Jens H. E. Christensen - Central Bank Research Hub

Papers by year: All | 2017 | 2016 | 2014 | 2013 | 2012 | 2011 | 2009 | 2008 | 2007

Title Other author(s)

Term Structure Analysis with Big Data

San Francisco Fed Working Papers [View] (Paper: 2017-21, 15.09.2017)

JEL: C55, C58, G12, G17

Is There an On-the-Run Premium in TIPS?

San Francisco Fed Working Papers [View] (Paper: 2017-10, 31.05.2017)

JEL: E43, E47, G12, G13

The TIPS Liquidity Premium

San Francisco Fed Working Papers [View] (Paper: 2017-11, 19.05.2017)

JEL: E43, E47, G12, G13

A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt

San Francisco Fed Working Papers [View] (Paper: 2017-07, 29.03.2017)

JEL: C32, E43, E52, G12

A Portfolio Model of Quantitative Easing

Swiss National Bank Working Papers [View] (Paper: 2016-19, 23.12.2016)

JEL: E43, E50, E52, E58, G11

A Portfolio Model of Quantitative Easing

San Francisco Fed Working Papers [View] (Paper: 2016-12, 19.09.2016)

JEL: E43, E50, E52, E58, G11

Swiss Unconventional Monetary Policy: Lessons for the Transmission of Quantitative Easing

San Francisco Fed Working Papers [View] (Paper: 2014-18, 30.07.2014)

JEL: E43, E52, E58, G12

Can Spanned Term Structure Factors Drive Stochastic Yield Volatility?

San Francisco Fed Working Papers [View] (Paper: 2014-03, 24.01.2014)

Does Quantitative Easing Affect Market Liquidity?

San Francisco Fed Working Papers [View] (Paper: 2013-26, 14.09.2013)

Does Quantitative Easing Affect Market Liquidity?

San Francisco Fed Working Papers [View] (Paper: 2013-26, 14.09.2013)

Extracting Deflation Probability Forecasts from Treasurey Yields

IJCB International Journal of Central Banking [View] (Paper: 12q4a2, 30.11.2012)

Pricing Deflation Risk with U.S. Treasury Yields

San Francisco Fed Working Papers [View] (Paper: 2012-07, 30.05.2012)

JEL: E43, E47, G12, G13

The Response of Interest Rates to U.S. and U.K. Quantitative Easing

San Francisco Fed Working Papers [View] (Paper: 2012-06, 24.05.2012)

JEL: E43, E52, E58

A Model-Independent Maximum Range for the Liquidity Correction of TIPS Yields

San Francisco Fed Working Papers [View] (Paper: 2011-16, 23.06.2011)

Extracting Deflation Probability Forecasts from Treasury Yields

San Francisco Fed Working Papers [View] (Paper: 2011-10, 26.02.2011)

Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?

San Francisco Fed Working Papers [View] (Paper: 2009-13, 09.06.2009)

Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields

San Francisco Fed Working Papers [View] (Paper: 2008-34, 18.12.2008)

An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model

San Francisco Fed Working Papers [View] (Paper: 2008-07, 04.06.2008)

The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models

San Francisco Fed Working Papers [View] (Paper: 2007-20, 13.09.2007)

Papers by year: All | 2017 | 2016 | 2014 | 2013 | 2012 | 2011 | 2009 | 2008 | 2007