
Glenn Rudebusch
Executive Vice President and Senior Policy Advisor
Monetary economics, Macroeconomics, Finance
CV (pdf, 162.25 kb)
Profiles: Google Scholar | RePEc | Personal website
Working Papers
Accounting for Low Long-Term Interest Rates: Evidence from Canada
2020-35 | With Christensen and Shultz | November 2020
abstract (+)The Rising Cost of Climate Change: Evidence from the Bond Market
2020-25 | With Bauer | November 2020
abstract (+)Can Spanned Term Structure Factors Drive Stochastic Yield Volatility?
2014-03 | With Christensen and Lopez | January 2014
abstract (+)Published Articles (Refereed Journals and Volumes)
Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections
Forthcoming in Journal of Econometrics | With Diebold
abstract (+)Interest Rates Under Falling Stars
American Economic Review 110(5), May 2020, 1316-1354 | With Bauer
abstract (+)A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt
The Review of Economics and Statistics 101(5), December 2019, 933-949 | With Christensen
abstract (+)Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices
Journal of Econometrics 212(1), September 2019, 26-46 | With Andreasen and Christensen
abstract (+)Resolving the Spanning Puzzle in Macro-Finance Term Structure Models
Review of Finance 21, 2017, 511-553 | With Bauer
abstract (+)Monetary Policy Expectations at the Zero Lower Bound
Journal of Money, Credit and Banking 48, 2016, 7 | With Bauer
abstract (+)bauer_rudebusch_zlb_replication.zip – Data and code for replication
shadow_rates.csv – Estimated shadow rates
A Wedge in the Dual Mandate: Monetary Policy and Long-Term Unemployment
Journal of Macroeconomics 47A, March 2016, 5-18 | With Williams
abstract (+)Pricing Deflation Risk with U.S. Treasury Yields
Review of Finance 20, 2016, 1107-1152 | With Christensen and Lopez
abstract (+)Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?
In Dynamic Factor Models (Advances in Econometrics, Vol. 35), ed. by Eric Hillebrand and Siem Jan Koopman | Emerald Publishing Group, 2016. pp. 75-125 | With Christensen
abstract (+)Estimating Shadow-Rate Term Structure Models with Near-Zero Yields
Journal of Financial Econometrics 13 (2), Spring 2015, 226-259 | With Christensen
abstract (+)A Probability-Based Stress Test of Federal Reserve Assets and Income
Journal of Monetary Economics 73, 2015, 26-43 | With Christensen and Lopez
abstract (+)The Signaling Channel for Federal Reserve Bond Purchases
International Journal of Central Banking 10(3), September 2014, 233-289 | With Bauer
abstract (+)Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment
American Economic Review 104(1), January 2014, 323-337 | With Bauer and Wu
abstract (+)Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?
Journal of Business and Economic Statistics 32(1), January 2014, 136-151 | With Christensen and Lopez
abstract (+)Extracting Deflation Probability Forecasts from Treasury Yields
International Journal of Central Banking 8(4), December 2012, 21-60 | With Christensen and Lopez
abstract (+)The Response of Interest Rates to U.S. and U.K. Quantitative Easing
Economic Journal 122(564), November 2012, F385-F414 | With Christensen
abstract (+)Correcting Estimation Bias in Dynamic Term Structure Models
Journal of Business and Economic Statistics 30(3), July 2012, 454-467 | With Bauer and Wu
abstract (+)brw_replication.zip – Data and code for replication
brw_appendix.pdf – Online appendix
The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks
American Economic Journal: Macroeconomics 4, January 2012, 105-143 | With Swanson
abstract (+)The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models
Journal of Econometrics 164(1), September 2011, 4-20 | With Christensen and Diebold
abstract (+)Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields
Journal of Money, Credit, and Banking 42, September 2010, 143-178 | With Christensen and Lopez
abstract (+)Macro-Finance Models of Interest Rates and the Economy
The Manchester School 78, September 2010, 25-52
abstract (+)An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
Econometrics Journal 12(3), November 2009, 33-64 | With Christensen and Diebold
abstract (+)Forecasting Recessions: The Puzzle of the Enduring Power of the Yield Curve
Journal of Business and Economic Statistics 27(4), 2009, 492-503 | With Williams
abstract (+)Examining the Bond Premium Puzzle with a DSGE Model
Journal of Monetary Economics 55, October 2008, S111-S126 | With Swanson
abstract (+)A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy
Economic Journal 118, July 2008, 906-926 | With Wu
abstract (+)Revealing the Secrets of the Temple: The Value of Publishing Central Bank Interest Rate Projections
In Asset Prices and Monetary Policy, ed. by J.Y. Campbell | Chicago: University of Chicago Press, 2008. 247-284 | With Williams | Posted with the permission of the University Chicago Press.
abstract (+)Macroeconomic Implications of Changes in the Term Premium
Federal Reserve Bank of St. Louis Review 89(4), July 2007, 241-269 | With Sack and Swanson
abstract (+)Accounting for a Shift in Term Structure Behavior with No-Arbitrage and Macro-Finance Models
Journal of Money, Credit, and Banking 39 (2-3), March 2007, 395-422 | With Wu
abstract (+)The Bond Yield “Conundrum” from a Macro-Finance Perspective
Monetary and Economic Studies 24(S-1), December 2006, 83-128 | With Swanson and Wu
abstract (+)Monetary Policy Inertia: Fact or Fiction?
