Jonathan H. Wright - Central Bank Research Hub

Papers by year: All | 2017 | 2016 | 2015 | 2014 | 2012 | 2010 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003

Title Other author(s)

Interest Rate Conundrums in the Twenty-First Century

New York Fed Staff reports [View] (Paper: 810, 30.03.2017)

JEL: E43, E52, G12

Options-Implied Probability Density Functions for Real Interest Rates

IJCB International Journal of Central Banking [View] (Paper: 16q3a03, 01.09.2016)

JEL: C58, E43, G12

Unconventional Monetary Policy and International Risk Premia

Board of Governors of the Federal Reserve System International Financial Discussion Papers [View] (Paper: 2016-1172, 26.06.2016)

Weather-Adjusting Employment Data

Philadelphia Fed Working Papers [View] (Paper: 15-05, 08.04.2015)

JEL: C22, C80

Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison

Board of Governors of the Federal Reserve System International Financial Discussion Papers [View] (Paper: 1101, 03.04.2014)

JEL: C22, E43

Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2012-77, 14.11.2012)

Evaluating Real-Time VAR Forecasts with an Informative Democratic Prior

Philadelphia Fed Working Papers [View] (Paper: 10-19:, 20.05.2010)

The High-Frequency Impact of News on Long-Term Yields and Forward Rates: Is It Real?

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2008-39, 23.08.2008)

JEL: E43, E52, G14

Term Premiums and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2008-25, 30.05.2008)

The TIPS Yield Curve and Inflation Compensation

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2008-05, 02.04.2008)

Cracking the Conundrum

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2007-46, 11.10.2007)

Trading Activity and Exchange Rates in High-Frequency EBS Data

Board of Governors of the Federal Reserve System International Financial Discussion Papers [View] (Paper: 0903, 01.10.2007)

JEL: F31, G14

Predicting Sharp Depreciations in Industrial Country Exchange Rates

Board of Governors of the Federal Reserve System International Financial Discussion Papers [View] (Paper: 0881, 04.03.2007)

JEL: C22, F31

Rounding and the Impact of News: A Simple Test of Market Rationality

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2007-05, 01.03.2007)

JEL: E44, G14

The U.S. Treasury Yield Curve: 1961 to the Present

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2006-28, 01.07.2006)

Forecasting Professional Forecasters

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2006-10, 01.04.2006)

JEL: C22, C53

The Yield Curve and Predicting Recessions

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2006-07, 01.04.2006)

JEL: C22, E37, E43

An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2005-33, 06.09.2005)

JEL: E43

Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data

Board of Governors of the Federal Reserve System International Financial Discussion Papers [View] (Paper: 0830, 01.05.2005)

JEL: F31, G14

The High-Frequency Effects of U.S. Macroeconomic Data Releases on Prices and Trading Activity in the Global Interdealer Foreign Exchange Market

Board of Governors of the Federal Reserve System International Financial Discussion Papers [View] (Paper: 0823, 01.12.2004)

JEL: F31, G14

The Information Content of Forward and Futures Prices: Market Expectations and the Price of Risk

Board of Governors of the Federal Reserve System International Financial Discussion Papers [View] (Paper: 0808, 01.07.2004)

JEL: C22, E17, G12

The High-Frequency Response of Exchange Rates and Interest Rates to Macroeconomic Announcements

Board of Governors of the Federal Reserve System International Financial Discussion Papers [View] (Paper: 0784, 01.11.2003)

JEL: C22, F31

Bayesian Model Averaging and Exchange Rate Forecasts

Board of Governors of the Federal Reserve System International Financial Discussion Papers [View] (Paper: 0779, 01.10.2003)

JEL: C32, C53, F31

Forecasting U.S. Inflation by Bayesian Model Averaging

Board of Governors of the Federal Reserve System International Financial Discussion Papers [View] (Paper: 0780, 01.10.2003)

JEL: C32, C53, E31, E37

Uncovered Interest Parity: It Works, But Not For Long

Board of Governors of the Federal Reserve System International Financial Discussion Papers [View] (Paper: 0752, 01.01.2003)

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