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The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach
We estimate a model that summarizes the yield curve using latent factors (specifically, level, slope, and curvature) and also includes observable macroeconomic variables (specifically, real activity,Expand
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Policy Rules for Inflation Targeting
Policy rules that are consistent with inflation targeting are examined in a small macroeconomic model of the US economy. We compare the properties and outcomes of explicit instrument rules' as wellExpand
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The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models
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 ofExpand
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Taylor's rule and the Fed, 1970-1997
This paper estimates a simple model of the Federal Reserve's "reaction function" - that is, the relationship between economic developments and the fed's response to them. We focus on how thisExpand
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Term Structure Evidence on Interest Rate Smoothing and Monetary Policy Inertia
Numerous studies have used quarterly data to estimate monetary policy rules or reaction functions that appear to exhibit a very slow partial adjustment of the policy interest rate. The conventionalExpand
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Do Measures of Monetary Policy in a VAR Make Sense
No. In many VARs, monetary policy shocks are identified with the least squares residuals from a regression of the federal funds rate on an assortment of variables. Such regressions appear to beExpand
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The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks
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 measuresExpand
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Is the Fed Too Timid? Monetary Policy in an Uncertain World
Estimates of the Taylor rule using historical data from the past decade or two suggest that monetary policy in the U.S. can be characterized as having reacted in a moderate fashion to output andExpand
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Assessing Nominal Income Rules for Monetary Policy with Model and Data Uncertainty
Nominal income rules for monetary policy have long been debated, but two issues are of particular recent interest. First, there are questions about the performance of such rules over a range ofExpand
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