Michael D. Bauer
Michael D. Bauer
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Market-Based Monetary Policy Uncertainty
Uncertainty about future policy rates plays a crucial role for the transmission of monetary policy to financial markets. We demonstrate …
Michael D. Bauer
,
Aeimit Lakdawala
,
Philippe Mueller
EJ Preprint
PDF
FRBSF Working Paper
Code and Data
Daily uncertainty measure
The Rising Cost of Climate Change: Evidence from the Bond Market
Social discount rates (SDRs) are crucial for evaluating the costs of climate change. We show that the fundamental anchor for …
Michael D. Bauer
,
Glenn D. Rudebusch
REStat Preprint
FRBSF Working Paper
Online Appendix
Code & Data
r* estimates
SDRs
Interest Rates Under Falling Stars
Macro-finance theory implies that trend inflation and the equilibrium real interest rate are fundamental determinants of the yield …
Michael D. Bauer
,
Glenn D. Rudebusch
Article
Working Paper
Online Appendix
Code & Data
Restrictions on Risk Prices in Dynamic Term Structure Models
Restrictions on the risk-pricing in dynamic term structure models (DTSMs) tighten the link between cross-sectional and time-series …
Michael D. Bauer
Article
Working Paper
Online Appendix
Code & Data
Robust Bond Risk Premia
A consensus has recently emerged that variables beyond the level, slope, and curvature of the yield curve can help predict bond …
Michael D. Bauer
,
James D. Hamilton
Article
Working Paper
Code & Data
Resolving the Spanning Puzzle in Macro-Finance Term Structure Models
Most existing macro-finance term structure models (MTSMs) appear incompatible with regression evidence of unspanned macro risk. This …
Michael D. Bauer
,
Glenn D. Rudebusch
Article
Working Paper
Code & Data
Monetary Policy Expectations at the Zero Lower Bound
We show that conventional dynamic term structure models (DTSMs) estimated on recent U.S. data severely violate the zero lower bound …
Michael D. Bauer
,
Glenn D. Rudebusch
Article
Working Paper
Code & Data
Shadow Rates
Nominal Interest Rates and the News
This paper provides new estimates of the impact of monetary policy actions and macroeconomic news on the term structure of nominal …
Michael D. Bauer
Article
Working Paper
Code & Data
Inflation Expectations and the News
This paper provides new evidence on the importance of inflation expectations for variation in nominal interest rates, based on both …
Michael D. Bauer
Article
Working Paper
The Signaling Channel for Federal Reserve Bond Purchases
Previous research has emphasized the portfolio balance effects of Federal Reserve bond purchases, in which a reduced bond supply lowers …
Michael D. Bauer
,
Glenn D. Rudebusch
Article
Working Paper
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