Jens Henrik Eggert Christensen : Citation Profile


Are you Jens Henrik Eggert Christensen?

Federal Reserve Bank of San Francisco

8

H index

8

i10 index

488

Citations

RESEARCH PRODUCTION:

29

Articles

27

Papers

RESEARCH ACTIVITY:

   13 years (2004 - 2017). See details.
   Cites by year: 37
   Journals where Jens Henrik Eggert Christensen has often published
   Relations with other researchers
   Recent citing documents: 106.    Total self citations: 30 (5.79 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch1126
   Updated: 2017-11-18    RAS profile: 2015-06-10    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Rudebusch, Glenn (14)

Lopez, Jose (11)

Krogstrup, Signe (6)

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:

Krippner, Leo (16)

Wu, Jing Cynthia (15)

Rudebusch, Glenn (13)

Moreno Gutiérrez, José (12)

Hamilton, James (11)

Bauer, Michael (11)

Belke, Ansgar (11)

Laurini, Márcio (10)

Mouabbi, Sarah (9)

Grishchenko, Olesya (9)

Carriero, Andrea (9)

Cites to:

Rudebusch, Glenn (64)

Lopez, Jose (22)

Diebold, Francis (21)

Singleton, Kenneth (13)

Bauer, Michael (10)

Duffee, Greg (9)

Wu, Jing Cynthia (9)

Orphanides, Athanasios (8)

Vayanos, Dimitri (8)

Piazzesi, Monika (8)

Gürkaynak, Refet (7)

Main data


Where Jens Henrik Eggert Christensen has published?


Journals with more than one article published# docs
FRBSF Economic Letter21

Working Papers Series with more than one paper published# docs
Working Paper Series / Federal Reserve Bank of San Francisco20
Working Papers / Swiss National Bank2

Recent works citing Jens Henrik Eggert Christensen (2017 and 2016)


YearTitle of citing document
2017The TIPS Liquidity Premium. (2017). Andreasen, Martin M ; Riddell, Simon . In: CREATES Research Papers. RePEc:aah:create:2017-27.

Full description at Econpapers || Download paper

2016FORECASTING THE YIELD CURVE WITH THE ARBITRAGE-FREE DYNAMIC NELSON-SIEGEL MODEL: BRAZILIAN EVIDENCE. (2016). Santos, Andre ; Moura, Guilherme ; Tourrucoo, Fabricio ; Caldeira, Joo F. In: Anais do XLII Encontro Nacional de Economia [Proceedings of the 42ndd Brazilian Economics Meeting]. RePEc:anp:en2014:028.

Full description at Econpapers || Download paper

2016A CRISE FINANCEIRA AMERICANA E AS IMPLICAÇÕES PARA A POLÍTICA MONETÁRIA. (2016). Saraiva, Paulo Jose ; de Melo, Andre ; de Paula, Luiz Fernando ; dePaula, Luiz Fernando . In: Anais do XLII Encontro Nacional de Economia [Proceedings of the 42ndd Brazilian Economics Meeting]. RePEc:anp:en2014:114.

Full description at Econpapers || Download paper

2017Robust and Consistent Estimation of Generators in Credit Risk. (2017). Smith, Greig ; Reis, Goncalo Dos . In: Papers. RePEc:arx:papers:1702.08867.

Full description at Econpapers || Download paper

2017Optimal excess-of-loss reinsurance and investment problem for an insurer with default risk under a stochastic volatility model. (2017). Yao, Nian ; Yang, Zhiming . In: Papers. RePEc:arx:papers:1704.08234.

Full description at Econpapers || Download paper

2017Arbitrage-Free Regularization. (2017). Kratsios, Anastasis ; Hyndman, Cody B. In: Papers. RePEc:arx:papers:1710.05114.

Full description at Econpapers || Download paper

2016UK term structure decompositions at the zero lower bound.. (2016). Mouabbi, Sarah ; Carriero, Andrea ; Vangelista, E. In: Working papers. RePEc:bfr:banfra:589.

Full description at Econpapers || Download paper

2016On the costs of deflation: a consumption-based approach. (2016). Garcia-Verdu, Santiago ; Ramos-Francia, Manuel ; Ramos -Francia, Manuel . In: BIS Papers chapters. RePEc:bis:bisbpc:89-17.

