A MACRO-FINANCE MODEL OF THE TERM STRUCTURE, MONETARY POLICY AND THE ECONOMY*

By Glenn D. Rudebusch, Tao Wu. 2003

381 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/e9148860ddec1fa0a75983b9636a7f5f2d138489

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In Economics and Econometrics

Citations in the corpus

Expected Returns in Treasury Bonds (2015, positive): “Following similar intuition, several authors adopt slow-moving means of variables to generate persistent long-term yields (Rudebusch and Wu, 2008; Dewachter and Lyrio, 2006; Orphanides and Wei, 2012; Dewachter and Iania, 2010; Piazzesi and Schneider, 2011; Koijen, Van Hemert, and Van Nieuwerburgh, 2”
Bond Market Exposures to Macroeconomic and Monetary Policy Risks (2017, neutral): “First, it allows for changes in the monetary policy rule, both in the inflation target and in the 1See Baele, Bekaert, and Inghelbrecht (2010); Campbell, Pflueger, and Viceira (2013); Campbell, Sunderam, and Viceira (2013); and David and Veronesi (2013).”
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 (2006, neutral): “In principle, the factors could be proxies for the level, slope, and curvature of the yield curve, or macroeconomic variables as used by authors such as Rudebusch and Wu (2003).”
The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields (2007, background): “There is a large and rapidly developing literature on various aspects of the relationship between macroeconomic variables and the yield curve (e.g. Kozicki and Tinsley, 2001; Evans and Marshall, 2002; Ang and Piazzesi, 2003; Ang, Piazzesi and Wei, 2003; Bekaert, Cho and Moreno, 2004; Rudebusch and W”
Constrained Factor Models for High-Dimensional Matrix-Variate Time Series (2017, background): “…in extracting the latent factors of level, slope, and curvatures of the interest-rate yield curve and in predicting future equity prices based on those factors (Diebold, Piazzesi, and Rudebusch 2005; Diebold, Rudebusch, and Aruoba 2006; Rudebusch and Wu 2008; Bansal, Connolly, and Stivers 2014).”
Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk (2010, background): “We note in particular that this assumption is explicit in many of the macro-flnance models of the term structure being developed at central banks (e.g., Rudebusch and Wu (2008) and Hordahl, Tristani, and Vestin (2006)), as well as in models with long-run risks based on the framework in Bansal and ”
The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks (2009, neutral): “j=0 e it;t+j t+j+1 c Covt+j(mt+j+1; e p t+j+1); (38)”
Examining the Nelson-Siegel Class of Term Structure Models: In-Sample Fit versus Out-of-Sample Forecasting Performance (2007, positive): “For this reason, authors such as Bomfim (2003) and Rudebusch and Wu (2003) consider two-factor affine models to explain interest rate dynamics whereas Diebold, Piazzesi, and Rudebusch (2005) examine a two-factor Nelson-Siegel model.”
Testable Implications of Affine Term Structure Models (2011, methodology): “As in Hamilton and Wu (2010), we premultiply (1) by B1,”