Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C. The U.S. Treasury Yield Curve: 1961 to the Present
By R. Gürkaynak, Brian P. Sack, Jonathan H. Wright. 2006
547 citations recorded by the source corpus.
View Paper: https://www.semanticscholar.org/paper/bcb41d4c0c5db4c99c8f07c86198cb3d776919d7
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
- Gerardo Palazzo
- Don H. Kim
- Monika Piazzesi
- John H. Cochrane
- M. Bauer
- Stefano Nobili
- Brian P. Sack
- G. Duffee
Citations in the corpus
- Decomposing the Yield Curve (2009, methodology): “GSW denotes Gürkaynak, Sack, and Wright (2006) forward rate data.”
- Large-scale asset purchases by the Federal Reserve: did they work? (2010, unknown): “The financial variables we examine are the two-year and ten-year Treasury yields, the ten-year agency debt yield, the current-coupon thirty-year agency MBS yield, the ten-year Treasury term premium (based on Kim and Wright [2005]),”
- Spillovers from United States Monetary Policy on Emerging Markets: Different this Time? (2014, unknown): “Those related to the Kim and Wright (2005) and Adrian, Crump and Moench (2013) specifications are available upon request.”
- Term Structure Estimation with Survey Data on Interest Rate Forecasts (2005, background): “Kim and Wright (2005) provide a detailed discussion of the model’s implications as regards the forward rate movements in the recent period.”
- The Signaling Channel for Federal Reserve Bond Purchases (2013, unknown): “The term premium estimates used by GRRS are obtained from the model of Kim and Wright (2005).”
- Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads (2018, unknown): “See Brunnermeier (2009) for a detailed account of liquidity and credit events over this period.”
- Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment (2014, background): “…implication as in the return regression context (for a discussion of the latter refer to Bekaert, Hodrick, and 1 For example, Christensen and Rudebusch (2012) examine the interest rate forecasts and term premia of the Kim and Wright (2005) model, which includes survey data in an empirical DTSM.”