Bond Yields and the Federal Reserve

By Monika Piazzesi. Journal of Political Economy, 2005

536 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6bc53a0b806fc0aa2b2b199f9f95e794d1283811

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

1. Anna Cieślak
2. Ramazan Gencay
3. Stephen Fagan
4. Yi Xue
5. Philip Bond
6. Ali K. Ozdagli
7. Claus Brand
8. Hongjun Yan

In Finance

1. Itay Goldstein
2. Ramazan Gencay
3. Stephen Fagan
4. Yi Xue
5. Philip Bond
6. Anna Cieślak
7. Claus Brand
8. Hongjun Yan

Citations in the corpus

• Taylor Rules, McCallum Rules and the Term Structure of Interest Rates (2005, unknown): “Ang and Piazzesi (2003), following work by Piazzesi (2005), have shown that a factor model of the term structure that imposes no-arbitrage conditions can provide a better empirical model of the term structure than a model based on unobserved factors or latent variables alone.”
• LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING (2007, background): “2 A published version of this paper is Piazzesi (2004), where the term LQJD is dropped The rest of the paper is structured as follows.”
• Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013, unknown): “the results in Ang, Piazzesi, and Wei (2003) that term premiums are insignificant in predicting future GDP growth within a Gaussian DTSM that enforces the theoretical spanning of GDP growth by bond yields.”
• Market-Based Corrective Actions (2010, background): “1 See also Subrahmanyam and Titman (1999) and Foucault and Gehrig (2008) for models in which the information in the price affects a corporate action, but this is not reflected in the price of the security; see Ozdenoren and Yuan (2008) for a model in which prices affect real values in an exogenously”
• Trading activity, realized volatility and jumps (2010, unknown): “…ability to identify realized jumps has important implications in financial management, from portfolio and risk management to option and bond pricing and hedging (Merton, 1976; Bates, 1996; Bakshi, Cao, and Chen, 2000; Liu, Longstaff, and Pan, 2003; Duffie and Singleton, 2000; and Piazzesi, 2003).”
• Are Sticky Prices Costly? Evidence from the Stock Market (2016, unknown): “Vavra (2013). Dynamics of the U.S. price distribution. Unpublished manuscript, University of Chicago. Bernanke, B. S. and K. N. Kuttner (2005). What explains the stock market’s reaction to Federal Reserve policy? The Journal of Finance 60 (3), 1221–1257. Bhattarai, S. and R. Schoenle (2014). Multipr”
• Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies (2008, unknown): “The origin of these jumps can be tied to the way in which markets respond to information (Andersen, Bollerslev, Diebold, and Vega, 2003; Beber and Brandt, 2006a; Piazzesi, 2005; Pasquariello and Vega, 2007).”
• A Joint Econometric Model of Macroeconomic and Term Structure Dynamics (2006, unknown): “We build on the work of Piazzesi (2005) and Ang and Piazzesi (2003), who introduce macroeconomic variables into the standard affine term structure framework based on latent factors—e.g. Duffie and Kan (1996) and Dai and Singleton (2000).”