New revision of "Interest Rates Under Falling Stars"

Glenn Rudebusch and I finished another round of revisions of our paper “Interest Rates Under Falling Stars” which we just sent back to the American Economics Review. This version includes a lot more details about our novel yield-curve model with a time-varying trend.

We will make the complete data and code available once the paper is published.

You can download the new version of the paper here.

Michael D. Bauer
Financial Economist

My research areas are financial economics, monetary economics and time series econometrics.