Andrews, D.W.K. Tests for parameter instability and structural change with unknown change point. 1993 Econometrica. 61 821-856
Ang, A. ; Bekaert, G. ; Wei, M. The term structure of real rates and expected inflation. 2008 J. Financ.. 63 797-849
Bauer, M.D. ; Rudebusch, G.D. The signaling channel for Federal Reserve bond purchases. 2014 Int. J. Cent. Bank.. 10 233-289
Bauer, M.D. ; Rudebusch, G.D. ; Wu, J.C. Correcting estimation bias in dynamic term structure models. 2012 J. Bus. Econ. Stat.. 30 454-467
Bauer, M.D. ; Rudebusch, G.D. ; Wu, J.C. Term premia and inflation uncertainty: Empirical evidence from an international panel dataset: Comment. 2014 Am. Econ. Rev.. 104 323-337
Beber, A. ; Brandt, M.W. ; Kavajecz, K.A. Flight-to-quality or flight-to-liquidity? Evidence from the euro-area bond market. 2009 Rev. Financ. Stud.. 22 925-957
Bernanke, B.S. ; Reinhart, V.R. ; Sack, B.P. Monetary policy alternatives at the zero bound: An empirical assessment. 2004 Brook. Pap. Econ. Act.. 35 1-100
Campbell, J.Y. ; Shiller, R.J. Yield spreads and interest rate movements: A bird’s eye view. 1991 Rev. Econ. Stud.. 58 495-514
Campbell, J.Y. ; Sunderam, A. ; Viceira, L.M. Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds. 2009 National Bureau of Economic Research, Inc:
Chernov, M. ; Mueller, P. The term structure of inflation expectations. 2012 J. Financ. Econ.. 106 367-394
Christensen, J.H.E. ; Rudebusch, G.D. The response of interest rates to U.S. and U.K. quantitative easing. 2012 Econ. J.. 122 385-414
Cochrane, J.H. ; Piazzesi, M. Bond risk premia. 2005 Am. Econ. Rev.. 95 138-160
D’Amico, S. ; English, W. ; López-Salido, D. ; Nelson, E. The Federal Reserve’s large-scale asset purchase programmes: rationale and effects. 2012 Econ. J.. 122 415-446
D’Amico, S. ; King, T.B. Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply. 2013 J. Financ. Econ.. 108 425-448
Dudley, W. The Outlook, Policy Choices and our Mandate. 2010 Federal Reserve Bank of New York:
Fama, E.F. ; Bliss, R.R. The information in long-maturity forward rates. 1987 Am. Econ. Rev.. 77 680-692
Fama, E.F. ; Schwert, G.W. Asset returns and inflation. 1977 J. Financ. Econ.. 5 115-146
Ferson, W.E. ; Sarkissian, S. ; Simin, T.T. Spurious regressions in financial economics?. 2003 J. Financ.. 58 1393-1414
Fontaine, J.-S. ; Garcia, R. Bond liquidity premia. 2012 Rev. Financ. Stud.. 25 1207-1254
Gagnon, J. ; Raskin, M. ; Remache, J. ; Sack, B. The financial market effects of the Federal Reserve’s large-scale asset purchases. 2011 Int. J. Cent. Bank.. 7 3-43
Gertler, M. ; Karadi, P. Monetary policy surprises, credit costs, and economic activity. 2015 Am. Econ. J.. 7 44-76
Gilchrist, S. ; López-Salido, D. ; Zakrajšek, E. Monetary policy and real borrowing costs at the zero lower bound. 2015 Am. Econ. J.. 7 77-109
Goliński, A. ; Zaffaroni, P. Long memory affine term structure models. 2016 J. Econ.. 191 33-56
Goyenko, R. ; Sarkissian, S. Flight to Liquidity and Global Equity Returns. 2010 University Library of Munich:
- Greenlaw, D. ; Hamilton, J.D. ; Harris, E.S. ; West, K.D. A Skeptical View of the Impact of the Fed’s Balance Sheet. 2018 National Bureau od Economic Research:
Paper not yet in RePEc: Add citation now
Greenwood, R. ; Vayanos, D. Bond supply and excess bond returns. 2014 Rev. Financ. Stud.. 27 663-713
Gürkaynak, R.S. ; Sack, B. ; Wright, J.H. The TIPS yield curve and inflation compensation. 2010 Am. Econ. J.. 2 70-92
Gürkaynak, R.S. ; Sack, B. ; Wright, J.H. The U.S. Treasury yield curve: 1961 to the present. 2007 J. Monet. Econ.. 54 2291-2304