International Journal of Central Banking 2 (4), December 2006, 85-135
abstract (+)The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach
Journal of Econometrics 131(1-2), March 2006, 309-338 | With Diebold and Aruoba
abstract (+)Using a Long-Term Interest Rate as the Monetary Policy Instrument
Journal of Monetary Economics 52(5), July 2005, 855-879 | With Williams and McGough
abstract (+)Modeling Bond Yields in Finance and Macroeconomics
American Economic Review Papers and Proceedings 95(2), May 2005, 415-420 | With Diebold and Piazzesi | Posted with the permission of the American Economic Association
abstract (+)Assessing the Lucas Critique in Monetary Policy Models
Journal of Money, Credit, and Banking 37(2), April 2005, 245-272
abstract (+)Estimating the Euler Equation for Output
Journal of Monetary Economics 51(6), September 2004, 1133-1153 | With Fuhrer
abstract (+)Term Structure Evidence on Interest Rate Smoothing and Monetary Policy Inertia
Journal of Monetary Economics 49(6), September 2002, 1161-1187
abstract (+)Assessing Nominal Income Rules for Monetary Policy with Model and Data Uncertainty
The Economic Journal 112, 2002, 402-432 | Posted with the permission of the Royal Economic Society
abstract (+)Eurosystem Monetary Targeting: Lessons from U.S. Data
European Economic Review 46, March 2002, 417-442 | With Svensson
abstract (+)Is the Fed Too Timid? Monetary Policy in an Uncertain World
Review of Economics and Statistics 83(2), May 2001, 203-217
abstract (+)Opportunistic and Deliberate Disinflation under Imperfect Credibility
Journal of Money, Credit, and Banking 32, November 2000, 707-721 | With Bomfim
Policy Rules for Inflation Targeting
In Monetary Policy Rules, ed. by Taylor | Chicago: University of Chicago Press, 1999. 203-246 | With Svensson
Do Measures of Monetary Policy in a VAR Make Sense? A Reply to Christopher A Sims
International Economic Review 39, November 1998, 943-948
Do Measures of Monetary Policy in a VAR Make Sense?
International Economic Review 39, November 1998, 907-931
Judging Instrument Relevance in Instrument Variables Estimation
International Economic Review 37, May 1996, 283-298 | With Hall and Wilcox
Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance: Comment
American Economic Review 86, March 1996, 300-309 | With Oliner | Posted with the permission of the American Economic Association
Measuring Business Cycles: A Modern Perspective
Review of Economics and Statistics 78, February 1996, 67-77 | With Diebold
The Lucas Critique Revisited: Assessing the Stability of Empirical Euler Equations for Investment
Journal of Econometrics 70, January 1996, 291-316 | With Oliner and Sichel
New and Old Models of Business Investment: A Comparison of Forecasting Performance
Journal of Money, Credit, and Banking 27, August 1995, 806-826 | With Oliner and Sichel
Federal Reserve Interest Rate Targeting, Rational Expectations, and the Term Structure
Journal of Monetary Economics 24, April 1995, 245-274
The Uncertain Unit Root in Real GNP
American Economic Review 83, March 1993, 264-272 | Posted with the permission of the American Economic Association
Further Evidence on Business-Cycle Duration Dependence
In Business Cycles, Indicators, and Forecasting, ed. by Watson and Stock | Chicago: University of Chicago Press for the NBER, 1993. 255-280 | With Diebold and Sichel
Sources of the Financing Hierarchy for Business Investment
Review of Economics and Statistics 74, November 1992, 643-654 | With Oliner
Have Postwar Economic Fluctuations Been Stabilized?