Full description at Econpapers || Download paper

2016A comparative analysis of developments in central bank balance sheet composition. (2016). Pattipeilohy, Christiaan . In: BIS Working Papers. RePEc:bis:biswps:559.

Full description at Econpapers || Download paper

2016Unconventional monetary policies: a re-appraisal. (2016). BORIO, Claudio ; Zabai, Anna . In: BIS Working Papers. RePEc:bis:biswps:570.

Full description at Econpapers || Download paper

2017Global impact of US and euro area unconventional monetary policies: a comparison. (2017). Lombardi, Marco ; Ross, Alex ; Chen, Qianying ; Zhu, Feng. In: BIS Working Papers. RePEc:bis:biswps:610.

Full description at Econpapers || Download paper

2016The Portfolio Balance Mechanism and QE in the Euro Area. (2016). Vogel, Lukas ; Priftis, Romanos. In: Manchester School. RePEc:bla:manchs:v:84:y:2016:i:s1:p:84-105.

Full description at Econpapers || Download paper

2016A shadow rate model with time-varying lower bound of interest rates. (2016). Kortela, Tomi . In: Research Discussion Papers. RePEc:bof:bofrdp:2016_019.

Full description at Econpapers || Download paper

2017Liquidity & Risk Management: Results of a Survey of Large Irish-Domiciled Funds. (2017). Daly, Pierce ; Moloney, Kitty . In: Quarterly Bulletin Articles. RePEc:cbi:qtbart:y:2017:m:07:p:48-62.

Full description at Econpapers || Download paper

2017Consolidated Banking Data: Introducing Enhanced Statistics for Ireland. (2017). Devine, Kenneth ; Menton, Aisling ; Meehan, Ciaran ; Dooley, Jennifer . In: Quarterly Bulletin Articles. RePEc:cbi:qtbart:y:2017:m:07:p:63-78.

Full description at Econpapers || Download paper

2017Non-standard Monetary Policy Measures and the Balance Sheets of Eurosystem Central Banks. (2017). Donnery, Sharon ; Carroll, Konstantina ; Gleeson, Ruth ; Doran, David . In: Quarterly Bulletin Articles. RePEc:cbi:qtbart:y:2017:m:07:p:79-94.

Full description at Econpapers || Download paper

2017The Portfolio Rebalancing Effects of the ECBs Asset Purchase Programme. (2017). Dunne, Peter ; Bua, Giovanna. In: Research Technical Papers. RePEc:cbi:wpaper:07/rt/17.

Full description at Econpapers || Download paper

2016The response of sovereign bond yields to U.S. monetary policy. (2016). Zakrajsek, Egon ; Gilchrist, Simon ; Yue, Vivian Z ; Zakrajek, Egon . In: Journal Economía Chilena (The Chilean Economy). RePEc:chb:bcchec:v:19:y:2016:i:2:p:102-106.

Full description at Econpapers || Download paper

2016The Response of Sovereign Bond Yields to U.S. Monetary Policy. (2016). Gilchrist, Simon ; Zakrajek, Egon ; Yue, Vivian Z. In: Central Banking, Analysis, and Economic Policies Book Series. RePEc:chb:bcchsb:v24c08pp257-283.

Full description at Econpapers || Download paper

2016U.S. Monetary Spillovers to Latin America: The Role of Long-term Interest Rates. (2016). Albagli, Elias ; Saravia, Diego ; Leiva-Leon, Danilo . In: Central Banking, Analysis, and Economic Policies Book Series. RePEc:chb:bcchsb:v24c09pp285-307.

Full description at Econpapers || Download paper

2016Calibrating the Dynamic Nelson-Siegel Model: A Practitioner Approach. (2016). Ibáñez, Francisco ; Ibaez, Francisco . In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:774.

Full description at Econpapers || Download paper

2016Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities. (2016). Chernov, Mikhail ; Dunn, Brett R ; Longstaff, Francis . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10947.

Full description at Econpapers || Download paper

2017Monetary policys rising FX impact in the era of ultra-low rates. (2017). Schrimpf, Andreas ; Ferrari, Massimo ; Kearns, Jonathan . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11918.

Full description at Econpapers || Download paper

2016Unconventional Monetary Policy, Fiscal Side Effects and Euro Area (Im)balances. (2016). Rieth, Malte ; Hachula, Michael ; Piffer, Michele . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1596.

Full description at Econpapers || Download paper

2016A comparative analysis of developments in central bank balance sheet composition. (2016). Pattipeilohy, Christiaan . In: DNB Working Papers. RePEc:dnb:dnbwpp:510.

Full description at Econpapers || Download paper

2016Connecting the dots: market reactions to forecasts of policy rates and forward guidance provided by the Fed. (2016). Moessner, Richhild ; Galati, Gabriele ; Bongard, Michelle ; Nelson, William . In: DNB Working Papers. RePEc:dnb:dnbwpp:523.

Full description at Econpapers || Download paper

2017Low inflation in the euro area: Causes and consequences. (2017). Osbat, Chiara ; Alvarez, Luis ; Ciccarelli, Matteo . In: Occasional Paper Series. RePEc:ecb:ecbops:2017181.

Full description at Econpapers || Download paper

2016Leading indicator properties of corporate bond spreads, excess bond premia and lending spreads in the euro area. (2016). Krylova, Elizaveta . In: Working Paper Series. RePEc:ecb:ecbwps:20161911.

Full description at Econpapers || Download paper

2016Determinants of euro-denominated corporate bond spreads. (2016). Krylova, Elizaveta . In: Working Paper Series. RePEc:ecb:ecbwps:20161912.

Full description at Econpapers || Download paper

2016Net debt supply shocks in the euro area and the implications for QE. (2016). Joyce, Michael ; Blattner, Tobias . In: Working Paper Series. RePEc:ecb:ecbwps:20161957.

Full description at Econpapers || Download paper

2017Tail co-movement in inflation expectations as an indicator of anchoring. (2017). Natoli, Filippo ; Sigalotti, Laura . In: Working Paper Series. RePEc:ecb:ecbwps:20171997.

Full description at Econpapers || Download paper

2017Modeling euro area bond yields using a time-varying factor model. (2017). Adam, Toma ; lo Duca, Marco. In: Working Paper Series. RePEc:ecb:ecbwps:20172012.

Full description at Econpapers || Download paper

2017The macroeconomic impact of the ECBs expanded asset purchase programme (APP). (2017). Musso, Alberto ; Gambetti, Luca. In: Working Paper Series. RePEc:ecb:ecbwps:20172075.

Full description at Econpapers || Download paper

2017On secular stagnation and low interest rates: demography matters. (2017). Ferrero, Giuseppe ; Neri, Stefano ; Gross, Marco . In: Working Paper Series. RePEc:ecb:ecbwps:20172088.

Full description at Econpapers || Download paper

2017A Review on efficient thermal management of air- and liquid-cooled data centers: From chip to the cooling system. (2017). Halgamuge, Saman K ; Khalaj, Ali Habibi . In: Applied Energy. RePEc:eee:appene:v:205:y:2017:i:c:p:1165-1188.

Full description at Econpapers || Download paper

2016The macroeconomic determinants of the US term structure during the Great Moderation. (2016). Paccagnini, Alessia. In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pa:p:216-225.

Full description at Econpapers || Download paper

2016Forecasting economic activity from yield curve factors. (2016). Tzavalis, Elias ; Argyropoulos, Efthymios . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:36:y:2016:i:c:p:293-311.

Full description at Econpapers || Download paper

2017The (de-)anchoring of inflation expectations: New evidence from the euro area. (2017). Nautz, Dieter ; Strohsal, Till ; Pagenhardt, Laura . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:103-115.

Full description at Econpapers || Download paper

2017Scenario generation for long run interest rate risk assessment. (2017). Siriwardane, Emil ; Engle, Robert ; Roussellet, Guillaume. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:333-347.

Full description at Econpapers || Download paper

2017Staying at zero with affine processes: An application to term structure modelling. (2017). Monfort, Alain ; Pegoraro, Fulvio ; Renne, Jean-Paul ; Roussellet, Guillaume. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:348-366.

Full description at Econpapers || Download paper

2016An explicitly solvable Heston model with stochastic interest rate. (2016). Sun, Y ; Recchioni, M C. In: European Journal of Operational Research. RePEc:eee:ejores:v:249:y:2016:i:1:p:359-377.

Full description at Econpapers || Download paper

2017From bond yield to macroeconomic instability: A parsimonious affine model. (2017). Recchioni, Maria Cristina ; Tedeschi, Gabriele . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:3:p:1116-1135.

Full description at Econpapers || Download paper

2016Bond portfolio optimization using dynamic factor models. (2016). Santos, Andre ; Moura, Guilherme ; Caldeira, Joo F. In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:128-158.

