Michael D. Bauer

Professor of Economics

Universität Hamburg

Welcome to my website! I am a Professor of Economics at Universität Hamburg, and a research fellow at CEPR, CESifo, and the IMFS. I am currently on leave from the Federal Reserve Bank of San Francisco.

My research focuses on the role of financial markets for the macroeconomy, monetary policy, and climate change. I am particularly interested in understanding the effects of monetary policy on the yield curve and asset prices—including monetary policy surprises, forward guidance, monetary policy communication, quantitative easing, monetary policy uncertainty, and risks to the economic outlook. More recently I’ve been working on social discount rates, the social cost of carbon and climate finance.

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Interests

Monetary Economics
Financial Economics
Climate Finance
Time Series Econometrics

Education

Ph.D. in Economics, 2010
University of California, San Diego
M.A. in Quant. Economics and Finance, 2005
University of St. Gallen, Switzerland
B.A. in Economics, 2003
University of St. Gallen, Switzerland

Current Work

Perceptions about Monetary Policy
with Carolin Pflueger and Adi Sunderam, NBER Working Paper, December 2022.

Climate Policy Curves: Linking Policy Choices to Climate Outcomes
with Martin Hänsel, Moritz Drupp, Gernot Wagner and Glenn Rudebusch, CEPR Discussion Paper, November 2022.

Identifying Green Stocks using Climate Policy Announcements
with Eric Offner and Glenn Rudebusch.

Changes in the Green Bond Premium
with Kerstin Lopatta, Thomas Tammen, and Ole Wilms.

Featured Publications

Michael D. Bauer, Daniel Huber, Glenn D. Rudebusch, Ole Wilms (2023). Where is the Carbon Premium? Global Performance of Green and Brown Stocks. Forthcoming Journal of Climate Finance.

PDF Brookings WP CEPR Discussion Paper

Michael D. Bauer, Mikhail Chernov (2022). Interest Rate Skewness and Biased Beliefs. Forthcoming Journal of Finance.

PDF NBER Working Paper CEPR Discussion Paper

Michael D. Bauer, Ben S. Bernanke, Eric Milstein (2022). Risk Appetite and the Risk-Taking Channel of Monetary Policy. Forthcoming Journal of Economic Perspectives.

PDF Online Appendix

Michael D. Bauer, Eric T. Swanson (2022). An Alternative Explanation for the 'Fed Information Effect'. Forthcoming American Economic Review.

PDF Online Appendix FRBSF Working Paper NBER Working Paper

Michael D. Bauer, Eric T. Swanson (2022). A Reassessment of Monetary Policy Surprises and High-Frequency Identification. Forthcoming 2022 NBER Macroeconomic Annual.

PDF NBER Working Paper CEPR Discussion Paper Conference Webseite Data FOMC Announcements

Michael D. Bauer, Aeimit Lakdawala, Philippe Mueller (2022). Market-Based Monetary Policy Uncertainty. Economic Journal.

Cite Article PDF FRBSF Working Paper Code and Data Daily uncertainty measure

Michael D. Bauer, Glenn D. Rudebusch (2021). The Rising Cost of Climate Change: Evidence from the Bond Market. Review of Economics and Statistics.

Cite Preprint FRBSF Working Paper Online Appendix Code & Data r* estimates SDRs

Michael D. Bauer, Glenn D. Rudebusch (2020). Interest Rates Under Falling Stars. American Economic Review.

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Michael D. Bauer (2018). Restrictions on Risk Prices in Dynamic Term Structure Models. Journal of Business and Economic Statistics.

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Michael D. Bauer, James D. Hamilton (2017). Robust Bond Risk Premia. Review of Financial Studies.

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Michael D. Bauer, Glenn D. Rudebusch (2017). Resolving the Spanning Puzzle in Macro-Finance Term Structure Models. Review of Finance.

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Michael D. Bauer, Glenn D. Rudebusch (2016). Monetary Policy Expectations at the Zero Lower Bound. Journal of Money, Credit and Banking.

Cite Article Working Paper Code & Data Shadow Rates

Michael D. Bauer (2015). Nominal Interest Rates and the News. Journal of Money, Credit and Banking.

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Michael D. Bauer (2015). Inflation Expectations and the News. International Journal of Central Banking.

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Michael D. Bauer, Glenn D. Rudebusch (2014). The Signaling Channel for Federal Reserve Bond Purchases. International Journal of Central Banking.

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Michael D. Bauer, Christopher J. Neely (2014). International Channels of the Fed’s Unconventional Monetary Policy. Journal of International Money and Finance.

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Michael D. Bauer, Glenn D. Rudebusch, Jing Cynthia Wu (2014). Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment. American Economic Review.

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Michael D. Bauer, Glenn D. Rudebusch, Jing Cynthia Wu (2012). Correcting Estimation Bias in Dynamic Term Structure Models. Journal of Business and Economic Statistics.

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Seminars

UHH Seminar “Quantitative Economics”

The seminar “Quantitative Economics” is a weekly research seminar at Universität Hamburg. The focus is on empirical and quantitative research in macroeconomics, finance and international economics. Currently, during the summer semester 2022, we are having both in-person (hybrid) and digital presentations.
More information here.

Virtual Seminar on Climate Economics

The Virtual Seminar on Climate Economics is an online seminar series open to everyone interested in research on the economics of climate change.
More information here.