles

41

Papers

RESEARCH ACTIVITY:

   19 years (2004 - 2023). See details.
   Cites by year: 63
   Journals where Jens Henrik Eggert Christensen has often published
   Relations with other researchers
   Recent citing documents: 41.    Total self citations: 46 (3.69 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch1126
   Updated: 2024-01-16    RAS profile: 2023-02-24    
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Relations with other researchers

Works with:

Spiegel, Mark (4)

Lopez, Jose (3)

Mirkov, Nikola (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Jens Henrik Eggert Christensen.

Is cited by:

Rudebusch, Glenn (37)

Krippner, Leo (25)

Bauer, Michael (24)

Mouabbi, Sarah (19)

Wu, Jing Cynthia (19)

Spiegel, Mark (14)

Laurini, Márcio (13)

Carriero, Andrea (13)

Schrimpf, Andreas (12)

Lopez, Jose (12)

Lemke, Wolfgang (11)

Cites to:

Rudebusch, Glenn (117)

Lopez, Jose (36)

Diebold, Francis (31)

Singleton, Kenneth (30)

Duffee, Greg (18)

Bauer, Michael (17)

Vayanos, Dimitri (16)

Nelson, Charles (15)

Williams, John (15)

Orphanides, Athanasios (14)

KRISHNAMURTHY, ARVIND (13)

Main data

Where Jens Henrik Eggert Christensen has published?

Journals with more than one article published# docs
FRBSF Economic Letter34

Working Papers Series with more than one paper published# docs
Working Paper Series / Federal Reserve Bank of San Francisco32
Working Papers / Swiss National Bank3
NBER Working Papers / National Bureau of Economic Research, Inc2

Recent works citing Jens Henrik Eggert Christensen (2024 and 2023)

YearTitle of citing document
2023Macroeconomic drivers of Inflation Expectations and Inflation Risk Premia. (2023). Wauters, Joris ; Iania, Leonardo ; Boeckx, Jef. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023003.

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2023Effects of the Extraordinary Measures Implemented by Banco de México during the COVID-19 Pandemic on Financial Conditions. (2023). Ibarra, Raul ; Cuadra, Gabriel ; Alba, Carlos ; Gabriel, Cuadra. In: Working Papers. RePEc:bdm:wpaper:2023-03.

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2023The Three Intelligible Factors of the Yield Curve in Mexico. (2023). Rocio, Elizondo. In: Working Papers. RePEc:bdm:wpaper:2023-13.

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2023The Yield and Market Function Effects of the Reserve Bank of Australias Bond Purchases. (2023). Xiang, Michelle ; Titkov, Dmitry ; Finlay, Richard. In: The Economic Record. RePEc:bla:ecorec:v:99:y:2023:i:326:p:359-384.

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2023A prolonged period of low interest rates in Europe: Unintended consequences. (2023). Malovana, Simona ; Jank, Jan ; Ehrenbergerova, Dominika ; Bajzik, Josef. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:2:p:526-572.

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2023Quantitative Easing, Bank Lending, and Aggregate Fluctuations. (2023). Segev, Nimrod ; Schaffer, Matthew. In: Bank of Israel Working Papers. RePEc:boi:wpaper:2023.01.

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2023Collateral-based monetary policy and corporate employment: Evidence from Medium-term Lending Facility in China. (2023). Zhang, Huan ; Wu, Yuhui ; Liu, Xiaoling. In: Journal of Corporate Finance. RePEc:eee:corfin:v:78:y:2023:i:c:s0929119922001766.

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2023Central bank lending facility and investment efficiency of non-SOEs: evidence from China. (2023). Si, Deng-Kui ; Ding, Hui ; Xie, Pinyi ; Li, Xiao-Lin. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s026499932300233x.

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2023A global monetary policy factor in sovereign bond yields. (2023). Migiakis, Petros ; Malliaropulos, Dimitris. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:445-465.

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2023Which COVID-19 information really impacts stock markets?. (2023). Brzeszczynski, Janusz ; Brzeszczyski, Janusz ; Bwanya, Princess Rutendo ; Charteris, Ailie ; Szczygielski, Jan Jakub. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:84:y:2023:i:c:s1042443122000749.

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2023A shadow rate without a lower bound constraint. (2023). Ristiniemi, Annukka ; de Rezende, Rafael B. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002667.

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2023The incremental information in the yield curve about future interest rate risk. (2023). Christensen, Bent Jesper ; Veliyev, Bezirgen ; Kjar, Mads Markvart. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:155:y:2023:i:c:s0378426623001711.

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2023Historical performance of rule-like monetary policy. (2023). Teryoshin, Yevgeniy. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:130:y:2023:i:c:s0261560622001693.

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2023Central bank credibility during COVID-19: Evidence from Japan. (2023). Spiegel, Mark M. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:131:y:2023:i:c:s0261560622001917.

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2023Estimates of the US Shadow-Rate. (2023). Pia, Marco ; Alfaro, Rodrigo. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:4:y:2023:i:1:s2666143822000345.

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2023Central bank asset purchases, banks’ risky security holdings and profitability: Macro and micro evidence from Japan and the U.S.. (2023). Wang, Ling. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:347-364.

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2023Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2023). Yang, Xiye ; Neely, Christopher J ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490.

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2023.

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2023Central bank asset purchases: Insights from quantitative easing auctions of government bonds. (2023). Laseen, Stefan. In: Working Paper Series. RePEc:hhs:rbnkwp:0419.

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2023Countering Appreciation Pressure with Unconventional Monetary Policy: The Role of Financial Frictions. (2023). Leutert, Jessica ; Aregger, Nicole. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2023:q:4:a:7.

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2023Population aging and structural over/underinvestment. (2023). Brůna, Karel ; Pour, Jii ; Brna, Karel. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:4:d:10.1007_s10644-023-09517-5.

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2023Monetary Policy is Not Always Systematic and Data-Driven: Evidence from the Yield Curve. (2023). Vlek, Jan ; Buli, Ale. In: Open Economies Review. RePEc:kap:openec:v:34:y:2023:i:1:d:10.1007_s11079-022-09663-9.

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2023Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model. (2023). Eghbalzadeh, Ramin ; Godin, Frederic ; Gaillardetz, Patrice. In: Review of Derivatives Research. RePEc:kap:revdev:v:26:y:2023:i:2:d:10.1007_s11147-023-09196-4.

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2023A comparison of multi-factor term structure models for interbank rates. (2023). Tunaru, Diana ; Fabozzi, Francesco A. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01147-2.

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2023A nonlinear inversion procedure for modeling the effects of economic factors on credit risk migration. (2023). Stokes, Jeffrey R. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:3:d:10.1007_s11156-023-01170-3.

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2023Text-Based Recession Probabilities. (2023). Mezo, Helena ; Lebastard, Laura ; Minesso, Massimo Ferrari. In: IMF Economic Review. RePEc:pal:imfecr:v:71:y:2023:i:2:d:10.1057_s41308-022-00177-5.

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2023The promises (and perils) of control-contingent forward guidance. (). Roulleau-Pasdeloup, Jordan ; Nie, HE. In: Review of Economic Dynamics. RePEc:red:issued:21-153.

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2023Impact of Macroeconomic and Banking Indicators on Lending Rates - A Global Perspective. (2023). Anghel, Cristian ; Niescu, Dan Costin. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2023:i:1:p:64-77.

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2023Forecasting the term structure of commodities future prices using machine learning. (2023). Saporito, Yuri F ; Figueiredo, Mario. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:1:d:10.1007_s42521-022-00069-3.

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2023Size and liquidity of government securities in India. (2023). N. R. V. V. M. K. Rajendra Kumar, ; Chander, Jai ; Dayanandan, Ajit. In: Indian Economic Review. RePEc:spr:inecre:v:58:y:2023:i:1:d:10.1007_s41775-023-00178-9.

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2023Are lower interest rates really associated with higher growth? New empirical evidence on the interest rate thesis from 19 countries. (2023). Werner, Richard A ; Lee, Kangsoek. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:4:p:3960-3975.

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2023.

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2023Forecasting term structure of the Japanese bond yields in the presence of a liquidity trap. (2023). Zheng, Zhongxi ; Zhang, Zhaoyong ; Wu, Junxiang ; Tsui, Albert K. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:5:p:1205-1227.

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2023Money Illusion and TIPS Demand. (2023). Tarelli, Andrea ; Lioui, Abraham. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:55:y:2023:i:1:p:171-214.

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2023A Model of QE, Reserve Demand, and the Money Multiplier. (2023). Whelan, Karl ; Ryan, Ellen. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:55:y:2023:i:2-3:p:407-439.

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2023A Dilemma between Liquidity Regulation and Monetary Policy: Some History and Theory. (2023). Vari, Miklos ; Monnet, Eric. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:55:y:2023:i:4:p:915-944.

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2023Pricing the Bund term structure with linear regressions – without an observable short rate. (2023). Speck, Christian. In: Discussion Papers. RePEc:zbw:bubdps:082023.

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2023Shadow-rate VARs. (2023). Mertens, Elmar ; Marcellino, Massimiliano ; Clark, Todd E ; Carriero, Andrea. In: Discussion Papers. RePEc:zbw:bubdps:142023.

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2023The influence of negative interest rates on life insurance companies. (2023). Grochola, Nicolaus. In: ICIR Working Paper Series. RePEc:zbw:icirwp:279897.

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2023Enhancing gradient capital allocation with orthogonal convexity scenarios. (2023). Schlutter, Sebastian ; Aigner, Philipp. In: ICIR Working Paper Series. RePEc:zbw:icirwp:4723.

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2023Quantitative easing, the repo market, and the term structure of interest rates. (2023). Subrahmanyam, Marti G ; Pelizzon, Loriana ; Jappelli, Ruggero. In: SAFE Working Paper Series. RePEc:zbw:safewp:395.

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Works by Jens Henrik Eggert Christensen:

YearTitleTypeCited
2012The Response of Interest Rates to US and UK Quantitative Easing In: Economic Journal.
[Full Text][Citation analysis]		article245
2012The response of interest rates to U.S. and U.K. quantitative easing.(2012) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 245		paper
2009An arbitrage-free generalized Nelson--Siegel term structure model In: Econometrics Journal.
[Full Text][Citation analysis]		article77
2008An arbitrage-free generalized Nelson-Siegel term structure model.(2008) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 77		paper
2008An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 77		paper
2008An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model.(2008) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 77		paper
2011The affine arbitrage-free class of Nelson-Siegel term structure models In: Journal of Econometrics.
[Full Text][Citation analysis]		article210
2007The affine arbitrage-free class of Nelson-Siegel term structure models.(2007) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 210		paper
2007The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 210		paper
2007The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models.(2007) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 210		paper
2004Confidence sets for continuous-time rating transition probabilities In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article55
2014When will the Fed end its zero rate policy? In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article1
2014Stress testing the Fed In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article0
2014Financial market outlook for inflation In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article5
2014Assessing expectations of monetary policy In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article7
2015Transmission of asset purchases: the role of reserves In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article0
2015Assessing supervisory scenarios for interest rate risk In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article0
2016Differing views on long-term inflation expectations In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article1
2016TIPS Liquidity and the Outlook for Inflation In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article1
2017Do All New Treasuries Trade at a Premium? In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article1
2017Measuring Interest Rate Risk in the Very Long Term In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article0
2017How Much Has Job Matching Efficiency Declined? In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article1
2017New Evidence for a Lower New Normal in Interest Rates In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article5
2018Do Adjustment Lags Matter for Inflation-Indexed Bonds? In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article0
2018Do Foreign Funds Matter for Emerging Market Bond Liquidity? In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article0
2018The Slope of the Yield Curve and the Near-Term Outlook In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article3
2019The Risk of Returning to the Zero Lower Bound In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article1
2019Negative Interest Rates and Inflation Expectations in Japan In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article3
2019Yield Curve Responses to Introducing Negative Policy Rates In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article2
2020Coronavirus and the Risk of Deflation In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article2
2020Emerging Bond Markets and COVID-19: Evidence from Mexico In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article3
2021Exploring the Safety Premium of Safe Assets In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article0
2021What Would It Cost to Issue 50-year Treasury Bonds? In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article0
2022The Increase in Inflation Compensation: What’s Up? In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article0
2022COVID-19 Fiscal Expansion and Inflation Expectations in Japan In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article0
2023Are Inflation Expectations Well Anchored in Mexico? In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article0
2007Internal risk models and the estimation of default probabilities In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article0
2008Treasury bond yields and long-run inflation expectations In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article0
2008The corporate bond credit spread puzzle In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article6
2009Have the Fed liquidity facilities had an effect on Libor? In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article4
2009Inflation expectations and the risk of deflation In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article3
2010TIPS and the risk of deflation In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article0
2011Has the Treasury benefited from issuing TIPS? In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article1
2011TIPS liquidity, breakeven inflation, and inflation expectations In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article1
2012Do Fed TIPS purchases affect market liquidity? In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article8
2009Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields In: Proceedings.
[Full Text][Citation analysis]		article138
2008Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields.(2008) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 138		paper
2010Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields.(2010) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has nother version. Agregated cites: 138		article
2009Do central bank liquidity facilities affect interbank lending rates? In: Working Paper Series.
[Full Text][Citation analysis]		paper99
2014Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?.(2014) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 99		article
2011Extracting deflation probability forecasts from Treasury yields In: Working Paper Series.
[Full Text][Citation analysis]		paper21
2012Extracting Deflation Probability Forecasts from Treasury Yields.(2012) In: International Journal of Central Banking.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		article
2011A model-independent maximum range for the liquidity correction of TIPS yields In: Working Paper Series.
[Full Text][Citation analysis]		paper4
2012Pricing deflation risk with U.S. Treasury yields In: Working Paper Series.
[Full Text][Citation analysis]		paper8
2013Estimating Shadow-Rate Term Structure Models with Near-Zero Yields In: Working Paper Series.
[Full Text][Citation analysis]		paper72
2013Does Quantitative Easing Affect Market Liquidity? In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2013A Regime-Switching Model of the Yield Curve at the Zero Bound In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2013A Probability-Based Stress Test of Federal Reserve Assets and Income In: Working Paper Series.
[Full Text][Citation analysis]		paper40
2013Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution? In: Working Paper Series.
[Full Text][Citation analysis]		paper48
2014Can Spanned Term Structure Factors Drive Stochastic Yield Volatility? In: Working Paper Series.
[Full Text][Citation analysis]		paper5
2014Transmission of Quantitative Easing: The Role of Central Bank Reserves In: Working Paper Series.
[Full Text][Citation analysis]		paper30
2016A Portfolio Model of Quantitative Easing In: Working Paper Series.
[Full Text][Citation analysis]		paper17
2016A Portfolio Model of Quantitative Easing.(2016) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2018A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt In: Working Paper Series.
[Full Text][Citation analysis]		paper33
2017Is There an On-the-Run Premium in TIPS? In: Working Paper Series.
[Full Text][Citation analysis]		paper4
2020The TIPS Liquidity Premium In: Working Paper Series.
[Full Text][Citation analysis]		paper1
2017Term Structure Analysis with Big Data In: Working Paper Series.
[Full Text][Citation analysis]		paper8
2019Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2019Bond Flows and Liquidity: Do Foreigners Matter? In: Working Paper Series.
[Full Text][Citation analysis]		paper1
2019Assessing Abenomics: Evidence from Inflation-Indexed Japanese Government Bonds In: Working Paper Series.
[Full Text][Citation analysis]		paper1
2021The Safety Premium of Safe Assets In: Working Paper Series.
[Full Text][Citation analysis]		paper1
2020Accounting for Low Long-Term Interest Rates: Evidence from Canada In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2021Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico In: Working Paper Series.
[Full Text][Citation analysis]		paper1
2021Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico.(2021) In: Staff Reports.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2021International Evidence on Extending Sovereign Debt Maturities In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2021Central Bank Credibility During COVID-19: Evidence from Japan In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2023The Benefit of Inflation-Indexed Debt: Evidence from an Emerging Bond Market In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2023Quantitative Easing and Safe Asset Scarcity: Evidence from International Bond Safety Premia In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2023Passive Quantitative Easing: Bond Supply Effects through a Halt to Debt Issuance In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2023Market-Based Estimates of the Natural Real Rate: Evidence from Latin American Bond Markets In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2015Transmission of Quantitative Easing: The Role of Central Bank Reserves In: Working Papers.
[Full Text][Citation analysis]		paper11
2016A Portfolio Model of Quantitative Easing In: Working Papers.
[Full Text][Citation analysis]		paper12
2021The safety premium of safe assets In: Working Papers.
[Full Text][Citation analysis]		paper1

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