Full description at Econpapers || Download paper

2016Global financial market impact of the announcement of the ECBs asset purchase programme. (2016). Gräb, Johannes ; Georgiadis, Georgios ; Grab, Johannes . In: Journal of Financial Stability. RePEc:eee:finsta:v:26:y:2016:i:c:p:257-265.

Full description at Econpapers || Download paper

2016Hoarding and short-squeezing in times of crisis: Evidence from the Euro overnight money market. (2016). Brossard, Olivier ; Saroyan, Susanna . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:40:y:2016:i:c:p:163-185.

Full description at Econpapers || Download paper

2017Does realized volatility help bond yield density prediction?. (2017). Shin, Minchul ; Zhong, Molin . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:373-389.

Full description at Econpapers || Download paper

2016The informational content of the embedded deflation option in TIPS. (2016). Grishchenko, Olesya ; Zhang, Jianing ; Vanden, Joel M. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:65:y:2016:i:c:p:1-26.

Full description at Econpapers || Download paper

2016Systematic multi-period stress scenarios with an application to CCP risk management. (2016). de Genaro, Alan . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:67:y:2016:i:c:p:119-134.

Full description at Econpapers || Download paper

2016Credit and liquidity in interbank rates: A quadratic approach. (2016). Roussellet, Guillaume ; Renne, Jean-Paul ; Monfort, Alain ; Dubecq, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:68:y:2016:i:c:p:29-46.

Full description at Econpapers || Download paper

2017Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives. (2017). Nguyen, Duc Khuong ; Paltalidis, Nikos ; Gounopoulos, Dimitrios ; Boubaker, Sabri . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:35-52.

Full description at Econpapers || Download paper

2017Interbank interest rates: Funding liquidity risk and XIBOR basis spreads. (2017). Gallitschke, Janek ; Seifried, Frank Thomas . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:78:y:2017:i:c:p:142-152.

Full description at Econpapers || Download paper

2016Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme. (2016). Schwaab, Bernd ; Eser, Fabian. In: Journal of Financial Economics. RePEc:eee:jfinec:v:119:y:2016:i:1:p:147-167.

Full description at Econpapers || Download paper

2016Can credit spreads help predict a yield curve?. (2016). Abdymomunov, Azamat ; Jeong, KI ; Ho, Kyu . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:64:y:2016:i:c:p:39-61.

Full description at Econpapers || Download paper

2016What is the effect of unconventional monetary policy on bank performance?. (2016). mamatzakis, emmanuel ; Bermpei, Theodora . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:67:y:2016:i:c:p:239-263.

Full description at Econpapers || Download paper

2016Quantitative easing and the post-crisis surge in financial flows to developing countries. (2016). Mohapatra, Sanket ; Lim, Jamus. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:68:y:2016:i:c:p:331-357.

Full description at Econpapers || Download paper

2016The cooperative bank difference before and after the global financial crisis. (2016). Ciciretti, Rocco ; Becchetti, Leonardo ; Paolantonio, Adriana . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:69:y:2016:i:c:p:224-246.

Full description at Econpapers || Download paper

2017International capital market frictions and spillovers from quantitative easing. (2017). MacDonald, Margaux. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:135-156.

Full description at Econpapers || Download paper

2017The effectiveness of the Fed’s quantitative easing policy: New evidence based on international interest rate differentials. (2017). Gros, Daniel ; Belke, Ansgar ; Osowski, Thomas. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pb:p:335-349.

Full description at Econpapers || Download paper

2017The interest rate effects of government bond purchases away from the lower bound. (2017). De Rezende, Rafael. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:165-186.

Full description at Econpapers || Download paper

2017Cross-border spillover effects of unconventional monetary policies on Swiss asset prices. (2017). Bernhard, Severin ; Ebner, Till . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:75:y:2017:i:c:p:109-127.

Full description at Econpapers || Download paper

2016What are the macroeconomic effects of asset purchases?. (2016). Wieladek, Tomasz ; Weale, Martin. In: Journal of Monetary Economics. RePEc:eee:moneco:v:79:y:2016:i:c:p:81-93.

Full description at Econpapers || Download paper

2016Decomposing real and nominal yield curves. (2016). Moench, Emanuel ; Crump, Richard ; Adrian, Tobias ; Yu, Rui ; Abrahams, Michael . In: Journal of Monetary Economics. RePEc:eee:moneco:v:84:y:2016:i:c:p:182-200.

