http://www.bis.org/cbhub/list/author/author_374/index.rss Research hub papers by author Glenn D. Rudebusch en http://www.ijcb.org/journal/ijcb12q4a2.pdf IJCB International Journal of Central Banking by Jens H.E. Christensen, Jose A. Lopez, and Glenn D. Rudebusch Extracting Deflation Probability Forecasts from Treasurey Yields 2012-11-30T17:42:00Z We construct probability forecasts for episodes of price Extracting Deflation Probability Forecasts from Treasurey Yields 2012-11-30T17:42:00Z Abstract http://www.ijcb.org/journal/ijcb12q4a2.htm Full text http://www.ijcb.org/journal/ijcb12q4a2.pdf Jose A. Lopez Glenn D. Rudebusch Jens H.E. Christensen Jens H.E. Christensen, Jose A. Lopez, and Glenn D. Rudebusch 2012-12 IJCB International Journal of Central Banking http://www.frbsf.org/publications/economics/papers/2012/wp12-07bk.pdf San Francisco Fed Working Papers by Jens H.E. Christensen, Jose A.Lopez, Glenn D. Rudebusch Pricing Deflation Risk with U.S. Treasury Yields 2012-05-30T06:23:00Z We use an arbitrage-free term structure model with spanned stochastic volatility to determine the value of the deflation protection option embedded in Treasury inflation-protected securities (TIPS). The model accurately prices the option prior to the financial crisis when its value was near zero; at the peak of the crisis in late 2008 when deflationary concerns spiked sharply; and in the post-crisis period. Pricing Deflation Risk with U.S. Treasury Yields 2012-05-30T06:23:00Z Full text http://www.frbsf.org/publications/economics/papers/2012/wp12-07bk.pdf Jose A. Lopez Glenn D. Rudebusch Jens H. E. Christensen Jens H.E. Christensen, Jose A.Lopez, Glenn D. Rudebusch 2012-05-29 San Francisco Fed Working Papers E43 E47 G12 G13 http://www.frbsf.org/publications/economics/papers/2012/wp12-06bk.pdf San Francisco Fed Working Papers by Christensen, Rudebusch The Response of Interest Rates to U.S. and U.K. Quantitative Easing 2012-05-24T06:23:59Z We analyze the declines in government bond yields that followed the announcements of plans by the Federal Reserve and the Bank of England to buy longer-term government debt. We find that declines in U.S. Treasury yields mainly reflected lower policy expectations, while declines in U.K. yields appeared to reflect reduced term premiums. The Response of Interest Rates to U.S. and U.K. Quantitative Easing 2012-05-24T06:23:59Z Full text http://www.frbsf.org/publications/economics/papers/2012/wp12-06bk.pdf Glenn D. Rudebusch Jens H. E. Christensen Jens H. E. Christensen, Glenn D. Rudebusch 2012-05-22 San Francisco Fed Working Papers E43 E52 E58 http://www.frbsf.org/publications/economics/papers/2011/wp11-21bk.pdf San Francisco Fed Working Papers by Michael Bauer, Glenn Rudebusch The Signaling Channel for Federal Reserve Bond Purchases 2011-09-20T06:25:00Z Previous research has emphasized the portfolio balance effects of Federal Reserve bond purchases, in which a reduced bond supply lowers term premia. In contrast, we find that such purchases have important signaling effects that lower expected future shortterm interest rates. Our evidence comes from dynamic term structure models that decompose declines in yields following Fed announcements into changes in risk premia and expected short rates. To overcome problems in measuring term premia, we consider unbiased model estimation and restricted risk price estimation. We also characterize the estimation uncertainty regarding the relative importance of the signaling and portfolio balance channels. The Signaling Channel for Federal Reserve Bond Purchases 2011-09-20T06:25:00Z Full text http://www.frbsf.org/publications/economics/papers/2011/wp11-21bk.pdf Glenn D. Rudebusch Michael Bauer Michael Bauer, Glenn Rudebusch 2011-09-19 San Francisco Fed Working Papers http://www.frbsf.org/publications/economics/papers/2011/wp11-12bk.pdf San Francisco Fed Working Papers by Bauer, Rudebusch, Wu Unbiased Estimate of Dynamic Term Structure Models 2011-04-09T06:23:00Z We introduce new simulation-based methods for reducing or even eliminating small-sample bias in empirical affine Gaussian dynamic term structure models. With these methods, we show that conventional estimates of DTSM coefficients are