Finance, Credit risk, Term structure
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The Benefit of Inflation-Indexed Debt: Evidence from an Emerging Bond Market
2023-04 | with Cardozo | February 2023abstract (+)
International Evidence on Extending Sovereign Debt Maturities
2021-19 | with Lopez and Mussche | July 2021abstract (+)
Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico
2021-08 | with Beauregard, Fischer, and Zhu | November 2021abstract (+)
Accounting for Low Long-Term Interest Rates: Evidence from Canada
2020-35 | with Rudebusch and Shultz | July 2021abstract (+)
The Safety Premium of Safe Assets
2019-28 | with Mirkov | September 2022abstract (+)
Can Spanned Term Structure Factors Drive Stochastic Yield Volatility?
2014-03 | with Lopez and Rudebusch | January 2014abstract (+)
A Regime-Switching Model of the Yield Curve at the Zero Bound
2013-34 | January 2016abstract (+)
Could the U.S. Treasury Benefit from Issuing More TIPS?
2011-16 | with Gillan | June 2012abstract (+)
Published Articles (Refereed Journals and Volumes)
Central Bank Credibility During COVID-19: Evidence from Japan
Journal of International Money and Finance 131, March 2023 | with Spiegelabstract (+)
Monetary Reforms and Inflation Expectations in Japan: Evidence from Inflation-Indexed Bonds
Journal of Econometrics 231(2), December 2022, 410-431 | with Spiegelabstract (+)
Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement
Management Science 68(11), 2022, 8,286-8,300 | with Lopez and Musscheabstract (+)
A Portfolio Model of Quantitative Easing
Quarterly Journal of Finance 12(4), 2022, 2250011-1-2250011-39 | with Krogstrupabstract (+)
Does Quantitative Easing Affect Market Liquidity?
Journal of Banking and Finance 134, January 2022 | with Gillanabstract (+)
The TIPS Liquidity Premium
Review of Finance 25(6), 2021, 1639–1675 | with Andreasen and Riddellabstract (+)
Bond Flows and Liquidity: Do Foreigners Matter?
Journal of International Money and Finance 117-102397, 2021, 1-20 | with Fischer and Shultz | Noabstract (+)
Is There an On-the-Run Premium in TIPS?
Quarterly Journal of Finance 10(2), 2020 | with Lopez and Shultzabstract (+)
A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt
The Review of Economics and Statistics 101(5), December 2019, 933-949 | with Rudebuschabstract (+)
Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices
Journal of Econometrics 212(1), September 2019, 26-46 | with Andreasen and Rudebuschabstract (+)
Transmission of Quantitative Easing: The Role of Central Bank Reserves
Economic Journal 129, January 2019, 249-272 | with Krogstrup | Noabstract (+)
Pricing Deflation Risk with U.S. Treasury Yields
Review of Finance 20, 2016, 1107-1152 | with Lopez and Rudebuschabstract (+)
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 Rudebuschabstract (+)
Estimating Shadow-Rate Term Structure Models with Near-Zero Yields
Journal of Financial Econometrics 13 (2), Spring 2015, 226-259 | with Rudebuschabstract (+)
A Probability-Based Stress Test of Federal Reserve Assets and Income
Journal of Monetary Economics 73, 2015, 26-43 | with Lopez and Rudebuschabstract (+)
Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?
Journal of Business and Economic Statistics 32(1), January 2014, 136-151 | with Lopez and Rudebuschabstract (+)
Extracting Deflation Probability Forecasts from Treasury Yields
International Journal of Central Banking 8(4), December 2012, 21-60 | with Lopez and Rudebuschabstract (+)
The Response of Interest Rates to U.S. and U.K. Quantitative Easing
Economic Journal 122(564), November 2012, F385-F414 | with Rudebuschabstract (+)
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models
Journal of Econometrics 164(1), September 2011, 4-20 | with Diebold and Rudebuschabstract (+)
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 Rudebuschabstract (+)
An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
Econometrics Journal 12(3), November 2009, 33-64 | with Diebold and Rudebuschabstract (+)
Confidence Sets for Continuous-Time Rating Transition Probabilities
Journal of Banking and Finance 28, August 2004, 2575-2602 | with Lando and Hansenabstract (+)
Are Inflation Expectations Well Anchored in Mexico?
Economic Letter 2023-01 | January 17, 2023 | with Beauregard, Fischer, and Zhu
COVID-19 Fiscal Expansion and Inflation Expectations in Japan
Economic Letter 2022-20 | August 3, 2022 | with Spiegel
The Increase in Inflation Compensation: What’s Up?
Economic Letter 2022-18 | July 5, 2022
What Would It Cost to Issue 50-year Treasury Bonds?
Economic Letter 2021-29 | November 8, 2021 | with Lopez and Mussche
Exploring the Safety Premium of Safe Assets
Economic Letter 2021-13 | May 10, 2021 | with Mirkov
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