trends

"Interest Rates Under Falling Stars" forthcoming in American Economic Review

My paper with Glenn Rudebusch “Interest Rates Under Falling Stars” was accepted for publication in the American Economics Review. The paper, supplemental appendix, and complete replication data and code are available here.

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.

New version of "Interest Rates Under Falling Stars"

Glenn Rudebusch and I finished a new version of our paper “Interest Rates Under Falling Stars” which includes a lot of new material. Most importantly, we developed a new model for the yield curve that allows for shifting long-run trends and provides a new, fully Bayesian estimate of the equilibrium nominal interest rate $i^\ast$. You can download the new version of the paper here.