Jens Christensen
Research Advisor
Financial Research
Finance, Credit risk, Term structure
CV (pdf, 76.83 kb)
Working Papers
Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico
2021-08 | With Beauregard, Fischer, and Zhu | March 2021
abstract (+)Accounting for Low Long-Term Interest Rates: Evidence from Canada
2020-35 | With Rudebusch and Shultz | November 2020
abstract (+)The Safety Premium of Safe Assets
2019-28 | With Mirkov | February 2021
abstract (+)Assessing Abenomics: Evidence from Inflation-Indexed Japanese Government Bonds
2019-15 | With Spiegel | October 2019
abstract (+)Bond Flows and Liquidity: Do Foreigners Matter?
2019-08 | With Fischer and Shultz | December 2019
abstract (+)Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement
2018-09 | With Lopez and Mussche | May 2019
abstract (+)The TIPS Liquidity Premium
2017-11 | With Andreasen and Riddell | July 2020
abstract (+)A Portfolio Model of Quantitative Easing
2016-12 | With Krogstrup | February 2018
abstract (+)Can Spanned Term Structure Factors Drive Stochastic Yield Volatility?
2014-03 | With Lopez and Rudebusch | January 2014
abstract (+)A Regime-Switching Model of the Yield Curve at the Zero Bound
2013-34 | January 2016
abstract (+)Does Quantitative Easing Affect Market Liquidity?
2013-26 | With Gillan | December 2019
abstract (+)Could the U.S. Treasury Benefit from Issuing More TIPS?
2011-16 | With Gillan | June 2012
abstract (+)Published Articles (Refereed Journals and Volumes)
Is There an On-the-Run Premium in TIPS?
Quarterly Journal of Finance 10(2), 2020 | With Lopez and Shultz
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 Rudebusch
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 Rudebusch
abstract (+)Transmission of Quantitative Easing: The Role of Central Bank Reserves
Economic Journal 129, January 2019, 249-272 | With Krogstrup | No
abstract (+)Pricing Deflation Risk with U.S. Treasury Yields
Review of Finance 20, 2016, 1107-1152 | With Lopez and Rudebusch
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 Rudebusch
abstract (+)Estimating Shadow-Rate Term Structure Models with Near-Zero Yields
Journal of Financial Econometrics 13 (2), Spring 2015, 226-259 | With Rudebusch
abstract (+)A Probability-Based Stress Test of Federal Reserve Assets and Income
Journal of Monetary Economics 73, 2015, 26-43 | With Lopez and Rudebusch
abstract (+)Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?
Journal of Business and Economic Statistics 32(1), January 2014, 136-151 | With Lopez and Rudebusch
abstract (+)Extracting Deflation Probability Forecasts from Treasury Yields
International Journal of Central Banking 8(4), December 2012, 21-60 | With Lopez and Rudebusch
abstract (+)The Response of Interest Rates to U.S. and U.K. Quantitative Easing
Economic Journal 122(564), November 2012, F385-F414 | With Rudebusch
abstract (+)The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models
Journal of Econometrics 164(1), September 2011, 4-20 | With Diebold and Rudebusch
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 Lopez and Rudebusch
abstract (+)An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
Econometrics Journal 12(3), November 2009, 33-64 | With Diebold and Rudebusch
abstract (+)Confidence Sets for Continuous-Time Rating Transition Probabilities
Journal of Banking and Finance 28, August 2004, 2575-2602 | With Lando and Hansen
abstract (+)FRBSF Publications
Emerging Bond Markets and COVID-19: Evidence from Mexico
Economic Letter 2020-23 | August 17, 2020 | With Fischer and Shultz
Coronavirus and the Risk of Deflation
Economic Letter 2020-11 | May 11, 2020 | With Gamble and Zhu
Yield Curve Responses to Introducing Negative Policy Rates
Economic Letter 2019-27 | October 15, 2019
Negative Interest Rates and Inflation Expectations in Japan
Economic Letter 2019-22 | August 26, 2019 | With Spiegel
The Risk of Returning to the Zero Lower Bound
Economic Letter 2019-14 | May 13, 2019
The Slope of the Yield Curve and the Near-Term Outlook
Economic Letter 2018-23 | October 15, 2018
Do Foreign Funds Matter for Emerging Market Bond Liquidity?
Economic Letter 2018-16 | June 18, 2018 | With Fischer and Shultz
Do Adjustment Lags Matter for Inflation-Indexed Bonds?
Economic Letter 2018-08 | March 26, 2018
New Evidence for a Lower New Normal in Interest Rates
Economic Letter 2017-17 | June 19, 2017 | With Rudebusch
Measuring Interest Rate Risk in the Very Long Term
Economic Letter 2017-12 | April 24, 2017 | With Lopez and Mussche
Do All New Treasuries Trade at a Premium?
Economic Letter 2017-03 | February 6, 2017 | With Lopez and Shultz
TIPS Liquidity and the Outlook for Inflation
Economic Letter 2016-35 | November 21, 2016 | With Andreasen
Differing Views on Long-Term Inflation Expectations
Economic Letter 2016-11 | April 4, 2016 | With Lopez
Assessing Supervisory Scenarios for Interest Rate Risk
Economic Letter 2015-29 | September 8, 2015 | With Lopez
Transmission of Asset Purchases: The Role of Reserves
Economic Letter 2015-20 | June 22, 2015 | With Krogstrup
Assessing Expectations of Monetary Policy
Economic Letter 2014-27 | September 8, 2014 | With Kwan
Financial Market Outlook for Inflation
Economic Letter 2014-14 | May 12, 2014 | With Bauer
Stress Testing the Fed
Economic Letter 2014-08 | March 24, 2014 | With Lopez and Rudebusch
When Will the Fed End Its Zero Rate Policy?
Economic Letter 2014-04 | February 10, 2014
Do Fed TIPS Purchases Affect Market Liquidity?
Economic Letter 2012-07 | March 5, 2012 | With Gillan
TIPS Liquidity, Breakeven Inflation, and Inflation Expectations
Economic Letter 2011-19 | June 20, 2011 | With Gillan
Has the Treasury Benefited from Issuing TIPS?
Economic Letter 2011-12 | April 18, 2011 | With Gillan
TIPS and the Risk of Deflation
Economic Letter 2010-32 | October 25, 2010
Inflation Expectations and the Risk of Deflation
Economic Letter 2009-34 | November 2, 2009
Have the Fed Liquidity Facilities Had an Effect on Libor?
Economic Letter 2009-25 | August 10, 2009
Treasury Bond Yields and Long-Run Inflation Expectations
Economic Letter 2008-25 | August 15, 2008
The Corporate Bond Credit Spread Puzzle
Economic Letter 2008-10 | March 14, 2008
Internal Risk Models and the Estimation of Default Probabilities
Economic Letter 2007-29 | September 28, 2007