• Publications
  • Influence
Testing for Common Features
This paper introduces a class of statistical tests for the hypothesis that some feature of a data set is common to several variables. A feature is detected in a single series by a hypothesis testExpand
  • 634
  • 96
Shifting endpoints in the term structure of interest rates
This paper links the term structure to perceptions of monetary policy. Long-horizon forecasts of short rates needed in empirical term structure models are heavily influenced by the endpoints, orExpand
  • 374
  • 33
How useful are Taylor rules for monetary policy
Over the past several years, Taylor rules have attracted increased attention of analysts, policymakers, and the financial press. Taylor rules recommend a setting for the level of the federal fundsExpand
  • 197
  • 24
  • Open Access
Estimating Equilibrium Real Interest Rates in Real-Time
We use a range of simple models and 22 years of real-time data vintages for the U.S. to assess the difficulties of estimating the equilibrium real interest rate in real time. Model specificationsExpand
  • 148
  • 18
  • Open Access
Testing for Common Features: Reply
  • 160
  • 16
Effective Use of Survey Information in Estimating the Evolution of Expected Inflation
The evolution of the term structure of expected U.S. inflation is modeled using survey data to provide timely information on structural change not contained in lagged inflation data. To captureExpand
  • 69
  • 12
Predicting real growth and inflation with the yield spread
Analysts often use financial variables to help predict real activity and inflation. One of the most popular of these variables is the spread between yields on long-term and short-term governmentExpand
  • 147
  • 10
  • Open Access
Permanent and transitory policy shocks in an empirical macro model with asymmetric information
Abstract An empirical model that allows for shifts in the inflation target and imperfect policy credibility is estimated. Imperfect credibility, defined by differences between the perceived andExpand
  • 51
  • 8
Permanent and Transitory Policy Shocks in an Empirical Macro Model with Asymmetric Information
Despite a large literature documenting that the efficacy of monetary policy depends on how inflation expectations are anchored, many monetary policy models assume: (1) the inflation target ofExpand
  • 82
  • 7
  • Open Access
Term structure views of monetary policy under alternative models of agent expectations
Abstract Term structure models and many descriptions of the transmission of monetary policy rest on the empirical relevance of the expectations hypothesis. Small differences in the perceived policyExpand
  • 103
  • 6
  • Open Access