Publications

Michael D. Bauer, Ben S. Bernanke, Eric Milstein (2022). Monetary Policy, Risk-Taking, and the Macroeconomy. Working paper, prepared for the Journal of Economic Perspectives.

PDF Online Appendix

Michael D. Bauer, Carolin E. Pflueger, Adi Sunderam (2022). Perceptions about Monetary Policy. Working paper.

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Michael D. Bauer, Eric T. Swanson (2022). A Reassessment of Monetary Policy Surprises and High-Frequency Identification. Working Paper, prepared for 2022 NBER Macro Annual Conference.

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

Michael D. Bauer, Mikhail Chernov (2021). Interest Rate Skewness and Biased Beliefs. Working Paper, revise-and-resubmit at Journal of Finance.

PDF NBER Working Paper CEPR Discussion Paper

Michael D. Bauer, Aeimit Lakdawala, Philippe Mueller (2021). Market-Based Monetary Policy Uncertainty. Economic Journal.

EJ Preprint 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.

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

Michael D. Bauer, Eric T. Swanson (2021). An Alternative Explanation for the 'Fed Information Effect'. Working Paper, revise-and-resubmit American Economic Review.

PDF Online Appendix FRBSF Working Paper NBER Working Paper

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

Article Working Paper Online Appendix Code & Data

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

Article Working Paper Online Appendix Code & Data

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

Article Working Paper Code & Data

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

Article Working Paper Code & Data

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

Article Working Paper Code & Data Shadow Rates

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

Article Working Paper Code & Data

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

Article Working Paper

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

Article Working Paper

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

Article Working Paper

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.

Article Working Paper Code & Data

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

Article Working Paper Online Appendix Code & Data