This paper proposes a shadow rate no-arbitrage dynamic term structure model (SDTSM) with drifting trends to estimate the long-run trend of the real interest rate using yield curve data from the U.S., …
PublishedJournal of Political EconomyOnline 2 Apr 2026Published Aug 2026
The paper develops an asset demand system to analyze, jointly and across all countries, how international portfolio holdings and flows, exchange rates, short-term rates, long-term yields, and equity …
Solving a Ramsey model of optimal fiscal and monetary policy in which the government can finance itself only with non-contingent nominal bonds of various maturities, this paper finds that optimal …
PublishedClassicFederal Reserve Bank of Richmond Economic QuarterlyPublished Jan 1993
Using the 30-year bond rate as a real-time signal of the public's long-run inflation expectations, this narrative study of Fed federal funds rate policy from 1979 to 1992 argues that the central …
Online FirstJournal of Money, Credit and BankingOnline 23 Jun 2026
The paper introduces the concept of "passive quantitative easing" (passive QE): a deliberate reduction in government debt issuance that lowers anticipated future bond supply and reduces long-term …
Online FirstJournal of Money, Credit and BankingOnline 29 Jul 2026
Drawing on the recent experience of seven advanced-economy central banks, this paper offers the first cross-country assessment of quantitative tightening (QT) — the unwinding of bond holdings …
Estimated Taylor-type policy rules typically find the Fed adjusts the funds rate only 20-30 percent of the way to its desired level each quarter, widely read as deliberate "interest rate smoothing" -- …
PublishedClassicInternational Journal of Central BankingPublished Mar 2013
This 2013 International Journal of Central Banking paper by Canlin Li and Min Wei asks whether changes in the supply of Treasury securities and agency mortgage-backed securities (MBS) affect nominal …
PublishedClassicBrookings Papers on Economic ActivityPublished Sep 2011
This 2011 Brookings Papers on Economic Activity paper by Arvind Krishnamurthy and Annette Vissing-Jorgensen evaluates the effect of the Federal Reserve's large-scale purchases of long-term Treasuries …
This 2012 Economic Journal paper estimates how the Federal Reserve's large-scale asset purchase programmes of 2008-2011 lowered longer-term US Treasury yields, disaggregating the total effect within a …
PublishedClassicJournal of Money, Credit and BankingPublished Jun 2004
Demiralp and Jorda argue that since the Fed began publicly announcing its Federal funds rate target in 1994, it has manipulated short-term rates through a Pavlovian "announcement effect" -- moral …
PublishedClassicJournal of Business & Economic StatisticsPublished Jan 1989
Using band-pass spectral filters on weekly U.S. data from the Federal Reserve's 1979-82 nonborrowed-reserve-targeting period, Cochrane finds a negative short-run correlation between money growth and …
This 2005 American Economic Review paper by Refet Gürkaynak, Brian Sack, and Eric Swanson asks whether long-term forward interest rates respond to daily macroeconomic and monetary-policy news, a …