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Jens Henrik Eggert Christensen : Citation Profile


Are you Jens Henrik Eggert Christensen?

Federal Reserve Bank of San Francisco

10

H index

10

i10 index

527

Citations

RESEARCH PRODUCTION:

29

Articles

27

Papers

RESEARCH ACTIVITY:

   13 years (2004 - 2017). See details.
   Cites by year: 40
   Journals where Jens Henrik Eggert Christensen has often published
   Relations with other researchers
   Recent citing documents: 69.    Total self citations: 31 (5.56 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch1126
   Updated: 2018-02-24    RAS profile: 2015-06-10    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Rudebusch, Glenn (10)

Lopez, Jose (9)

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 (19)

Rudebusch, Glenn (17)

Wu, Jing Cynthia (15)

Moreno Gutiérrez, José (12)

Bauer, Michael (11)

Hamilton, James (11)

Belke, Ansgar (11)

Laurini, Márcio (10)

Carriero, Andrea (9)

Grishchenko, Olesya (9)

Mouabbi, Sarah (9)

Cites to:

Rudebusch, Glenn (62)

Diebold, Francis (21)

Lopez, Jose (20)

Singleton, Kenneth (12)

Bauer, Michael (10)

Duffee, Greg (9)

Wu, Jing Cynthia (8)

Orphanides, Athanasios (8)

Piazzesi, Monika (8)

Wright, Jonathan (7)

Krippner, Leo (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 (2018 and 2017)


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

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

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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.

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

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2017Eurosystem’s asset purchases and money market rates. (2017). Vari, Miklos ; Nguyen, Benoît ; Rahmouni-Rousseau, I ; Arrata, W. In: Working papers. RePEc:bfr:banfra:652.

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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.

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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.

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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.

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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.

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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.

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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.

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2017Assessing the effective stance of monetary policy: A factor-based approach. (2017). End, Jan Willem ; Maas, Renske ; van den End, Jan Willem ; Brauning, Christina ; Pattipeilohy, Christiaan . In: DNB Working Papers. RePEc:dnb:dnbwpp:575.

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

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2017Below the zero lower bound: a shadow-rate term structure model for the euro area. (2017). Lemke, Wolfgang ; Vladu, Andreea Liliana . In: Working Paper Series. RePEc:ecb:ecbwps:20171991.

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

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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.

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

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

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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.

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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.

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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.

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

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2017Estimating the real effects of uncertainty shocks at the Zero Lower Bound. (2017). Castelnuovo, Efrem ; Pellegrino, Giovanni ; Caggiano, Giovanni. In: European Economic Review. RePEc:eee:eecrev:v:100:y:2017:i:c:p:257-272.

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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.

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2017Forecasting the term structure of government bond yields in unstable environments. (2017). Korobilis, Dimitris ; Byrne, Joseph ; Cao, Shuo . In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:209-225.

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2017Term-structure modelling at the zero lower bound: Implications for estimating the forward term premium. (2017). Chung, Tsz-Kin ; Li, Ka-Fai ; Hui, Cho-Hoi . In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:100-106.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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2017.

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2017Eurozone bond market dynamics, ECB monetary policy and financial stress. (2017). Labondance, Fabien ; Hubert, Paul ; Creel, Jerome ; Blot, Christophe. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:1718.

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

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

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2017Term Structure Models with Negative Interest Rates. (2017). Ueno, Yoichi . In: IMES Discussion Paper Series. RePEc:ime:imedps:17-e-01.

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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.

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

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2017What do the shadow rates tell us about future inflation?. (2017). Kuusela, Annika ; Hännikäinen, Jari ; Hannikainen, Jari. In: MPRA Paper. RePEc:pra:mprapa:80542.

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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.

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

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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.

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

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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.

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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.

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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.

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2017Essays in empirical finance and monetary policy. (2017). van Holle, Frederiek. In: Other publications TiSEM. RePEc:tiu:tiutis:30d11a4b-7bc9-4c81-ad24-5ca36f83e31f.

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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.

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2017AFFINE MODELS WITH STOCHASTIC MARKET PRICE OF RISK. (2017). Rebonato, Riccardo . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:04:n:s0219024917500273.

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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.

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2017The dynamic impact of macroeconomic news on long-term inflation expectations. (2017). Nautz, Dieter ; Hachula, Michael . In: Discussion Papers. RePEc:zbw:fubsbe:201712.

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2017Ein Staatsfonds, der eine soziale Dividende finanziert. (2017). Corneo, Giacomo. In: Discussion Papers. RePEc:zbw:fubsbe:201713.

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2017Bond Yield Spillovers from Major Advanced Economies to Emerging Asia. (2017). Volz, Ulrich ; Belke, Ansgar ; Dubova, Irina . In: GLO Discussion Paper Series. RePEc:zbw:glodps:41.

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2017Central bank communication: Managing expectations through the monetary dialogue. (2017). Belke, Ansgar. In: Ruhr Economic Papers. RePEc:zbw:rwirep:692.