Full description at Econpapers || Download paper

2016Determination of zero-coupon and spot rates from treasury data by maximum entropy methods. (2016). Gzyl, Henryk ; Mayoral, Silvia . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:456:y:2016:i:c:p:38-50.

Full description at Econpapers || Download paper

2017An empirical decomposition of the liquidity premium in breakeven inflation rates. (2017). Guler, Mustafa ; Polat, Tandoan ; KELE, Gursu . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:63:y:2017:i:c:p:185-192.

Full description at Econpapers || Download paper

2017Invariance, observational equivalence, and identification: Some implications for the empirical performance of affine term structure models. (2017). Juneja, Januj . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:64:y:2017:i:c:p:292-305.

Full description at Econpapers || Download paper

2017Measuring heterogeneity in bank liquidity risk: Who are the winners and losers?. (2017). Jean-Loup, Soula. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:302-313.

Full description at Econpapers || Download paper

2017Evaluating demand charge reduction for commercial-scale solar PV coupled with battery storage. (2017). Park, Alex ; Lappas, Petros . In: Renewable Energy. RePEc:eee:renene:v:108:y:2017:i:c:p:523-532.

Full description at Econpapers || Download paper

2016A macro-finance term structure model with multivariate stochastic volatility. (2016). Laurini, Márcio ; Caldeira, Joo F. In: International Review of Economics & Finance. RePEc:eee:reveco:v:44:y:2016:i:c:p:68-90.

Full description at Econpapers || Download paper

2016Is a pure TIPS strategy truly risk free?. (2016). Haensly, Paul J. In: Review of Financial Economics. RePEc:eee:revfin:v:28:y:2016:i:c:p:1-20.

Full description at Econpapers || Download paper

2016Financial crises and estimation bias in international bond markets. (2016). Juneja, Januj A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:38:y:2016:i:c:p:593-607.

Full description at Econpapers || Download paper

2017How Germany benefits the most from its Eurozone membership. (2017). Juneja, Januj . In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1074-1088.

Full description at Econpapers || Download paper

2016Did quantitative easing affect interest rates outside the US? New evidence based on interest rate differentials. (2016). Gros, Daniel ; Belke, Ansgar ; Osowski, Thomas. In: CEPS Papers. RePEc:eps:cepswp:11266.

Full description at Econpapers || Download paper

2016Why Are Long-Term Interest Rates So Low?. (2016). Rudebusch, Glenn ; Bauer, Michael. In: FRBSF Economic Letter. RePEc:fip:fedfel:00114.

Full description at Econpapers || Download paper

2016Deflation Risk and Implications for Life Insurers. (2016). Begin, Jean-Franois . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:4:p:46-:d:84409.

Full description at Econpapers || Download paper

2017Quantitative Easing by the Fed and International Capital Flows. (2017). Khatiwada, Sameer . In: IHEID Working Papers. RePEc:gii:giihei:heidwp02-2017.

Full description at Econpapers || Download paper

2016Monetary Policy and Corporate Bond Returns. (2016). Kontonikas, Alexandros ; Maio, Paulo ; Zekaite, Zivile . In: Working Papers. RePEc:gla:glaewp:2016_05.

Full description at Econpapers || Download paper

2017Interpretable Parsimonious Arbitrage-free Modeling of the Yield Curve. (2017). Bekker, Paul A. In: Research Report. RePEc:gro:rugsom:17009-eef.

Full description at Econpapers || Download paper

2016Analyzing and Comparing Basels III Sensitivity Based Approach for the interest rate risk in the trading book. (2016). Sayah, Mabelle . In: Post-Print. RePEc:hal:journl:hal-01217928.

Full description at Econpapers || Download paper

2016What Derives the Bond Portfolio Value-at-Risk: Information Roles of Macroeconomic and Financial Stress Factors. (2016). Tu, Anthony H ; Chen, Cathy Yi-Hsuan. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2016-006.

Full description at Econpapers || Download paper

2016International dynamics of inflation expectations. (2016). Netšunajev, Aleksei ; Netunajev, Aleksei . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2016-019.

Full description at Econpapers || Download paper

2016Quantitative Easing: An Underappreciated Success. (2016). Gagnon, Joseph. In: Policy Briefs. RePEc:iie:pbrief:pb16-4.

