No-Arbitrage Taylor Rules

By Andrew Ang, S. Dong, Monika Piazzesi. 2007

272 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/3f3ac04217c6ecfa9557ddc823e06e9580451fd2

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

Citations in the corpus

Monetary Policy Shifts and the Term Structure (2011, unknown): “7 The zero entries in the ‚1 matrix result from the companion form ' taking the form of equation ( 3 ) under both”
Discrete-Time Affineℚ Term Structure Models with Generalized Market Prices of Risk (2010, background): “Ang and Piazzesi (2003) and Ang, Dong, and Piazzesi (2007) are examples of studies focusing on monetary policy, while Dai and Philippon (2006) examine fiscal policy within a Gaussian DTSM. 4 Often, agents’ preferences do not appear explicitly in these models, but they are implicit in the…”
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013, methodology): “The literature has often assumed instead that all bond yields (and hence their PCs) are priced up to additive measurement errors (e.g., Ang, Dong, and Piazzesi (2007), Duffee (2009a)).”
Taylor Rules, McCallum Rules and the Term Structure of Interest Rates (2005, unknown): “busch and Wu (2004) and Ang, Dong and Piazzesi (2004) investigate the empirical con-”
Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs (2011, methodology): “The constraint that expected excess returns lie in a lower than N -dimensional space (Cochrane and Piazzesi (2005), JSZ), which effectively amounts to constraining the market prices of risk, might also have material effects on the efficiency of ML/Kalman filter estimates.”
The Signaling Channel for Federal Reserve Bond Purchases (2013, unknown): “Other papers that have used MCMC methods for estimation of DTSMs include Ang et al. (2007), Ang et al. (2011) and Chib and Ergashev (2009).”
Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk (2010, unknown): “Moreover, Ang and Piazzesi (2003) and Gourieroux, Monfort, and Polimenis (2002) illustrate (in the context of DAQ0 (N) models) the fact that discrete-time affine DTSMs can be extended to include lagged values of the state. All of our representations of the Q distributions of X can similarly be exten”
Futures Contract Rates as Monetary Policy Forecasts (2012, unknown): “x (n) t+n = f (n) t − rt+n ( 1 ) where f (n)”
Analysis of Multifactor Affine Yield Curve Models (2008, unknown): “In fact, conditioning on the factors, as in the approach of Ang, Dong, and Piazzesi (2007), tends to worsen the mixing of the MCMC output.”
Expectations, Bond Yields and Monetary Policy (2005, unknown): “In the spirit of the forward - looking Taylor rule of Ang , Dong , and Piazzesi ( 2005b ) , we model the reaction function of the monetary authority as a function of expectations , the difference being that our expectations are observed from forecast data .”
Appendix: Monetary Policy Drivers of Bond and Equity Risks (2020, unknown): “Endogenous responses of bond risk premia amplify these effects of monetary policy on bond risks.”