
Michael Bauer
Senior Research Advisor
Financial Research
Monetary economics, Asset pricing, Climate finance
CV (pdf, 267.54 kb) | Bio (pdf, 167.47 kb)
Profiles: Google Scholar | RePEc | SSRN | LinkedIn | Personal website
Working Papers
Perceptions about Monetary Policy
CEPR Discussion Paper | with Pflueger and Sunderam | December 2022
abstract (+)Climate Policy Curves: Linking Policy Choices to Climate Outcomes
CEPR Discussion Paper | with Hansel, Drupp, Wagner, and Rudebusch | November 2022
abstract (+)Published Articles (Refereed Journals and Volumes)
Interest Rate Skewness and Biased Beliefs
Forthcoming in Journal of Finance | with Chernov
abstract (+)The Rising Cost of Climate Change: Evidence from the Bond Market
Forthcoming in The Review of Economics and Statistics | with Rudebusch
abstract (+)An Alternative Explanation for the “Fed Information Effect”
American Economic Review 113(3), March 2023, 664-700 | with Swanson
abstract (+)A Reassessment of Monetary Policy Surprises and High-Frequency Identification
NBER Macroeconomic Annual 2022 37(1), 2023, 87-155 | with Swanson
abstract (+)Risk Appetite and the Risk-Taking Channel of Monetary Policy
Journal of Economic Perspectives 37(1), Winter 2023, 77-100 | with Bernanke and Milstein
abstract (+)Where Is the Carbon Premium? Global Performance of Green and Brown Stocks
Journal of Climate Finance 1, December 2022 | with Huber, Rudebusch, and Wilms
abstract (+)Market-Based Monetary Policy Uncertainty
The Economic Journal 132(644), May 2022, 1290–1308 | with Lakdawala and Mueller
abstract (+)Interest Rates Under Falling Stars
American Economic Review 110(5), May 2020, 1316-1354 | with Rudebusch
abstract (+)Restrictions on Risk Prices in Dynamic Term Structure Models
Journal of Business & Economic Statistics 36(2), 2018, 196-211
abstract (+)rrp_appendix.pdf – Online Appendix
bauer_rrp_replication.zip – Code and Data for Replication
Robust Bond Risk Premia
Review of Financial Studies, 2017 | with Hamilton
abstract (+)Resolving the Spanning Puzzle in Macro-Finance Term Structure Models
Review of Finance 21, 2017, 511-553 | with Rudebusch
abstract (+)Monetary Policy Expectations at the Zero Lower Bound
Journal of Money, Credit and Banking 48, 2016, 7 | with Rudebusch
abstract (+)bauer_rudebusch_zlb_replication.zip – Data and code for replication
shadow_rates.csv – Estimated shadow rates
Nominal Interest Rates and the News
Journal of Money, Credit and Banking 47 (2-3), 2015, 295-331
abstract (+)Inflation Expectations and the News
International Journal of Central Banking 11 (2), 2015, 1-40
abstract (+)The Signaling Channel for Federal Reserve Bond Purchases
International Journal of Central Banking 10(3), September 2014, 233-289 | with Rudebusch
abstract (+)International Channels of the Fed’s Unconventional Monetary Policy
Journal of International Money and Finance 44, June 2014, 24-46 | with Neely
abstract (+)Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment
American Economic Review 104(1), January 2014, 323-337 | with Rudebusch and Wu
abstract (+)Correcting Estimation Bias in Dynamic Term Structure Models
Journal of Business and Economic Statistics 30(3), July 2012, 454-467 | with Rudebusch and Wu
abstract (+)brw_replication.zip – Data and code for replication
brw_appendix.pdf – Online appendix
FRBSF Publications
Current Recession Risk According to the Yield Curve
Economic Letter 2022-11 | May 9, 2022 | with Mertens
Climate Change Costs Rise as Interest Rates Fall
Economic Letter 2021-28 | October 20, 2021 | with Rudebusch
Zero Lower Bound Risk according to Option Prices
Economic Letter 2019-24 | September 23, 2019 | with Mertens
San Francisco Fed Joins CEPR Global Research Network
SF Fed Blog | Sep 2019
Did the Yield Curve Flip? Will the Economy Dip?
SF Fed Blog | Feb 2019 | with Mertens
Information in the Yield Curve about Future Recessions
Economic Letter 2018-20 | August 27, 2018 | with Mertens
Economic Forecasts with the Yield Curve
Economic Letter 2018-07 | March 5, 2018 | with Mertens
A New Conundrum in the Bond Market
Economic Letter 2017-34 | November 20, 2017
Bridging the Gap: Forecasting Interest Rates with Macro Trends
Economic Letter 2017-21 | July 31, 2017
Why Are Long-Term Interest Rates So Low?
Economic Letter 2016-36 | December 5, 2016 | with Rudebusch
Do Macro Variables Help Forecast Interest Rates?
Economic Letter 2016-20 | June 27, 2016 | with Hamilton
Can We Rely on Market-Based Inflation Forecasts?
Economic Letter 2015-30 | September 21, 2015 | with McCarthy
Optimal Policy and Market-Based Expectations
Economic Letter 2015-12 | April 13, 2015 | with Rudebusch
Options-Based Expecations of Future Policy Rates
Economic Letter 2014-29 | September 29, 2014
Financial Market Outlook for Inflation
Economic Letter 2014-14 | May 12, 2014 | with Christensen
Expectations for Monetary Policy Liftoff
Economic Letter 2013-34 | November 18, 2013 | with Rudebusch
What Caused the Decline in Long-term Yields?
Economic Letter 2013-19 | July 8, 2013 | with Rudebusch
Monetary Policy and Interest Rate Uncertainty
Economic Letter 2012-38 | December 24, 2012
Fed Asset Buying and Private Borrowing Rates
Economic Letter 2012-16 | May 21, 2012
Signals from Unconventional Monetary Policy
Economic Letter 2011-36 | November 21, 2011 | with Rudebusch
What Moves the Interest Rate Term Structure?
Economic Letter 2011-34 | November 7, 2011