Full description at Econpapers || Download paper

2016From bond yield to macroeconomic instability: The effect of negative interest rates. (2016). Tedeschi, Gabriele ; Recchioni, Maria Cristina . In: Working Papers. RePEc:jau:wpaper:2016/06.

Full description at Econpapers || Download paper

2016Government Support of Banks and Bank Lending. (2016). Demiralp, Selva ; Lloyd, Nathan ; Bassett, William. In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:1611.

Full description at Econpapers || Download paper

2017Monetary Policy and Stock/Foreign Exchange Market Liquidity: The Japanese Case. (2017). Kurihara, Yutaka . In: Journal of Economics Library. RePEc:ksp:journ5:v:4:y:2017:i:1:p:1-8.

Full description at Econpapers || Download paper

2016The response of euro area sovereign spreads to the ECB unconventional monetary policies. (2016). Dewachter, Hans ; Wijnandts, Jean-Charles ; Iania, Leonardo . In: Working Paper Research. RePEc:nbb:reswpp:201610-309.

Full description at Econpapers || Download paper

2016Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities. (2016). Longstaff, Francis ; Chernov, Mikhail ; Dunn, Brett R. In: NBER Working Papers. RePEc:nbr:nberwo:22096.

Full description at Econpapers || Download paper

2017The Formation of Expectations, Inflation and the Phillips Curve. (2017). Gorodnichenko, Yuriy ; Coibion, Olivier ; Kamdar, Rupal . In: NBER Working Papers. RePEc:nbr:nberwo:23304.

Full description at Econpapers || Download paper

2016Demographics and the Behavior of Interest Rates. (2016). Favero, Carlo ; Yang, Haoxi ; Gozluklu, Arie E. In: IMF Economic Review. RePEc:pal:imfecr:v:64:y:2016:i:4:d:10.1057_s41308-016-0020-2.

Full description at Econpapers || Download paper

2016Inflation expectations derived from a portfolio model. (2016). Covarrubias, Enrique ; Hernandez-Del, Gerardo . In: MPRA Paper. RePEc:pra:mprapa:69489.

Full description at Econpapers || Download paper

2016Assessing the effects of unconventional monetary policy on pension funds risk incentives. (2016). Nguyen, Duc Khuong ; Gounopoulos, Dimitrios ; Boubaker, Sabri ; Paltalidis, Nikos . In: MPRA Paper. RePEc:pra:mprapa:73398.

Full description at Econpapers || Download paper

2017Bond Yield Spillovers from Major Advanced Economies to Emerging Asia. (2017). Volz, Ulrich ; Belke, Ansgar ; Dubova, Irina . In: ROME Working Papers. RePEc:rmn:wpaper:201702.

Full description at Econpapers || Download paper

2017Central Bank Communication: Managing Expectations through the Monetary Dialogue. (2017). Belke, Ansgar. In: ROME Working Papers. RePEc:rmn:wpaper:201704.

Full description at Econpapers || Download paper

2017The response of long-term yields to negative interest rates: evidence from Switzerland. (2017). Schumacher, Silvio ; Grisse, Christian. In: Working Papers. RePEc:snb:snbwpa:2017-10.

Full description at Econpapers || Download paper

2017Bond Yield Spillovers from Major Advanced Economies to Emerging Asia. (2017). Volz, Ulrich ; Belke, Ansgar ; Dubova, Irina . In: Working Papers. RePEc:soa:wpaper:203.

Full description at Econpapers || Download paper

2017Eurozone bond market dynamics, ECB monetary policy and financial stress. (2017). Labondance, Fabien ; Hubert, Paul ; Creel, Jerome ; Blot, Christophe. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/8vns9so6b9pnqfo7eebjgfann.

Full description at Econpapers || Download paper

2017Term structure forecasting in affine framework with time-varying volatility. (2017). Waliullah, . In: Statistical Methods & Applications. RePEc:spr:stmapp:v:26:y:2017:i:3:d:10.1007_s10260-017-0378-y.

Full description at Econpapers || Download paper

2017The Role of Inflation-Linked Bonds. Increasing, but Still Modest. (2017). Westerhout, ED ; Ciocyte, Ona . In: Discussion Paper. RePEc:tiu:tiucen:08878bbd-e76e-4216-bee9-b5a5606b82d1.