American Economic Review 82, September 1992, 993-1005 | With Diebold | Posted with permission of the American Economic Association
Trends and Random Walks in Macroeconomic Time Series: A Re-examination
International Economic Review 33, August 1992, 661-680
Forecasting Output with the Composite Leading Index: A Real-Time Analysis
Journal of the American Statistical Association 86, September 1991, 603-610 | With Diebold
Is Consumption Too Smooth? Long Memory and the Deaton Paradox
Review of Economics and Statistics 73, February 1991, 1-9 | With Diebold
On the Power of Dickey-Fuller Tests Against Fractional Alternatives
Economics Letters 35, 1991, 155-160 | With Diebold
Turning Point Prediction with the Composite Leading Index: An Ex Ante Analysis
In Leading Economic Indicators: New Approaches and Forecasting Records, ed. by Lahiri and Moore | Cambridge: Cambridge University Press, 1991. 231-256 | With Diebold
A Nonparametric Investigation of Duration Dependence in the American Business Cycle
Journal of Political Economy 98, June 1990, 596-616 | With Diebold
Long Memory and Persistence in Aggregate Output
Journal of Monetary Economics 24, September 1989, 189-209 | With Diebold
An Empirical Disequilibrium Model of Labor, Consumption, and Investment in the United States
International Economic Review 30, August 1989, 633-654
Scoring the Leading Indicators
Journal of Business 62, July 1989, 369-391 | With Diebold
Are Productivity Fluctuations Due to Real Supply Shocks?
Economics Letters 27, 1988, 327-331
Testing for Labor Market Equilibrium with an Exact Excess Demand Disequilibrium Model
Review of Economics and Statistics 68, August 1986, 468-476
Books
Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach
2013 | Princeton, NJ: Princeton University Press | Diebold • Rudebusch
Business Cycles: Durations, Dynamics, and Forecasting
1999 | Princeton: Princeton University Press | Rudebusch • Diebold
The Estimation of Macroeconomic Disequilibrium Models with Regime Classification Information
1987 | New York: Springer-Verlag | Rudebusch
FRBSF Publications
The Economics of Climate Change: A First Fed Conference
Economic Letter 2019-31 | December 16, 2019 | With Hale and Jorda
Climate Change and the Federal Reserve
Economic Letter 2019-09 | March 25, 2019
A Review of the Fed’s Unconventional Monetary Policy
Economic Letter 2018-27 | December 3, 2018
New Evidence for a Lower New Normal in Interest Rates
Economic Letter 2017-17 | June 19, 2017 | With Christensen
Why Are Long-Term Interest Rates So Low?
Economic Letter 2016-36 | December 5, 2016 | With Bauer
Has the Fed Fallen behind the Curve This Year?
Economic Letter 2016-33 | November 7, 2016 | With Nechio
Will the Economic Recovery Die of Old Age?
Economic Letter 2016-03 | February 8, 2016
Residual Seasonality and Monetary Policy
Economic Letter 2015-27 | August 24, 2015 | With Wilson and Pyle
The Puzzle of Weak First-Quarter GDP Growth
Economic Letter 2015-16 | May 18, 2015 | With Wilson and Mahedy
Optimal Policy and Market-Based Expectations
Economic Letter 2015-12 | April 13, 2015 | With Bauer
Does Slower Growth Imply Lower Interest Rates?
Economic Letter 2014-33 | November 10, 2014 | With Leduc
Stress Testing the Fed
Economic Letter 2014-08 | March 24, 2014 | With Christensen and Lopez
Expectations for Monetary Policy Liftoff
Economic Letter 2013-34 | November 18, 2013 | With Bauer
What Caused the Decline in Long-term Yields?
Economic Letter 2013-19 | July 8, 2013 | With Bauer
Signals from Unconventional Monetary Policy
Economic Letter 2011-36 | November 21, 2011 | With Bauer
The Fed’s Interest Rate Risk
Economic Letter 2011-11 | April 11, 2011
The Fed’s Exit Strategy for Monetary Policy
Economic Letter 2010-18 | June 14, 2010
Inflation: Mind the Gap
Economic Letter 2010-02 | January 19, 2010 | With Liu
Disagreement about the Inflation Outlook
Economic Letter 2009-31 | October 5, 2009 | With Leduc and Weidner
The Fed’s Monetary Policy Response to the Current Crisis
Economic Letter 2009-17 | May 22, 2009
Publishing Central Bank Interest Rate Forecasts
Economic Letter 2008-02 | January 25, 2008
Publishing FOMC Economic Forecasts
Economic Letter 2008-01 | January 18, 2008
Monetary Policy Inertia and Recent Fed Actions
Economic Letter 2007-03 | January 26, 2007
Monetary Policy and Asset Price Bubbles
Economic Letter 2005-18 | August 5, 2005
Finance and Macroeconomics
Economic Letter 2003-12 | May 2, 2003 | With Dennis
Macroeconomic Models for Monetary Policy
Economic Letter 2002-11 | April 19, 2002 | With Wu
Has a Recession Already Started?
Economic Letter 2001-29 | October 19, 2001
Asset Prices, Exchange Rates, and Monetary Policy
Economic Letter 2001-18 | June 15, 2001
How Sluggish Is the Fed?
Economic Letter 2001-05 | March 2, 2001
Five Questions about Business Cycles
Economic Review | 2001 | With Diebold
Structural Change and Monetary Policy
Economic Letter 2000-13 | April 28, 2000
How Fast Can the New Economy Grow?
Economic Letter 2000-05 | February 25, 2000