Macroeconomics and the Term Structure

By R. Gürkaynak, Jonathan H. Wright. 2012

295 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a6d6a1b9520e7a890120c4656cef20459707127b

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Citations in the corpus

The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment (2011, methodology): “11 Table 2 reports the results from OLS estimation of (18), giving the R(2) of the regression and Newey-West tests of the hypothesis that γmk or subsets of γmk are zero for various specifications 10We inferred these prices from the daily term-structure summaries of Gürkaynak et al. (2007). 11Althoug”
Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility (2014, background): “ATSMs are popular among policy makers, practitioners, and academic researchers for studying bond prices, monetary policy, and the macroeconomic determinants of discount rates; for overviews, see Piazzesi(2010), Duffee(2012), Gürkaynak and Wright(2012), and Diebold and Rudebusch(2013).”
Bond Market Exposures to Macroeconomic and Monetary Policy Risks (2017, unknown): “Gürkaynak and Wright (2012) provide a nice overview of macrofinance term structure models.”
Testable Implications of Affine Term Structure Models (2011, background): “James D. Hamilton Department of Economics, 0508 University of California, San Diego 9500 Gilman Drive La Jolla, CA 92093-0508 and NBER jhamilton@ucsd.edu Jing Cynthia Wu Booth School of Business University of Chicago 5807 S Woodlawn Ave Chicago, IL 60637-1610 Cynthia.Wu@chicagobooth.edu”
Measuring the ''World'' Real Interest Rate (2014, unknown): “Weighting bonds by the inverse of duration, as Gürkaynak et al. (2010) suggest, tends to improve estimator performance.”
Let’s Twist Again: A High-Frequency Event-Study Analysis of Operation Twist and Its Implications for QE2 (2011, unknown): “Lower-frequency time series analyses must attempt to control for other factors affecting the yield curve directly, which is fraught with difficulties such as unobserved variables (financial market expectations of future interest rates and inflation), large residual errors, and endogeneity, as…”
Flow and stock effects of large-scale Treasury purchases (2010, unknown): “13 Modigliani and Sutch (1966), Ross (1966), and Holland (1969). 14 Importantly however, in contrast to the LSAP program, the Treasury buyback program was designed to increase new issue size and frequency, improving liquidity of the on-the-run and preventing average maturity from rising, and the Tre”
FLOW AND STOCK EFFECTS OF LARGE-SCALE TREASURY PURCHASES: EVIDENCE ON THE IMPORTANCE OF LOCAL SUPPLY (2012, unknown): “Although contemporaneous studies (Modigliani and Sutch, 1966; Ross, 1966; Holland, 1969) suggested that this program had little overall impact, a more recent reexamination by Swanson (2010) found statistically significant effects. Another interesting case is the Treasury Deparment’s initiative to re”