severely biased, which results in misleading estimates of expected future short-term interest rates and long-maturity term premia. Our unbiased DTSM estimates imply risk-neutral rates and term premia that are more plausible from a macro-finance perspective. Unbiased Estimate of Dynamic Term Structure Models 2011-04-09T06:23:00Z Full text http://www.frbsf.org/publications/economics/papers/2011/wp11-12bk.pdf Glenn D. Rudebusch Jing (Cynthia) Wu Michael D. Bauer Bauer, Rudebusch, Wu 2011-04-07 San Francisco Fed Working Papers http://www.frbsf.org/publications/economics/papers/2011/wp11-10bk.pdf San Francisco Fed Working Papers by Christensen, Lopez, Rudebusch Extracting Deflation Probability Forecasts from Treasury Yields 2011-02-26T06:21:59Z We construct probability forecasts for episodes of price deflation (i.e., a falling price level) using yields on nominal and real U.S. Treasury bonds. The deflation probability forecasts identify two "deflation scares" during the past decade: a mild one following the 2001 recession, and a more serious one starting in late 2008 with the deepening of the financial crisis. The estimated deflation probabilities are generally consistent with those from macroeconomic models and surveys of professional forecasters, but they also provide highfrequency insight into the views of financial market participants. The probabilities can also be used to price the deflation option embedded in real Treasury bonds. Extracting Deflation Probability Forecasts from Treasury Yields 2011-02-26T06:21:59Z Full text http://www.frbsf.org/publications/economics/papers/2011/wp11-10bk.pdf Jose A. Lopez Glenn D. Rudebusch Jens H. E. Christensen Christensen, Lopez, Rudebusch 2011-02-24 San Francisco Fed Working Papers http://www.frbsf.org/publications/economics/papers/2010/wp10-01bk.pdf San Francisco Fed Working Papers by Rudebusch Macro-Finance Models of Interest Rates and the Economy 2010-01-06T12:46:59Z During the past decade, much new research has combined elements of finance, monetary economics, and macroeconomics in order to study the relationship between the term structure of interest rates and the economy. In this survey, I describe three different strands of such interdisciplinary macro-finance term structure research. The first adds macroeconomic variables and structure to a canonical arbitrage-free finance representation of the yield curve. The second examines bond pricing and bond risk premiums in a canonical macroeconomic dynamic stochastic general equilibrium model. The third developsa new class of arbitrage-free term structure models that are empirically tractable and well suited to macro-finance investigations. Macro-Finance Models of Interest Rates and the Economy 2010-01-06T12:46:59Z Full text http://www.frbsf.org/publications/economics/papers/2010/wp10-01bk.pdf Glenn D. Rudebusch Rudebusch 2010-01 San Francisco Fed Working Papers http://www.frbsf.org/publications/economics/papers/2009/wp09-13bk.pdf San Francisco Fed Working Papers by Christensen, Lopez, Rudebusch Do Central Bank Liquidity Facilities Affect Interbank Lending Rates? 2009-06-09T07:16:59Z In response to the global financial crisis that started in August 2007, central banks provided extraordinary amounts of liquidity to the financial system. To investigate the effect of central bank liquidity facilities on term interbank lending rates, we estimate a six-factor arbitrage-free model of U.S. Treasury yields, financial corporate bond yields, and term interbank rates. This model can account for fluctuations in the term structure of credit risk and liquidity risk. A significant shift in model estimates after the announcement of the liquidity facilities suggests that these central bank actions did help lower the liquidity premium in term interbank rates. Do Central Bank Liquidity Facilities Affect Interbank Lending Rates? 2009-06-09T07:16:59Z Full text http://www.frbsf.org/publications/economics/papers/2009/wp09-13bk.pdf Jens H. E. Christensen Jose A. Lopez Glenn D. Rudebusch Christensen, Lopez, Rudebusch 2009-06 San Francisco Fed Working Papers http://www.frbsf.org/publications/economics/papers/2008/wp08-34bk.pdf San Francisco Fed Working Papers by Christensen, Lopez, Rudebusch Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields 2008-12-18T07:16:00Z Differences between yields on comparable-maturity U.S. Treasury nominal and real debt, the so-called breakeven inflation (BEI) rates, are widely used indicators of inflation expectations. However, better measures of inflation expectations could be obtained by subtracting inflation risk premiums from the BEI rates. We provide such decompositions using an estimated affine arbitrage-free model of the term structure that captures the pricing of both nominal and real Treasury securities. Our empirical results suggest that long-term inflation expectations have been well anchored over the past few years, and inflation risk premiums, although volatile, have been close to zero on average. Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields 2008-12-18T07:16:00Z Full text http://www.frbsf.org/publications/economics/papers/2008/wp08-34bk.pdf Jens H. E. Christensen Jose A. Lopez Glenn D. Rudebusch Christensen, Lopez, Rudebusch 2008-12 San Francisco Fed Working Papers http://www.frbsf.org/publications/economics/papers/2008/wp08-31bk.pdf San Francisco Fed Working Papers by Rudebusch, Swanson The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks 2008-12-11T07:16:00Z The term premium on nominal long-term bonds in the standard dynamic stochastic general equilibrium (DSGE) model used in macroeconomics is far too small and stable relative to empirical measures obtained from the data--an example of the ''bond premium puzzle.'' However, in models of endowment economies, researchers have been able to generate reasonable term premiums by assuming that investors have recursive Epstein-Zin preferences and face long-run economic risks. We show that introducing Epstein-Zin preferences into a canonical DSGE model can also produce a large and variable term premium without compromising the model's ability to fit key macroeconomic variables. Long-run real and nominal risks further improve the model's ability to fit the data with a lower level of household risk aversion. The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks 2008-12-11T07:16:00Z Full text http://www.frbsf.org/publications/economics/papers/2008/wp08-31bk.pdf Eric T. Swanson Glenn D. Rudebusch Rudebusch, Swanson 2008-11 San Francisco Fed Working Papers http://www.nbb.be/doc/ts/publications/wp/wp143En.pdf National Bank of Belgium Working Papers by Glenn D. Rudebusch, Eric T. Swanson The bond premium in a DSGE model with long-run real and nominal risks 2008-10-14T17:40:59Z The term premium on nominal long-term bonds in the standard dynamic stochastic general equilibrium (DSGE) model used in macroeconomics is far too small and stable relative to empirical measures obtained from the data— an example of the "bond premium puzzle. However, in models of endowment economies, researchers have been able to generate reasonable term premiums by assuming that investors face long-run economic risks and have recursive Epstein-Zin preferences. We show that introducing these two elements into a canonical DSGE model can also produce a large and variable term premium without compromising the model's ability to fit key macroeconomic variables. The bond premium in a DSGE model with long-run real and nominal risks 2008-10-14T17:40:59Z Abstract http://www.nbb.be/pub/06_00_00_00_00/06_03_00_00_00/06_03_05_00_00/WP_143.htm Full text http://www.nbb.be/doc/ts/publications/wp/wp143En.pdf Eric T. Swanson Glenn D. Rudebusch Glenn D. Rudebusch, Eric T. Swanson 2008-10-16 National Bank of Belgium Working Papers http://www.frbsf.org/publications/economics/papers/2008/wp08-07bk.pdf San Francisco Fed Working Papers by Christensen, Diebold, Rudebusch An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 2008-06-04T07:14:59Z The Svensson generalization of the popular Nelson-Siegel term structure model is widely used by practitioners and central banks. Unfortunately, like the original Nelson-Siegel specification, this generalization, in its dynamic form, does not enforce arbitrage-free consistency over time. Indeed, we show that the factor loadings of the Svensson generalization cannot be obtained in a standard finance arbitrage-free affine term structure representation. Therefore, we introduce a closely related generalized Nelson-Siegel model on which the no-arbitrage condition can be imposed. We estimate this new arbitrage-free generalized Nelson-Siegel model and demonstrate its tractability and good in-sample fit. An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model 2008-06-04T07:14:59Z Full text http://www.frbsf.org/publications/economics/papers/2008/wp08-07bk.pdf Francis X. Diebold Jens H. E. Christensen Glenn D. Rudebusch Christensen, Diebold, Rudebusch 2008-05 San Francisco Fed Working Papers http://www.frbsf.org/publications/economics/papers/2007/wp07-25bk.pdf San Francisco Fed Working Papers by Rudebusch, Swanson Examining the Bond Premium Puzzle with a DSGE Model 2007-11-08T07:16:00Z The basic inability of standard theoretical models to generate a sufficiently large and variable nominal bond risk premium has been termed the "bond premium puzzle." We show that the term premium on long-term bonds in the canonical dynamic stochastic general equilibrium (DSGE) model used in macroeconomics is far too small and stable relative to the data. We find that introducing long-memory habits in consumption as well as labor market frictions can help fit the term premium, but only by seriously distorting the DSGE model's ability to fit other macroeconomic variables, such as the real wage; therefore, the bond premium puzzle remains. Examining the Bond Premium Puzzle with a DSGE Model 2007-11-08T07:16:00Z Full text http://www.frbsf.org/publications/economics/papers/2007/wp07-25bk.pdf Eric T. Swanson Glenn D. Rudebusch Rudebusch, Swanson 2007-10 San Francisco Fed Working Papers http://www.frbsf.org/publications/economics/papers/2007/wp07-20bk.pdf San Francisco Fed Working Papers by Christensen, Diebold, Rudebusch The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models 2007-09-13T07:16:00Z We derive the class of arbitrage-free affine dynamic term structure models that approximate the widely-used Nelson-Siegel yield-curve specification. Our theoretical analysis relates this new class of models to the canonical representation of the three-factor arbitrage-free affine model. Our empirical analysis shows that imposing the Nelson-Siegel structure on this canonical representation greatly improves its empirical tractability; furthermore, we find that improvements in predictive performance are achieved from the imposition of absence of arbitrage. The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models 2007-09-13T07:16:00Z Full text http://www.frbsf.org/publications/economics/papers/2007/wp07-20bk.pdf Francis X. Diebold Jens H. E. Christensen Glenn D. Rudebusch Christensen, Diebold, Rudebusch 2007-09 San Francisco Fed Working Papers http://www.frbsf.org/publications/economics/papers/2007/wp07-16bk.pdf San Francisco Fed Working Papers by Rudebusch, Williams Forecasting Recessions: The Puzzle of the Enduring Power of the Yield Curve 2007-08-16T07:12:59Z We show that professional forecasters have essentially no ability to predict future recessions a few quarters ahead. This is particularly puzzling because, for at least the past two decades, researchers have provided much evidence that the yield curve, specifically the spread between long- and short-term interest rates, does contain useful information at that forecast horizon for predicting aggregate economic activity and, especially, for signaling future recessions. We document this puzzle and suggest that forecasters have generally placed too little weight on yield curve information when projecting declines in the aggregate economy. Forecasting Recessions: The Puzzle of the Enduring Power of the Yield Curve 2007-08-16T07:12:59Z Full text http://www.frbsf.org/publications/economics/papers/2007/wp07-16bk.pdf Glenn D. Rudebusch John C. Williams Rudebusch, Williams 2007-07 San Francisco Fed Working Papers http://www.frbsf.org/publications/economics/papers/2006/wp06-46bk.pdf San Francisco Fed Working Papers by Rudebusch, Sack, Swanson Macroeconomic Implications of Changes in the Term Premium 2006-11-29T07:14:59Z Macroeconomic Implications of Changes in the Term Premium 2006-11-29T07:14:59Z Full text http://www.frbsf.org/publications/economics/papers/2006/wp06-46bk.pdf Brian P. Sack Eric T. Swanson Glenn D. Rudebusch Rudebusch, Sack, Swanson 2006-11 San Francisco Fed Working Papers http://www.frbsf.org/publications/economics/papers/2006/wp06-31bk.pdf San Francisco Fed Working Papers by Rudebusch, Williams Revealing the Secrets of the Temple: The Value of Publishing Central Bank Interest Rate Projections 2006-10-28T07:16:00Z Revealing the Secrets of the Temple: The Value of Publishing Central Bank Interest Rate Projections 2006-10-28T07:16:00Z Full text http://www.frbsf.org/publications/economics/papers/2006/wp06-31bk.pdf Glenn D. Rudebusch John C. Williams Rudebusch, Williams 2006-10 San Francisco Fed Working Papers E43 E52 http://www.frbsf.org/publications/economics/papers/2006/wp06-16bk.pdf San Francisco Fed Working Papers by Rudebusch, Swanson, Wu The Bond Yield "Conundrum" from a Macro-Finance Perspective 2006-05-20T07:10:00Z The Bond Yield "Conundrum" from a Macro-Finance Perspective 2006-05-20T07:10:00Z Full text http://www.frbsf.org/publications/economics/papers/2006/wp06-16bk.pdf Eric T. Swanson Tao Wu Glenn D. Rudebusch Rudebusch, Swanson, Wu 2006-05 San Francisco Fed Working Papers http://www.frbsf.org/publications/economics/papers/2005/wp05-19bk.pdf San Francisco Fed Working Papers by Rudebusch Monetary Policy Inertia: Fact or Fiction? 2005-10-28T07:10:00Z Monetary Policy Inertia: Fact or Fiction? 2005-10-28T07:10:00Z Full text http://www.frbsf.org/publications/economics/papers/2005/wp05-19bk.pdf Glenn D. Rudebusch Rudebusch 2005-07 San Francisco Fed Working Papers http://www.frbsf.org/publications/economics/papers/2005/wp05-04bk.pdf San Francisco Fed Working Papers by Francis X. Diebold, Monika Piazzesi and Glenn D. Rudebusch Modeling Bond Yields in Finance and Macroeconomics 2005-03-30T07:10:59Z Modeling Bond Yields in Finance and Macroeconomics 2005-03-30T07:10:59Z Full text http://www.frbsf.org/publications/economics/papers/2005/wp05-04bk.pdf Glenn D. Rudebusch Monika Piazzesi Francis X. Diebold Francis X. Diebold, Monika Piazzesi and Glenn D. Rudebusch 2005-01 San Francisco Fed Working Papers http://www.frbsf.org/publications/economics/papers/2004/wp04-22bk.pdf San Francisco Fed Working Papers by Bruce McGough, Glenn Rudebusch and John C. Williams Using a Long-Term Interest Rate as the Monetary Policy Instrument 2005-01-09T17:34:59Z Using a Long-Term Interest Rate as the Monetary Policy Instrument 2005-01-09T17:34:59Z Full text http://www.frbsf.org/publications/economics/papers/2004/wp04-22bk.pdf John C. Williams Bruce McGough Glenn D. Rudebusch Bruce McGough, Glenn Rudebusch and John C. Williams 2004-12 San Francisco Fed Working Papers http://www.frbsf.org/publications/economics/papers/2004/wp04-25bk.pdf San Francisco Fed Working Papers by Glenn Rudebusch and Tao Wu The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective 2005-01-09T17:34:59Z The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective 2005-01-09T17:34:59Z Full text http://www.frbsf.org/publications/economics/papers/2004/wp04-25bk.pdf Tao Wu Glenn D. Rudebusch Glenn Rudebusch and Tao Wu 2004-12 San Francisco Fed Working Papers http://www.frbsf.org/publications/economics/papers/2003/wp03-17bk.pdf San Francisco Fed Working Papers by Glenn D. Rudebusch and Tao Wu A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy 2004-04-21T07:08:59Z A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy 2004-04-21T07:08:59Z Full text http://www.frbsf.org/publications/economics/papers/2003/wp03-17bk.pdf Glenn D. Rudebusch Tao Wu Glenn D. Rudebusch and Tao Wu 2003-09 San Francisco Fed Working Papers http://www.frbsf.org/publications/economics/papers/2003/wp03-18bk.pdf San Francisco Fed Working Papers by Francis X. Diebold, Glenn D. Rudebusch and S. Boragan Aruoba The Macroeconomy and the Yield Curve: A Nonstructural Analysis 2004-04-21T07:08:59Z The Macroeconomy and the Yield Curve: A Nonstructural Analysis 2004-04-21T07:08:59Z Full text http://www.frbsf.org/publications/economics/papers/2003/wp03-18bk.pdf S. Boragan Aruoba Glenn D. Rudebusch Francis X. Diebold Francis X. Diebold, Glenn D. Rudebusch and S. Boragan Aruoba 2003-10 San Francisco Fed Working Papers C5 E4 G1