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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.
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article83
2012The response of interest rates to U.S. and U.K. quantitative easing.(2012) In: Working Paper Series.
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This paper has another version. Agregated cites: 83
paper
2009An arbitrage-free generalized Nelson--Siegel term structure model In: Econometrics Journal.
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article53
2008An arbitrage-free generalized Nelson-Siegel term structure model.(2008) In: Working Paper Series.
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This paper has another version. Agregated cites: 53
paper
2008An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model.(2008) In: NBER Working Papers.
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This paper has another version. Agregated cites: 53
paper
2008An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model.(2008) In: PIER Working Paper Archive.
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This paper has another version. Agregated cites: 53
paper
2011The affine arbitrage-free class of Nelson-Siegel term structure models In: Journal of Econometrics.
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article108
2007The affine arbitrage-free class of Nelson-Siegel term structure models.(2007) In: Working Paper Series.
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This paper has another version. Agregated cites: 108
paper
2007The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models.(2007) In: NBER Working Papers.
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This paper has another version. Agregated cites: 108
paper
2007The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models.(2007) In: PIER Working Paper Archive.
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This paper has another version. Agregated cites: 108
paper
2004Confidence sets for continuous-time rating transition probabilities In: Journal of Banking & Finance.
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article45
2014When will the Fed end its zero rate policy? In: FRBSF Economic Letter.
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article1
2014Stress testing the Fed In: FRBSF Economic Letter.
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article0
2014Financial market outlook for inflation In: FRBSF Economic Letter.
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article2
2014Assessing expectations of monetary policy In: FRBSF Economic Letter.
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article3
2015Transmission of asset purchases: the role of reserves In: FRBSF Economic Letter.
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article0
2015Assessing supervisory scenarios for interest rate risk In: FRBSF Economic Letter.
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article0
2016Differing views on long-term inflation expectations In: FRBSF Economic Letter.
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article1
2016TIPS Liquidity and the Outlook for Inflation In: FRBSF Economic Letter.
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article0
2017Do All New Treasuries Trade at a Premium? In: FRBSF Economic Letter.
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2017Measuring Interest Rate Risk in the Very Long Term In: FRBSF Economic Letter.
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2017How Much Has Job Matching Efficiency Declined? In: FRBSF Economic Letter.
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article1
2017New Evidence for a Lower New Normal in Interest Rates In: FRBSF Economic Letter.
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2007Internal risk models and the estimation of default probabilities In: FRBSF Economic Letter.
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2008Treasury bond yields and long-run inflation expectations In: FRBSF Economic Letter.
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2008The corporate bond credit spread puzzle In: FRBSF Economic Letter.
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article3
2009Have the Fed liquidity facilities had an effect on Libor? In: FRBSF Economic Letter.
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2009Inflation expectations and the risk of deflation In: FRBSF Economic Letter.
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2010TIPS and the risk of deflation In: FRBSF Economic Letter.
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2011Has the Treasury benefited from issuing TIPS? In: FRBSF Economic Letter.
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2011TIPS liquidity, breakeven inflation, and inflation expectations In: FRBSF Economic Letter.
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2012Do Fed TIPS purchases affect market liquidity? In: FRBSF Economic Letter.
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article6
2009Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields In: Proceedings.
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article76
2008Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields.(2008) In: Working Paper Series.
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2010Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields.(2010) In: Journal of Money, Credit and Banking.
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This paper has another version. Agregated cites: 76
article
2009Do central bank liquidity facilities affect interbank lending rates? In: Working Paper Series.
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2014Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?.(2014) In: Journal of Business & Economic Statistics.
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2011Extracting deflation probability forecasts from Treasury yields In: Working Paper Series.
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2012Extracting Deflation Probability Forecasts from Treasury Yields.(2012) In: International Journal of Central Banking.
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2011A model-independent maximum range for the liquidity correction of TIPS yields In: Working Paper Series.
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2012Pricing deflation risk with U.S. Treasury yields In: Working Paper Series.
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2013Estimating Shadow-Rate Term Structure Models with Near-Zero Yields In: Working Paper Series.
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2017Does Quantitative Easing Affect Market Liquidity? In: Working Paper Series.
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2015A Regime-Switching Model of the Yield Curve at the Zero Bound In: Working Paper Series.
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2013A Probability-Based Stress Test of Federal Reserve Assets and Income In: Working Paper Series.
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2013Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution? In: Working Paper Series.
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2014Can spanned term structure factors drive stochastic yield volatility? In: Working Paper Series.
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2014Swiss unconventional monetary policy: lessons for the transmission of quantitative easing In: Working Paper Series.
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2015Transmission of Quantitative Easing: The Role of Central Bank Reserves.(2015) In: Working Papers.
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This paper has another version. Agregated cites: 10
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2016A Portfolio Model of Quantitative Easing In: Working Paper Series.
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2016A Portfolio Model of Quantitative Easing.(2016) In: Working Paper Series.
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2016A Portfolio Model of Quantitative Easing.(2016) In: Working Papers.
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2017A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt In: Working Paper Series.
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2017Is There an On-the-Run Premium in TIPS? In: Working Paper Series.
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2017The TIPS Liquidity Premium In: Working Paper Series.
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2017Term Structure Analysis with Big Data In: Working Paper Series.
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