Full description at Econpapers || Download paper

2017Impact of QE on European sovereign bond market. (2017). Martin, Franck ; Zhang, Jiangxingyun . In: Economics Working Paper Archive (University of Rennes 1 & University of Caen). RePEc:tut:cremwp:2017-04.

Full description at Econpapers || Download paper

2016Testing the Performance of Cubic Splines and Nelson-Siegel Model for Estimating the Zero-coupon Yield Curve. (2016). Eva, Loreni . In: Naše gospodarstvo/Our economy. RePEc:vrs:ngooec:v:62:y:2016:i:2:p:42-50:n:5.

Full description at Econpapers || Download paper

2017Scarcity effects of QE: A transaction-level analysis in the Bund market. (2017). Schrimpf, Andreas ; Hofer, Heiko ; Riordan, Ryan ; Schlepper, Kathi . In: Discussion Papers. RePEc:zbw:bubdps:062017.

Full description at Econpapers || Download paper

2016The effect of conventional and unconventional euro area monetary policy on macroeconomic variables. (2016). Krippner, Leo ; Halberstadt, Arne . In: Discussion Papers. RePEc:zbw:bubdps:492016.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

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]
article78
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 another version. Agregated cites: 78
paper
2009An arbitrage-free generalized Nelson--Siegel term structure model In: Econometrics Journal.
[Full Text][Citation analysis]
article51
2008An arbitrage-free generalized Nelson-Siegel term structure model.(2008) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51
paper
2008An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51
paper
2008An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model.(2008) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51
paper
2011The affine arbitrage-free class of Nelson-Siegel term structure models In: Journal of Econometrics.
[Full Text][Citation analysis]
article105
2007The affine arbitrage-free class of Nelson-Siegel term structure models.(2007) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 105
paper
2007The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 105
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 another version. Agregated cites: 105
paper
2004Confidence sets for continuous-time rating transition probabilities In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article45
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]
article2
2014Assessing expectations of monetary policy In: FRBSF Economic Letter.
[Full Text][Citation analysis]
article2
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]
article0
2016TIPS Liquidity and the Outlook for Inflation In: FRBSF Economic Letter.
[Full Text][Citation analysis]
article0
2017Do All New Treasuries Trade at a Premium? In: FRBSF Economic Letter.
[Full Text][Citation analysis]
article0
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]
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]
article3
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]
article0
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]
article6
2009Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields In: Proceedings.
[Full Text][Citation analysis]
article75
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 another version. Agregated cites: 75
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 75
article
2009Do central bank liquidity facilities affect interbank lending rates? In: Working Paper Series.
[Full Text][Citation analysis]
paper57
2014Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?.(2014) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 57
article
2011Extracting deflation probability forecasts from Treasury yields In: Working Paper Series.
[Full Text][Citation analysis]
paper11
2012Extracting Deflation Probability Forecasts from Treasury Yields.(2012) In: International Journal of Central Banking.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
article
2011A model-independent maximum range for the liquidity correction of TIPS yields In: Working Paper Series.
[Full Text][Citation analysis]
paper2
2012Pricing deflation risk with U.S. Treasury yields In: Working Paper Series.
[Full Text][Citation analysis]
paper6
2013Estimating shadow-rate term structure models with near-zero yields In: Working Paper Series.
[Full Text][Citation analysis]
paper4
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]
paper11
2013Modeling yields at the zero lower bound: are shadow rates the solution? In: Working Paper Series.
[Full Text][Citation analysis]
paper4
2014Can spanned term structure factors drive stochastic yield volatility? In: Working Paper Series.
[Full Text][Citation analysis]
paper3
2014Swiss unconventional monetary policy: lessons for the transmission of quantitative easing In: Working Paper Series.
[Full Text][Citation analysis]
paper4
2016A Portfolio Model of Quantitative Easing In: Working Paper Series.
[Full Text][Citation analysis]
paper1
2016A Portfolio Model of Quantitative Easing.(2016) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2016A Portfolio Model of Quantitative Easing.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2017A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt In: Working Paper Series.
[Full Text][Citation analysis]
paper2
2017Is There an On-the-Run Premium in TIPS? In: Working Paper Series.
[Full Text][Citation analysis]
paper0
2017The 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]
paper0
2015Transmission of Quantitative Easing: The Role of Central Bank Reserves In: Working Papers.
[Full Text][Citation analysis]
paper5

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 3 2017. Contact: CitEc Team