The Fed and Interest Rates - A High-Frequency Identification

By John H. Cochrane, Monika Piazzesi. 2002

495 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/9e298721254ae061df1d86d842a08b027b68f508

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Citations in the corpus

Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments (2018, unknown): “(1998), who measured monetary shocks by Fed Funds surprises controlling for employment report announcements, and Kuttner (2001), Cochrane and Piazzesi (2002), Faust et al. (2003), G€urkaynak et al. (2005) and Bernanke and Kuttner (2005), all of whom used interest rate changes around Federal Reserve…”
A unified measure of Fed monetary policy shocks (2019, methodology): “Much of the new research built on influential work that pre-dated the crisis and used bond market data at daily or intra-daily frequencies (Kuttner (2001), Cochrane and Piazzesi (2002), Rigobon and Sack (2003), Gurkaynak, Sack, and Swanson (2005)).”
Explaining Monetary Policy in Press Conferences (2018, background): “…and 5 Some important studies on the Federal Reserve, though this list is by no means exhaustive, are Thornton (1998), Fleming and Remolona (1999), Kuttner (2001), Cochrane and Piazzesi (2002), Bomfin (2003), Bernanke and Kuttner (2003), Rigobon and Sack (2004), and Ehrmann and Fratzscher (2004).”
Market-Based Measures of Monetary Policy Expectations (2002, unknown): “…used the current-month federal funds futures contract, Bomfim (2003) and Poole and Rasche (2000) the month-ahead federal funds futures contract, Cochrane and Piazzesi (2002) the one-month eurodollar deposit rate, Ellingsen and Soderstrom (2004) the three-month Treasury bill rate, and Rigobon…”
On Measuring the Effects of Fiscal Policy in Recessions (2011, unknown): “Are there relevant constraints that generate curvature and slack resources when binding? Informational frictions seem like plausible candidates; 18See also Cochrane and Piazzesi (2002) which uses asset price data to study monetary policy.”
Taylor Rules, McCallum Rules and the Term Structure of Interest Rates (2005, unknown): “Our goal is summarized by Cochrane and Piazzesi (2002) who estimate a Fed policy rule and find that when setting target rates, “the Fed responds to long-term interest rates, perhaps embodying inflation expectations, and to the slope of the term structure, which forecasts real activity.”
High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2018, unknown): “For example, Cochrane and Piazzesi (2002) show that VAR methods (even using monthly data) interpret the sharp drop in interest rates in September 2001 as a monetary shock as opposed to a reaction to the terrorist attacks on 9/11/2001.”
Monetary Policy Surprises, Credit Costs, and Economic Activity † (2014, background): “Other papers have incorporated HFI measures of monetary policy shocks into VARs (e.g. Bagliano and Favero (1999), Cochrane and Piazzesi (2002), Faust, Swanson, and Wright (2004), and Barakchian and Crowe (2010)).”
Expectations, Bond Yields and Monetary Policy (2005, background): “Cochrane and Piazzesi (2002) suggest that the Federal Reserve responds to long term interest rates and to the slope of the yield 11From the Wall Street Journal: “While the Fed doesn’t necessarily follow the market’s lead, a look at recent history suggests Fed Chairman Alan Greenspan doesn’t like to…”