Hamilton, J.D. ; Wu, J.C. The effectiveness of alternative monetary policy tools in a zero lower bound environment. 2012 J. Money Credit Bank.. 44 3-46
Han, B. ; Longstaff, F.A. ; Merrill, C. The U.S. Treasury buyback auctions: The cost of retiring illiquid bonds. 2007 Journal of Finance. 62 2673-2693
Hanson, S.G. ; Stein, J.C. Monetary policy and long-term real rates. 2015 J. Financ. Econ.. 115 429-448
Hubbard, R.G. ; Engen, E.M. Federal Government Debt and Interest Rates. 2004 American Enterprise Institute:
Joslin, S. ; Priebsch, M. ; Singleton, K.J. Risk premiums in dynamic term structure models with unspanned macro risks. 2014 J. Financ.. 69 1197-1233
Joslin, S. ; Singleton, K.J. ; Zhu, H. A new perspective on Gaussian dynamic term structure models. 2011 Rev. Financ. Stud.. 24 926-970
Joyce, M. ; Tong, M. ; Woods, R. The United Kingdom’s quantitative easing policy: Design, operation and impact. 2011 Bank Engl. Q. Bull.. 51 200-212
Kim, D.H. ; Orphanides, A. Term structure estimation with survey data on interest rate forecasts. 2012 J. Financ. Quant. Anal.. 47 241-272
Kim, D.H. ; Wright, J.H. An Arbitrage-free Three-factor Term Structure Model and the Recent Behavior of Long-term Yields and Distant-horizon Forward Rates. 2005 Board of Governors of the Federal Reserve System:
- Kozicki, S. ; Santor, E. ; Suchanek, L. Central bank balance sheets and long-term forward rates. 2012 En : Chadha, J.S. ; Holly, S. Interest Rates, Prices and Liquidity: Lessons from the Financial Crisis. Cambridge University Press:
Paper not yet in RePEc: Add citation now
Krishnamurthy, A. ; Vissing-Jorgensen, A. The aggregate demand for Treasury debt. 2012 J. Polit. Econ.. 120 233-267
Krishnamurthy, A. ; Vissing-Jorgensen, A. The effects of quantitative easing on interest rates: Channels and implications for policy. 2011 Brook. Pap. Econ. Act.. 43 215-287
Li, C. ; Wei, M. Term structure modeling with supply factors and the Federal Reserve’s large-scale asset purchase programs. 2013 Int. J. Cent. Bank.. 9 3-39
- Litterman, R. ; Scheinkman, J. Common factors affecting bond returns. 1991 J. Fixed Income. 1 54-61
Paper not yet in RePEc: Add citation now
Longstaff, F.A. The flight-to-liquidity premium in U.S. Treasury bond prices. 2004 Journal of Business. 77 511-526
Lou, D. ; Yan, H. ; Zhang, J. Anticipated and repeated shocks in liquid markets. 2013 Rev. Financ. Stud.. 26 1891-1912
Neely, C.J. The Large Scale Asset Purchases Had Large International Effects. 2010 Federal Reserve Bank of St. Louis:
- OECD, Chapter 1: General Assessment of the Macroeconomic Situation. 2011 :
Paper not yet in RePEc: Add citation now
Swanson, E.T. Let’s twist again: A high-frequency event-study analysis of Operation Twist and its implications for QE2. 2011 Brook. Pap. Econ. Act.. 42 151-207
Swanson, E.T. ; Williams, J.C. Measuring the effect of the zero lower bound on medium- and longer-term interest rates. 2014 Am. Econ. Rev.. 104 3154-3185
Vayanos, D. Flight to Quality, Flight to Liquidity, and the Pricing of Risk. 2004 National Bureau of Economic Research, Inc:
Wright, J.H. Term premia and inflation uncertainty: Empirical evidence from an international panel dataset: Reply. 2014 Am. Econ. Rev.. 104 338-341
Wright, J.H. Term premia and inflation uncertainty: Empirical evidence from an international panel dataset. 2011 Am. Econ. Rev.. 101 1514-1534
Wu, J.C. ; Zhang, J. A Shadow Rate New Keynesian Model. 2016 National Bureau of Economic Research, Inc: