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Richard K. Crump

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2013. "Pricing the term structure with linear regressions," Journal of Financial Economics, Elsevier, vol. 110(1), pages 110-138.

    Mentioned in:

    1. All bark but no bite? What does the yield curve tell us about growth?
      by BankUnderground in Bank Underground on 2019-06-04 08:00:14

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Richard Crump & Gopi Shah Goda & Kevin J. Mumford, 2011. "Fertility and the Personal Exemption: Comment," American Economic Review, American Economic Association, vol. 101(4), pages 1616-1628, June.

    Mentioned in:

    1. Fertility and the Personal Exemption: Comment (AER 2011) in ReplicationWiki ()

Working papers

  1. Richard K. Crump & Stefano Eusepi & Marc Giannoni & Aysegul Sahin, 2024. "The Unemployment-Inflation Trade-off Revisited: The Phillips Curve in COVID Times," Staff Reports 1086, Federal Reserve Bank of New York.

    Cited by:

    1. Knut Are Aastveit & Hilde C. Bjørnland & Jamie L. Cross & Helene Olsen, 2024. "Unveiling inflation: Oil Shocks, Supply Chain Pressures, and Expectations," Working Papers No 05/2024, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    2. Hie Joo Ahn & Jeremy B. Rudd, 2024. "(Re-)Connecting Inflation and the Labor Market: A Tale of Two Curves," Finance and Economics Discussion Series 2024-050, Board of Governors of the Federal Reserve System (U.S.).
    3. Randal J. Verbrugge & Saeed Zaman, 2023. "The Hard Road to a Soft Landing: Evidence from a (Modestly) Nonlinear Structural Model," Working Papers 23-03, Federal Reserve Bank of Cleveland.
    4. Smith, Simon & Timmermann, Allan & Wright, Jonathan, 2023. "Breaks in the Phillips Curve: Evidence from Panel Data," CEPR Discussion Papers 18033, C.E.P.R. Discussion Papers.
    5. Faberman, R. Jason & Mueller, Andreas I. & Şahin, Ayşegül, 2022. "Has the Willingness to Work Fallen during the Covid Pandemic?," Labour Economics, Elsevier, vol. 79(C).
    6. Gadi Barlevy & R. Jason Faberman & Bart Hobijn & Ayşegül Şahin, 2024. "The Shifting Reasons for Beveridge Curve Shifts," Journal of Economic Perspectives, American Economic Association, vol. 38(2), pages 83-106, Spring.
    7. Miguel Ampudia & Marco Jacopo Lombardi & Théodore Renault, 2024. "The wage-price pass-through across sectors: evidence from the euro area," BIS Working Papers 1192, Bank for International Settlements.
    8. Kakuho Furukawa & Yoshihiko Hogen & Yosuke Kido, "undated". "Labor Market of Regular Workers in Japan: A Perspective from Job Advertisement Data," Bank of Japan Working Paper Series 23-E-7, Bank of Japan.
    9. Ángel Ubide, 2022. "The Inflation Surge of 2021–22: Scarcity of Goods and Commodities, Strong Labor Markets and Anchored Inflation Expectations," Intereconomics: Review of European Economic Policy, Springer;ZBW - Leibniz Information Centre for Economics;Centre for European Policy Studies (CEPS), vol. 57(2), pages 93-98, March.

  2. Richard K. Crump & Nikolay Gospodinov & Ignacio Lopez Gaffney, 2024. "A Jackknife Variance Estimator for Panel Regressions," Staff Reports 1133, Federal Reserve Bank of New York.

    Cited by:

    1. Richard K. Crump & Nikolay Gospodinov & Ignacio Lopez Gaffney, 2024. "A Simple Diagnostic for Time-Series and Panel-Data Regressions," Staff Reports 1132, Federal Reserve Bank of New York.

  3. Nina Boyarchenko & Richard K. Crump & Anna Kovner & Or Shachar, 2021. "Corporate Bond Market Distress," Staff Reports 957, Federal Reserve Bank of New York.

    Cited by:

    1. Boyarchenko, Nina & Kovner, Anna & Shachar, Or, 2022. "It’s what you say and what you buy: A holistic evaluation of the corporate credit facilities," Journal of Financial Economics, Elsevier, vol. 144(3), pages 695-731.
    2. Nina Boyarchenko & Caren Cox & Richard K. Crump & Andrew Danzig & Anna Kovner & Or Shachar & Patrick Steiner, 2021. "COVID Response: The Primary and Secondary Corporate Credit Facilities," Staff Reports 986, Federal Reserve Bank of New York.

  4. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021. "The Term Structure of Expectations," Staff Reports 992, Federal Reserve Bank of New York.

    Cited by:

    1. Schmeling, Maik & Schrimpf, Andreas & Steffensen, Sigurd A.M., 2022. "Monetary policy expectation errors," Journal of Financial Economics, Elsevier, vol. 146(3), pages 841-858.
    2. McNeil, James, 2023. "Monetary policy and the term structure of inflation expectations with information frictions," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).

  5. Richard K. Crump & Stefano Eusepi & Domenico Giannone & Eric Qian & Argia M. Sbordone, 2021. "A Large Bayesian VAR of the United States Economy," Staff Reports 976, Federal Reserve Bank of New York.

    Cited by:

    1. William Ginn, 2024. "Agricultural fluctuations and global economic conditions," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 160(3), pages 1037-1056, August.
    2. Lenza, Michele & Cimadomo, Jacopo & Giannone, Domenico & Monti, Francesca & Sokol, Andrej, 2021. "Nowcasting with Large Bayesian Vector Autoregressions," CEPR Discussion Papers 15854, C.E.P.R. Discussion Papers.
    3. Anna Sznajderska & Alfred A. Haug, 2023. "Bayesian VARs of the U.S. economy before and during the pandemic," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(2), pages 211-236, June.
    4. Addie, Ron & Taranto, Aldo, 2024. "Economic Similarities and their Application to Inflation," EconStor Preprints 283286, ZBW - Leibniz Information Centre for Economics.

  6. Nina Boyarchenko & Richard K. Crump & Anna Kovner & Deborah Leonard, 2021. "COVID Response: The Commercial Paper Funding Facility," Staff Reports 982, Federal Reserve Bank of New York.

    Cited by:

    1. Metrick, Andrew, 2022. "Market Support Programs: COVID-19 Crisis," Journal of Financial Crises, Yale Program on Financial Stability (YPFS), vol. 4(2), pages 179-219, April.
    2. Jean Barthélémy & Paul Gardin & Benoit Nguyen, 2023. "Stablecoins and the Financing of the Real Economy," Working papers 908, Banque de France.
    3. Matteo Aquilina & Andreas Schrimpf & Karamfil Todorov, 2023. "CP and CDs markets: a primer," BIS Quarterly Review, Bank for International Settlements, September.

  7. Nina Boyarchenko & Caren Cox & Richard K. Crump & Andrew Danzig & Anna Kovner & Or Shachar & Patrick Steiner, 2021. "COVID Response: The Primary and Secondary Corporate Credit Facilities," Staff Reports 986, Federal Reserve Bank of New York.

    Cited by:

    1. Boyarchenko, Nina & Kovner, Anna & Shachar, Or, 2022. "It’s what you say and what you buy: A holistic evaluation of the corporate credit facilities," Journal of Financial Economics, Elsevier, vol. 144(3), pages 695-731.

  8. Nina Boyarchenko & Richard K. Crump & Anna Kovner & Or Shachar & Peter Van Tassel, 2020. "The Primary and Secondary Market Corporate Credit Facilities," Liberty Street Economics 20200526a, Federal Reserve Bank of New York.

    Cited by:

    1. Nina Boyarchenko & Caren Cox & Richard K. Crump & Andrew Danzig & Anna Kovner & Or Shachar & Patrick Steiner, 2022. "The Primary and Secondary Corporate Credit Facilities," Economic Policy Review, Federal Reserve Bank of New York, vol. 28(1), July.
    2. Larry D. Wall, 2021. "So Far, So Good: Government Insurance of Financial Sector Tail Risk," Policy Hub, Federal Reserve Bank of Atlanta, vol. 2021(13), November.
    3. Mahdi Ebsim & Miguel Faria-e-Castro & Julian Kozlowski, 2020. "Credit and Liquidity Policies during Large Crises," Working Papers 2020-035, Federal Reserve Bank of St. Louis, revised 22 Feb 2024.
    4. Nina Boyarchenko & Caren Cox & Richard K. Crump & Andrew Danzig & Anna Kovner & Or Shachar & Patrick Steiner, 2021. "COVID Response: The Primary and Secondary Corporate Credit Facilities," Staff Reports 986, Federal Reserve Bank of New York.

  9. Cao, Shuo & Crump, Richard K. & ,, 2020. "Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates," CEPR Discussion Papers 15122, C.E.P.R. Discussion Papers.

    Cited by:

    1. Kenneth J. Singleton, 2021. "Presidential Address: How Much “Rationality” Is There in Bond‐Market Risk Premiums?," Journal of Finance, American Finance Association, vol. 76(4), pages 1611-1654, August.
    2. Marco Giacoletti & Kristoffer T. Laursen & Kenneth J. Singleton, 2021. "Learning From Disagreement in the U.S. Treasury Bond Market," Journal of Finance, American Finance Association, vol. 76(1), pages 395-441, February.
    3. Maryam Movahedifar & Hossein Hassani & Masoud Yarmohammadi & Mahdi Kalantari & Rangan Gupta, 2021. "A robust approach for outlier imputation: Singular Spectrum Decomposition," Working Papers 202164, University of Pretoria, Department of Economics.
    4. Christiane Baumeister, 2021. "Measuring Market Expectations," Working Papers 202163, University of Pretoria, Department of Economics.
    5. Ricardo Reis, 2020. "The People versus the Markets: A Parsimonious Model of Inflation Expectations," Discussion Papers 2033, Centre for Macroeconomics (CFM).

  10. Richard K. Crump & Christopher J. Nekarda & Nicolas Petrosky-Nadeau, 2020. "Unemployment Rate Benchmarks," Finance and Economics Discussion Series 2020-072, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. D’Amuri, Francesco & De Philippis, Marta & Guglielminetti, Elisa & Lo Bello, Salvatore, 2022. "Slack and prices during Covid-19: Accounting for labor market participation," Labour Economics, Elsevier, vol. 75(C).

  11. Giannoni, Marc & Crump, Richard K. & Eusepi, Stefano & Sahin, Aysegul, 2019. "A Unified Approach to Measuring u," CEPR Discussion Papers 13939, C.E.P.R. Discussion Papers.

    Cited by:

    1. Janice C. Eberly & James H. Stock & Jonathan H. Wright, 2020. "The Federal Reserve's Current Framework for Monetary Policy: A Review and Assessment," International Journal of Central Banking, International Journal of Central Banking, vol. 16(1), pages 5-71, February.
    2. Francesco D'Amuri & Marta De Philippis & Elisa Guglielminetti & Salvatore Lo Bello, 2021. "Natural unemployment and activity rates: flow-based determinants and implications for price dynamics," Questioni di Economia e Finanza (Occasional Papers) 599, Bank of Italy, Economic Research and International Relations Area.
    3. William Chen & Marco Del Negro & Michele Lenza & Giorgio E. Primiceri & Andrea Tambalotti, 2020. "What’s Up with the Phillips Curve?," Liberty Street Economics 20200918a, Federal Reserve Bank of New York.
    4. Sebastian Heise & Fatih Karahan & Ayşegül Şahin, 2022. "The Missing Inflation Puzzle: The Role of the Wage‐Price Pass‐Through," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(S1), pages 7-51, February.
    5. Hie Joo Ahn & Bart Hobijn & Ayşegül Şahin, 2023. "The Dual U.S. Labor Market Uncovered," Working Paper Series WP 2023-18, Federal Reserve Bank of Chicago.
    6. Kurt Graden Lunsford, 2020. "Recessions and the Trend in the US Unemployment Rate," Economic Commentary, Federal Reserve Bank of Cleveland, vol. 2021(01), pages 1-8, February.
    7. Xin Scott Chen & Ali Jaffery & Guillaume Nolin & Karim Salhab & Peter Shannon & Subrata Sarker, 2020. "Assessing Global Potential Output Growth: October 2020," Discussion Papers 2020-10, Bank of Canada.
    8. Peter D. Williams & Mr. Yasser Abdih & Emanuel Kopp, 2020. "Reading the Stars," IMF Working Papers 2020/136, International Monetary Fund.
    9. Crump, Richard K. & Eusepi, Stefano & Giannoni, Marc & Şahin, Ayşegül, 2024. "The unemployment–inflation trade-off revisited: The Phillips curve in COVID times," Journal of Monetary Economics, Elsevier, vol. 145(S).
    10. Fatih Karahan & Benjamin Pugsley & Ayşegül Şahin, 2019. "Demographic origins of the startup deficit," Staff Reports 888, Federal Reserve Bank of New York.
    11. Violante, Giovanni & Mongey, Simon, 2019. "Macro Recruiting Intensity from Micro Data," CEPR Discussion Papers 14004, C.E.P.R. Discussion Papers.
    12. Hall, Robert E. & Kudlyak, Marianna, 2022. "The Inexorable Recoveries of Unemployment," IZA Discussion Papers 15135, Institute of Labor Economics (IZA).
    13. Bruce Fallick & Pawel Krolikowski, 2019. "Excess Persistence in Employment of Disadvantaged Workers," Working Papers 18-01R, Federal Reserve Bank of Cleveland.
    14. D’Amuri, Francesco & De Philippis, Marta & Guglielminetti, Elisa & Lo Bello, Salvatore, 2022. "Slack and prices during Covid-19: Accounting for labor market participation," Labour Economics, Elsevier, vol. 75(C).
    15. Richard K. Crump & Christopher J. Nekarda & Nicolas Petrosky-Nadeau, 2020. "Unemployment Rate Benchmarks," Finance and Economics Discussion Series 2020-072, Board of Governors of the Federal Reserve System (U.S.).
    16. Murasawa, Yasutomo, 2019. "Bayesian multivariate Beveridge--Nelson decomposition of I(1) and I(2) series with cointegration," MPRA Paper 91979, University Library of Munich, Germany.
    17. Kurt Graden Lunsford, 2023. "Business Cycles and Low-Frequency Fluctuations in the US Unemployment Rate," Working Papers 23-19, Federal Reserve Bank of Cleveland.
    18. Christopher D. Cotton & Vaishali Garga, 2022. "The Role of Industrial Composition in Driving the Frequency of Price Change," Working Papers 22-9, Federal Reserve Bank of Boston.
    19. Sengul, Gonul & Tasci, Murat, 2020. "Unemployment flows, participation, and the natural rate of unemployment: Evidence from turkey," Journal of Macroeconomics, Elsevier, vol. 64(C).
    20. Bruce Fallick & Christopher L. Foote, 2022. "The Impact of the Age Distribution on Unemployment: Evidence from US States," Working Papers 22-27, Federal Reserve Bank of Cleveland.
    21. Canova, Fabio, 2020. "FAQ: How do I measure the Output gap?," CEPR Discussion Papers 14943, C.E.P.R. Discussion Papers.
    22. Artem Vdovychenko, 2022. "Estimating the natural rate of unemployment for Ukraine," IHEID Working Papers 21-2022, Economics Section, The Graduate Institute of International Studies.
    23. Michaillat, Pascal & Saez, Emmanuel, 2019. "Beveridgean Unemployment Gap," CEPR Discussion Papers 14132, C.E.P.R. Discussion Papers.
    24. Mary C. Daly, 2022. "This Time Is Different…Because We Are," Speech 93772, Federal Reserve Bank of San Francisco.
    25. Serdar Birinci & Kurt See & Shu Lin Wee, 2020. "Job Applications and Labor Market Flows," Working Papers 2020-023, Federal Reserve Bank of St. Louis, revised Jan 2023.
    26. Richard K. Crump & Nikolay Gospodinov & Hunter Wieman, 2023. "Sparse Trend Estimation," Staff Reports 1049, Federal Reserve Bank of New York.
    27. Burger, John D. & Warnock, Francis E. & Warnock, Veronica Cacdac, 2022. "A natural level of capital flows," Journal of Monetary Economics, Elsevier, vol. 130(C), pages 1-16.
    28. Alexander Doser & Ricardo Nunes & Nikhil Rao & Viacheslav Sheremirov, 2023. "Inflation expectations and nonlinearities in the Phillips curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 453-471, June.
    29. Brand, Claus & Obstbaum, Meri & Coenen, Günter & Sondermann, David & Lydon, Reamonn & Ajevskis, Viktors & Hammermann, Felix & Angino, Siria & Hernborg, Nils & Basso, Henrique & Hertweck, Matthias & Bi, 2021. "Employment and the conduct of monetary policy in the euro area," Occasional Paper Series 275, European Central Bank.
    30. Ahn, Hie Joo, 2023. "Duration structure of unemployment hazards and the trend unemployment rate," Journal of Economic Dynamics and Control, Elsevier, vol. 151(C).
    31. James McNeil & Gregor W. Smith, 2023. "The All‐Gap Phillips Curve," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(2), pages 269-282, April.
    32. Ayşegül Şahin & Murat Tasci & Jin Yan, 2021. "Unemployment in the Time of COVID-19: A Flow-Based Approach to Real-time Unemployment Projections," Working Papers 21-25, Federal Reserve Bank of Cleveland.
    33. Venkata Raamasrinivas Mangapuram, 2022. "A Constant Gain Learning Explanation of U.S. Post War Inflation and Unemployment," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(3), pages 701-721, September.
    34. R. Jason Faberman & Andreas I. Mueller & Ayşegül Şahin* & Giorgio Topa, 2020. "The Shadow Margins of Labor Market Slack," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(S2), pages 355-391, December.
    35. Acharya, Sushant & Wee, Shu Lin, 2020. "On-the-job Search and the Productivity-Wage Gap," CEPR Discussion Papers 14430, C.E.P.R. Discussion Papers.
    36. James H. Stock & Mark W. Watson, 2020. "Slack and Cyclically Sensitive Inflation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(S2), pages 393-428, December.
    37. Ayşegül Şahin & Murat Tasci, 2020. "The Unemployment Cost of COVID-19: How High and How Long?," Economic Commentary, Federal Reserve Bank of Cleveland, vol. 2020(09), May.
    38. Bart Hobijn & Ayşegül Şahin, 2021. "Maximum Employment and the Participation Cycle," NBER Working Papers 29222, National Bureau of Economic Research, Inc.
    39. Ayşegül Şahin, 2021. "Comment on "Why Has the US Economy Recovered So Consistently from Every Recession in the Past 70 Years?"," NBER Chapters, in: NBER Macroeconomics Annual 2021, volume 36, pages 68-79, National Bureau of Economic Research, Inc.
    40. Canova, Fabio, 2020. "FAQ: How do I extract the output gap?," Working Paper Series 386, Sveriges Riksbank (Central Bank of Sweden).
    41. Saeed Zaman, 2021. "A Unified Framework to Estimate Macroeconomic Stars," Working Papers 21-23R2, Federal Reserve Bank of Cleveland, revised 31 May 2024.

  12. Richard K. Crump & Nikolay Gospodinov, 2019. "Deconstructing the yield curve," Staff Reports 884, Federal Reserve Bank of New York.

    Cited by:

    1. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.

  13. Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Yingjie Feng, 2019. "Binscatter Regressions," Papers 1902.09615, arXiv.org, revised Jul 2024.

    Cited by:

    1. Stefano Eusepi & Giorgio Topa & Andrea Tambalotti & Richard Crump, 2016. "Subjective Intertemporal Substitution," 2016 Meeting Papers 83, Society for Economic Dynamics.
    2. Evan Starr & Brent Goldfarb, 2020. "Binned scatterplots: A simple tool to make research easier and better," Strategic Management Journal, Wiley Blackwell, vol. 41(12), pages 2261-2274, December.
    3. Raphael Brade, 2024. "Short-Term Events, Long-Term Friends? Freshman Orientation Peers and Academic Performance," CESifo Working Paper Series 11046, CESifo.

  14. Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Ernst Schaumburg, 2018. "Characteristic-Sorted Portfolios: Estimation and Inference," Papers 1809.03584, arXiv.org, revised Oct 2019.

    Cited by:

    1. Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Yingjie Feng, 2019. "On binscatter," Staff Reports 881, Federal Reserve Bank of New York.
    2. Matias Cattaneo & Richard K. Crump & Weining Wang, 2024. "Beta-sorted portfolios," CeMMAP working papers 20/24, Institute for Fiscal Studies.
    3. Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2020. "Dissecting Characteristics Nonparametrically," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2326-2377.
    4. Jianyuan Zhong & Zhijian Xu & Saizhuo Wang & Xiangyu Wen & Jian Guo & Qiang Xu, 2024. "DSPO: An End-to-End Framework for Direct Sorted Portfolio Construction," Papers 2405.15833, arXiv.org.
    5. Ni, Xuanming & Zheng, Tiantian & Zhao, Huimin & Zhu, Shushang, 2023. "High-dimensional portfolio optimization based on tree-structured factor model," Pacific-Basin Finance Journal, Elsevier, vol. 81(C).
    6. Chaieb, Ines & Langlois, Hugues & Scaillet, Olivier, 2021. "Factors and risk premia in individual international stock returns," Journal of Financial Economics, Elsevier, vol. 141(2), pages 669-692.
    7. Guillaume Coqueret, 2022. "Characteristics-driven returns in equilibrium," Papers 2203.07865, arXiv.org.
    8. Matias D. Cattaneo & Max H. Farrell & Yingjie Feng, 2018. "Large Sample Properties of Partitioning-Based Series Estimators," Papers 1804.04916, arXiv.org, revised Jun 2019.
    9. Christophe J. GODLEWSKI & Katarzyna BYRKA-KITA & Renata GOLA & Jacek CYPRYJANSKI, 2022. "Silence is not golden anymore? Social media activity and stock market valuation in Europe," Working Papers of LaRGE Research Center 2022-04, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
    10. Yu, Xiufan & Yao, Jiawei & Xue, Lingzhou, 2024. "Power enhancement for testing multi-factor asset pricing models via Fisher’s method," Journal of Econometrics, Elsevier, vol. 239(2).
    11. Kim, Junyong, 2024. "Zoom in on momentum," International Review of Financial Analysis, Elsevier, vol. 94(C).

  15. Richard K. Crump & Domenico Giannone & Sean Hundtofte, 2018. "Changing Risk-Return Profiles," Liberty Street Economics 20181004, Federal Reserve Bank of New York.

    Cited by:

    1. Richard K. Crump & João A. C. Santos, 2018. "Review of New York Fed studies on the effects of post-crisis banking reforms," Economic Policy Review, Federal Reserve Bank of New York, issue 24-2, pages 71-90.
    2. Busetto, Filippo, 2024. "Asymmetric expectations of monetary policy," Bank of England working papers 1058, Bank of England.
    3. Nina Boyarchenko & Domenico Giannone & Or Shachar, 2018. "Flighty liquidity," Staff Reports 870, Federal Reserve Bank of New York.
    4. Martina Hengge, 2019. "Uncertainty as a Predictor of Economic Activity," IHEID Working Papers 19-2019, Economics Section, The Graduate Institute of International Studies.

  16. Richard K. Crump & Stefano Eusepi, 2016. "Fundamental Disagreement: How Much and Why?," Liberty Street Economics 20160113, Federal Reserve Bank of New York.

    Cited by:

    1. Park, Sunjin, 2022. "Heterogeneous beliefs in macroeconomic growth prospects and the carry risk premium," Journal of Banking & Finance, Elsevier, vol. 136(C).
    2. Kajal Lahiri & Huaming Peng & Xuguang Simon Sheng, 2021. "Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity," Working Papers 2021-005, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    3. Michael D. Bauer & Carolin Pflueger & Adi Sunderam, 2023. "Perceptions about Monetary Policy," Working Paper Series 2023-31, Federal Reserve Bank of San Francisco.
    4. Glas, Alexander & Heinisch, Katja, 2021. "Conditional macroeconomic forecasts: Disagreement, revisions and forecast errors," IWH Discussion Papers 7/2021, Halle Institute for Economic Research (IWH).
    5. Yoosoon Chang & Fabio Gómez-Rodríguez & Mr. Gee Hee Hong, 2022. "The Effects of Economic Shocks on Heterogeneous Inflation Expectations," IMF Working Papers 2022/132, International Monetary Fund.
    6. Stefano Eusepi & Giorgio Topa & Andrea Tambalotti & Richard Crump, 2016. "Subjective Intertemporal Substitution," 2016 Meeting Papers 83, Society for Economic Dynamics.
    7. Bartosz Maćkowiak & Filip Matějka & Mirko Wiederholt, 2023. "Rational Inattention: A Review," SciencePo Working papers Main hal-03878692, HAL.
    8. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021. "The Term Structure of Expectations," Staff Reports 992, Federal Reserve Bank of New York.
    9. Tsiaplias, Sarantis, 2020. "Time-Varying Consumer Disagreement and Future Inflation," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
    10. Cao, Shuo & Crump, Richard K. & ,, 2020. "Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates," CEPR Discussion Papers 15122, C.E.P.R. Discussion Papers.
    11. Sebastian Link & Andreas Peichl & Christopher Roth & Johannes Wohlfart, 2024. "Attention to the Macroeconomy," CEBI working paper series 23-09, University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI).
    12. Lien, Donald & Sun, Yuchen & Zhang, Chengsi, 2021. "Uncertainty, confidence, and monetary policy in China," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1347-1358.
    13. Ou, Shengliang & Zhang, Donghai & Zhang, Renbin, 2021. "Information frictions, monetary policy, and the paradox of price flexibility," Journal of Monetary Economics, Elsevier, vol. 120(C), pages 70-82.
    14. Chini, Emilio Zanetti, 2023. "Can we estimate macroforecasters’ mis-behavior?," Journal of Economic Dynamics and Control, Elsevier, vol. 149(C).
    15. Ehrmann, Michael & Hubert, Paul, 2023. "Information acquisition ahead of monetary policy announcements," Working Paper Series 2770, European Central Bank.
    16. Stephen J. Cole & Fabio Milani, 2020. "Heterogeneity in Individual Expectations, Sentiment, and Constant-Gain Learning," Working Papers 192005, University of California-Irvine, Department of Economics.
    17. Camille Cornand & Paul Hubert, 2021. "Information frictions in inflation expectations among five types of economic agents," SciencePo Working papers Main halshs-03351632, HAL.
    18. Alessandro Barbera & Dora Xia & Sonya Zhu, 2023. "The term structure of inflation forecasts disagreement and monetary policy transmission," BIS Working Papers 1114, Bank for International Settlements.
    19. Nathan Goldstein & Ben‐Zion Zilberfarb, 2023. "The closer we get, the better we are?," Economic Inquiry, Western Economic Association International, vol. 61(2), pages 364-376, April.
    20. Falck, E. & Hoffmann, M. & Hürtgen, P., 2021. "Disagreement about inflation expectations and monetary policy transmission," Journal of Monetary Economics, Elsevier, vol. 118(C), pages 15-31.
    21. Gabriel Caldas Montes & Igor Mendes Marcelino, 2023. "Uncertainties and disagreements in expectations of professional forecasters: Evidence from an inflation targeting developing country," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 937-956, July.
    22. Esady, Vania, 2022. "Real and nominal effects of monetary shocks under time-varying disagreement," Bank of England working papers 1007, Bank of England.
    23. An, Zidong & Zheng, Xinye, 2023. "Diligent forecasters can make accurate predictions despite disagreeing with the consensus," Economic Modelling, Elsevier, vol. 125(C).
    24. Glas, Alexander, 2020. "Five dimensions of the uncertainty–disagreement linkage," International Journal of Forecasting, Elsevier, vol. 36(2), pages 607-627.
    25. McNeil, James, 2023. "Monetary policy and the term structure of inflation expectations with information frictions," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
    26. Doina Chichernea & Kershen Huang & Alex Petkevich, 2019. "Does maturity matter? The case of treasury futures volume," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1301-1321, October.
    27. Benhima, Kenza & Poilly, Céline, 2021. "Does demand noise matter? Identification and implications," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 278-295.
    28. Czudaj, Robert L., 2022. "Heterogeneity of beliefs and information rigidity in the crude oil market: Evidence from survey data," European Economic Review, Elsevier, vol. 143(C).
    29. Kuang, Pei & Tang, Li & Zhang, Renbin & Zhang, Tongbin, 2022. "Forecast disagreement about long-run macroeconomic relationships," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 371-387.
    30. Li, Huijing & Li, Hong & Lu, Lei & Theocharides, George & Xiong, Xiong, 2020. "Macro disagreement and international options markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
    31. Cornand Camille & Hubert Paul, 2022. "Information Frictions Across Various Types of Inflation Expectations," Working papers 873, Banque de France.
    32. Zidong An & Salem Abo‐Zaid & Xuguang Simon Sheng, 2023. "Inattention and the impact of monetary policy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 623-643, June.
    33. Gabriel Caldas Montes & Paulo Henrique Lourenço Luna, 2022. "Do fiscal opacity, fiscal impulse, and fiscal credibility affect disagreement about economic growth forecasts? Empirical evidence from Brazil considering the period of political instability and presid," Review of Development Economics, Wiley Blackwell, vol. 26(4), pages 2356-2393, November.
    34. Yongchen Zhao, 2022. "Uncertainty and disagreement of inflation expectations: Evidence from household‐level qualitative survey responses," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 810-828, July.

  17. Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York.

    Cited by:

    1. Thomas M. Mertens & John C. Williams, 2020. "What to Expect from the Lower Bound on Interest Rates: Evidence from Derivatives Prices," Working Paper Series 2018-03, Federal Reserve Bank of San Francisco.
    2. Stefano Eusepi & Marc P. Giannoni & Bruce Preston, 2017. "Some implications of learning for price stability," CAMA Working Papers 2017-08, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    3. Kliem, Martin & Meyer-Gohde, Alexander, 2017. "(Un)expected Monetary Policy Shocks and Term Premia," SFB 649 Discussion Papers 2017-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Miranda-Agrippino, Silvia & Hacıoglu Hoke, Sinem, 2018. "When creativity strikes: news shocks and business cycle fluctuations," LSE Research Online Documents on Economics 90381, London School of Economics and Political Science, LSE Library.
    5. Marco Del Negro & Domenico Giannone & Marc P. Giannoni & Andrea Tambalotti, 2017. "Safety, Liquidity, and the Natural Rate of Interest," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 48(1 (Spring), pages 235-316.
    6. Michael D. Bauer & Glenn D. Rudebusch, 2017. "Interest Rates Under Falling Stars," CESifo Working Paper Series 6571, CESifo.
    7. Schupp, Fabian, 2020. "The (ir)relevance of the nominal lower bound for real yield curve analysis," Discussion Papers 32/2020, Deutsche Bundesbank.
    8. Ethan Struby, 2018. "Macroeconomic Disagreement in Treasury Yields," Working Papers 2018-04, Carleton College, Department of Economics.
    9. Michael Abrahams & Tobias Adrian & Richard K. Crump & Emanuel Moench, 2012. "Decomposing real and nominal yield curves," Staff Reports 570, Federal Reserve Bank of New York.
    10. Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018. "Global trends in interest rates," Staff Reports 866, Federal Reserve Bank of New York.
    11. NAKAJIMA, Jouchi, 2023. "Estimating trend inflation in a regime-switching Phillips curve," Discussion Paper Series 750, Institute of Economic Research, Hitotsubashi University.
    12. Lange, Ronald Henry, 2018. "The predictive content of the term premium for GDP growth in Canada: Evidence from linear, Markov-switching and probit estimations," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 80-91.
    13. Riccardo Rebonato, 2017. "Affine Models With Stochastic Market Price Of Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-38, June.
    14. Halberstadt, Arne, 2023. "Decomposing the yield curve with linear regressions and survey information," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 25-39.
    15. Nitschka, Thomas & Ramelet, Marc-Antoine, 2023. "Shock and awe? Bond yield responses to domestic monetary policy in a small-open economy," Economics Letters, Elsevier, vol. 231(C).
    16. Marta Banbura & Andries van Vlodrop, 2018. "Forecasting with Bayesian Vector Autoregressions with Time Variation in the Mean," Tinbergen Institute Discussion Papers 18-025/IV, Tinbergen Institute.

  18. Adrian, Tobias & Crump, Richard K. & Vogt, Erik, 2016. "Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds," CEPR Discussion Papers 11401, C.E.P.R. Discussion Papers.

    Cited by:

    1. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    2. Piergiorgio Alessandri & Antonio M. Conti & Fabrizio Venditti, 2016. "The Financial Stability Dark Side of Monetary Policy," BCAM Working Papers 1601, Birkbeck Centre for Applied Macroeconomics.
    3. Chen, Yu-Lun & Yang, J. Jimmy, 2021. "Trader positions in VIX futures," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 1-17.
    4. Umlandt, Dennis, 2023. "Score-driven asset pricing: Predicting time-varying risk premia based on cross-sectional model performance," Journal of Econometrics, Elsevier, vol. 237(2).
    5. Richard K. Crump & Miro Everaert & Domenico Giannone & Sean Hundtofte, 2018. "Changing Risk-Return Profiles," Staff Reports 850, Federal Reserve Bank of New York.
    6. Janus, Jakub, 2022. "Cross-border flights to safe assets in bond markets: evidence from emerging market economies," MPRA Paper 113875, University Library of Munich, Germany.
    7. Xiang, Yun & He, Jiaxuan, 2022. "Pairs trading and asset pricing," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
    8. Jorge M. Uribe, 2018. "“Scaling Down Downside Risk with Inter-Quantile Semivariances”," IREA Working Papers 201826, University of Barcelona, Research Institute of Applied Economics, revised Oct 2018.
    9. Janus, Jakub, 2023. "Flights to safe assets in bond markets: Evidence from emerging market economies," Journal of International Money and Finance, Elsevier, vol. 139(C).
    10. Jappelli, Ruggero & Lucke, Konrad & Pelizzon, Loriana, 2022. "Price and liquidity discovery in European sovereign bonds and futures," SAFE Working Paper Series 350, Leibniz Institute for Financial Research SAFE.
    11. Mirco Rubin & Dario Ruzzi, 2020. "Equity tail risk in the treasury bond market," Temi di discussione (Economic working papers) 1311, Bank of Italy, Economic Research and International Relations Area.
    12. Zeng, Ting & Yang, Mengying & Shen, Yifan, 2020. "Fancy Bitcoin and conventional financial assets: Measuring market integration based on connectedness networks," Economic Modelling, Elsevier, vol. 90(C), pages 209-220.
    13. Hassan, M. Kabir & Djajadikerta, Hadrian Geri & Choudhury, Tonmoy & Kamran, Muhammad, 2022. "Safe havens in Islamic financial markets: COVID-19 versus GFC," Global Finance Journal, Elsevier, vol. 54(C).
    14. Cheema, Muhammad A. & Faff, Robert & Szulczyk, Kenneth R., 2022. "The 2008 global financial crisis and COVID-19 pandemic: How safe are the safe haven assets?," International Review of Financial Analysis, Elsevier, vol. 83(C).
    15. Venmans, Frank, 2021. "The leverage anomaly in U.S. bank stock returns," LSE Research Online Documents on Economics 111907, London School of Economics and Political Science, LSE Library.
    16. Semeyutin, Artur & Downing, Gareth, 2022. "Co-jumps in the U.S. interest rates and precious metals markets and their implications for investors," International Review of Financial Analysis, Elsevier, vol. 81(C).
    17. Daniel Andrei & Bruce Carlin & Michael Hasler, 2019. "Asset Pricing with Disagreement and Uncertainty About the Length of Business Cycles," Management Science, INFORMS, vol. 67(6), pages 2900-2923, June.
    18. Petar Sabtchevsky & Paul Whelan & Andrea Vedolin & Philippe Mueller, 2017. "Variance Risk Premia on Stocks and Bonds," 2017 Meeting Papers 1161, Society for Economic Dynamics.
    19. Bodilsen, Simon & Eriksen, Jonas N. & Grønborg, Niels S., 2021. "Asset pricing and FOMC press conferences," Journal of Banking & Finance, Elsevier, vol. 128(C).
    20. Hsu, Chih-Hsiang & Lee, Hsiu-Chuan & Lien, Donald, 2020. "Stock market uncertainty, volatility connectedness of financial institutions, and stock-bond return correlations," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 600-621.
    21. Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," Working Papers 2020-79, Becker Friedman Institute for Research In Economics.
    22. Adrian, Tobias & Vogt, Erik & Stackman, Daniel, 2019. "Global Price of Risk and Stabilization Policies," CEPR Discussion Papers 13435, C.E.P.R. Discussion Papers.
    23. Ana González-Urteaga & Belén Nieto & Gonzalo Rubio, 2022. "Spillover dynamics effects between risk-neutral equity and Treasury volatilities," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(4), pages 663-708, December.
    24. Martin Hodula & Milan Szabo & Josef Bajzik, 2022. "Retail Fund Flows and Performance: Insights from Supervisory Data," Working Papers 2022/10, Czech National Bank.
    25. Tobias Adrian & Michael J. Fleming & Erik Vogt, 2017. "The Evolution of Treasury Market Liquidity: Evidence from 30 Years of Limit Order Book Data," Staff Reports 827, Federal Reserve Bank of New York.
    26. Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2019. "Vulnerable Growth," American Economic Review, American Economic Association, vol. 109(4), pages 1263-1289, April.
    27. Nektarios Aslanidis & Charlotte Christiansen & Christos S. Savva, 2021. "Quantile Risk–Return Trade-Off," JRFM, MDPI, vol. 14(6), pages 1-14, June.
    28. Conrad, Christian & Stuermer, Karin, 2017. "On the economic determinants of optimal stock-bond portfolios: international evidence," Working Papers 0636, University of Heidelberg, Department of Economics.
    29. Lei, Heng & Xue, Minggao & Liu, Huiling & Ye, Jing, 2023. "Precious metal as a safe haven for global ESG stocks: Portfolio implications for socially responsible investing," Resources Policy, Elsevier, vol. 80(C).
    30. Thomas M. Eisenbach & Gregory Phelan, 2022. "Fragility of Safe Asset Markets," Staff Reports 1026, Federal Reserve Bank of New York.
    31. Nakagawa, Kei & Sakemoto, Ryuta, 2022. "Market uncertainty and correlation between Bitcoin and Ether," Finance Research Letters, Elsevier, vol. 50(C).
    32. Lehnert, Thorsten, 2022. "Flight-to-safety and retail investor behavior," International Review of Financial Analysis, Elsevier, vol. 81(C).
    33. Liu, Xiaochun, 2017. "Unfolded risk-return trade-offs and links to Macroeconomic Dynamics," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 1-19.
    34. Adrian, Tobias & , & Shin, Hyun Song, 2016. "Dynamic Leverage Asset Pricing," CEPR Discussion Papers 11466, C.E.P.R. Discussion Papers.
    35. Bansal, Naresh & Stivers, Chris, 2022. "Bond risk’s role in the equity risk-return tradeoff," Journal of Financial Markets, Elsevier, vol. 60(C).
    36. Chan Joshua C.C. & Fry-McKibbin Renée A. & Hsiao Cody Yu-Ling, 2019. "A regime switching skew-normal model of contagion," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(1), pages 1-24, February.
    37. Naresh Bansal & Robert A. Connolly & Chris Stivers, 2022. "Beta and size equity premia following a high‐VIX threshold," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1491-1517, August.
    38. Richard K. Crump & Nikolay Gospodinov, 2019. "Deconstructing the yield curve," Staff Reports 884, Federal Reserve Bank of New York.
    39. Faten Ben Bouheni & Hassan Obeid & Elena Margarint, 2022. "Nonperforming loan of European Islamic banks over the economic cycle," Annals of Operations Research, Springer, vol. 313(2), pages 773-808, June.
    40. Byrne, Joseph P. & Sakemoto, Ryuta, 2021. "The conditional volatility premium on currency portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    41. Alin Marius Andries & Steven Ongena & Nicu Sprincean, 2020. "The COVID-19 Pandemic and Sovereign Bond Risk," Swiss Finance Institute Research Paper Series 20-42, Swiss Finance Institute.
    42. Joseph, Byrne & Sakemoto, Ryuta, 2020. "The Conditional Risk and Return Trade-Off on Currency Portfolios," MPRA Paper 99497, University Library of Munich, Germany.
    43. Mirco Rubin & Dario Ruzzi, 2020. "Equity Tail Risk in the Treasury Bond Market," Papers 2007.05933, arXiv.org.
    44. Chung, Chien-Ping & Liao, Tzu-Hsiang & Lee, Hsiu-Chuan, 2021. "Volatility spillovers of A- and B-shares for the Chinese stock market and its impact on the Chinese index returns," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
    45. Akhtaruzzaman, Md & Boubaker, Sabri & Lucey, Brian M. & Sensoy, Ahmet, 2021. "Is gold a hedge or a safe-haven asset in the COVID–19 crisis?," Economic Modelling, Elsevier, vol. 102(C).
    46. Chiah, Mardy & Tian, Xiao & Zhong, Angel, 2022. "Lockdown and retail trading in the equity market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 33(C).
    47. Dennis Umlandt, 2020. "Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models," Working Paper Series 2020-06, University of Trier, Research Group Quantitative Finance and Risk Analysis.
    48. Kaminska, Iryna & Roberts-Sklar, Matt, 2015. "A global factor in variance risk premia and local bond pricing," Bank of England working papers 576, Bank of England.

  19. Richard K. Crump & Stefano Eusepi & Andrea Tambalotti & Giorgio Topa, 2015. "Subjective Intertemporal Substitution," Staff Reports 734, Federal Reserve Bank of New York.

    Cited by:

    1. D'Acunto, Francesco & Hoang, Daniel & Weber, Michael, 2021. "Managing households' expectations with unconventional policies," Working Paper Series in Economics 148, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    2. Francesco D'Acunto & Daniel Hoang & Michael Weber & Michael Weber, 2016. "Unconventional Fiscal Policy, Inflation Expectations, and Consumption Expenditure," CESifo Working Paper Series 5793, CESifo.
    3. Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York.
    4. Ángelo Gutiérrez-Daza, 2024. "Business Cycles when Consumers Learn by Shopping," Working Papers 2024-12, Banco de México.
    5. Euiyoung Jung, 2021. "Rigid Wages, Endogenous Job Destruction, and Destabilizing Spirals," Working Papers halshs-03213006, HAL.
    6. Michael Weber & Yuriy Gorodnichenko & Olivier Coibion, 2022. "The Expected, Perceived, and Realized Inflation of U.S. Households before and during the COVID19 Pandemic," NBER Working Papers 29640, National Bureau of Economic Research, Inc.
    7. Niizeki, Takeshi & Hori, Masahiro, 2023. "Inflation expectations and household expenditure: Evidence from pseudo-panel data in Japan," Journal of Economic Behavior & Organization, Elsevier, vol. 214(C), pages 308-324.
    8. Francesco D’Acunto & Daniel Hoang & Michael Weber, 2016. "The Effect of Unconventional Fiscal Policy on Consumption Expenditure," NBER Working Papers 22563, National Bureau of Economic Research, Inc.
    9. Olivier Coibion & Yuriy Gorodnichenko & Tiziano Ropele, 2019. "Inflation expectations and firms’ decisions: new causal evidence," Temi di discussione (Economic working papers) 1219, Bank of Italy, Economic Research and International Relations Area.
    10. Coibion, Olivier & Georgarakos, Dimitris & Gorodnichenko, Yuriy & Kenny, Geoff & Weber, Michael, 2021. "The effect of macroeconomic uncertainty on household spending," Working Paper Series 2557, European Central Bank.
    11. Francesco D’Acunto & Daniel Hoang & Maritta Paloviita & Michael Weber, 2019. "IQ, Expectations, and Choice," NBER Working Papers 25496, National Bureau of Economic Research, Inc.
    12. David Staines, 2023. "Stochastic Equilibrium the Lucas Critique and Keynesian Economics," Papers 2312.16214, arXiv.org, revised Jun 2024.
    13. Dmitri V. Vinogradov & Michael J. Lamla & Yousef Makhlouf, 2024. "Survey-based expectations and uncertainty attitudes," Working Papers 2024_02, Business School - Economics, University of Glasgow.
    14. Francesco D’Acunto & Daniel Hoang & Michael Weber, 2018. "Unconventional Fiscal Policy," NBER Working Papers 24244, National Bureau of Economic Research, Inc.
    15. Andrade, Philippe & Gautier, Erwan & Mengus, Eric, 2023. "What matters in households’ inflation expectations?," Journal of Monetary Economics, Elsevier, vol. 138(C), pages 50-68.
    16. Lena Dräger & Michael J. Lamla, 2024. "Consumers' macroeconomic expectations," Journal of Economic Surveys, Wiley Blackwell, vol. 38(2), pages 427-451, April.
    17. Luis Armona & Andreas Fuster & Basit Zafar, 2016. "Home price expectations and behavior: evidence from a randomized information experiment," Staff Reports 798, Federal Reserve Bank of New York.
    18. Lena Dräger & Giang Nghiem, 2021. "Are Consumers' Spending Decisions in Line with A Euler Equation?," The Review of Economics and Statistics, MIT Press, vol. 103(3), pages 580-596, July.
    19. Pedro Gonzalez-Fernandez & Ciril Bosch-Rosa & Thomas Meissner, 2024. "Direct Elicitation of Parametric Belief Distributions: An application to inflation expectations," Berlin School of Economics Discussion Papers 0048, Berlin School of Economics.
    20. Baumann, Ursel & Darracq Pariès, Matthieu & Westermann, Thomas & Riggi, Marianna & Bobeica, Elena & Meyler, Aidan & Böninghausen, Benjamin & Fritzer, Friedrich & Trezzi, Riccardo & Jonckheere, Jana & , 2021. "Inflation expectations and their role in Eurosystem forecasting," Occasional Paper Series 264, European Central Bank.
    21. Lena Dräger, 2023. "Central Bank Communication with the General Public," CESifo Working Paper Series 10713, CESifo.
    22. Meeks, Roland & Monti, Francesca, 2023. "Heterogeneous beliefs and the Phillips curve," Journal of Monetary Economics, Elsevier, vol. 139(C), pages 41-54.
    23. Olivier Armantier & Gizem Koşar & Rachel Pomerantz & Daphne Skandalis & Kyle Smith & Giorgio Topa & Wilbert Van der Klaauw, 2020. "How Economic Crises Affect Inflation Beliefs: Evidence from the COVID-19 Pandemic," Staff Reports 949, Federal Reserve Bank of New York.
    24. D'Acunto, Francesco & Malmendier, Ulrike M. & Weber, Michael, 2022. "What Do the Data Tell Us About Inflation Expectations?," CEPR Discussion Papers 17094, C.E.P.R. Discussion Papers.
    25. Acharya, Viral & Crosignani, Matteo & Eisert, Tim & Eufinger, Christian, 2023. "How do supply shocks to inflation generalize? Evidence from the pandemic era in Europe," CEPR Discussion Papers 18530, C.E.P.R. Discussion Papers.
    26. Cato, Misina & Schmidt, Tobias, 2023. "Households' expectations and regional COVID-19 dynamics," Discussion Papers 02/2023, Deutsche Bundesbank.
    27. Luo, Yulei & Nie, Jun & Wang, Haijun, 2022. "Ignorance, pervasive uncertainty, and household finance," Journal of Economic Theory, Elsevier, vol. 199(C).
    28. Luo, Yulei & Nie, Jun & Wang, Gaowang & Young, Eric R., 2017. "Rational inattention and the dynamics of consumption and wealth in general equilibrium," Journal of Economic Theory, Elsevier, vol. 172(C), pages 55-87.
    29. Francesco D'Acunto & Daniel Hoang & Maritta Paloviita & Michael Weber, 2019. "Human Frictions to the Transmission of Economic Policy," 2019 Meeting Papers 339, Society for Economic Dynamics.
    30. Euiyoung Jung, 2021. "Rigid Wages, Endogenous Job Destruction, and Destabilizing Spirals," PSE Working Papers halshs-03213006, HAL.
    31. Yuliya Rychalovska & Sergey Slobodyan & Rafael Wouters, 2023. "Professional Survey Forecasts and Expectations in DSGE Models," CERGE-EI Working Papers wp766, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    32. Ioana A. Duca & Geoff Kenny & Andreas Reuter, 2019. "Inflation Expectations, Consumption and the Lower Bound: Micro Evidence from a Large Euro Area Survey," European Economy - Discussion Papers 092, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    33. Michal Marencak, 2023. "State-dependent inflation expectations and consumption choices," Working and Discussion Papers WP 10/2023, Research Department, National Bank of Slovakia.
    34. Schlag, Christian & Thimme, Julian & Weber, Rüdiger, 2021. "Implied volatility duration: A measure for the timing of uncertainty resolution," Journal of Financial Economics, Elsevier, vol. 140(1), pages 127-144.
    35. Dietrich, Alexander M., 2023. "Consumption categories, household attention, and inflation expectations: Implications for optimal monetary policy," University of Tübingen Working Papers in Business and Economics 157, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
    36. Dimitris Georgarakos & Yuriy Gorodnichenko & Olivier Coibion & Geoff Kenny, 2024. "The Causal Effects of Inflation Uncertainty on Households' Beliefs and Actions," NBER Working Papers 33014, National Bureau of Economic Research, Inc.
    37. Striani, Fabrizio, 2023. "Life-cycle consumption and life insurance: Empirical evidence from Italian Survey," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 619(C).
    38. Djuric, Uros & Neugart, Michael, 2017. "Helicopter money: survey evidence on expectation formation and consumption behavior," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168062, Verein für Socialpolitik / German Economic Association.

  20. Moench, Emanuel & Adrian, Tobias & Crump, Richard K., 2015. "Regression Based Estimation of Dynamic Asset Pricing Models," CEPR Discussion Papers 10449, C.E.P.R. Discussion Papers.

    Cited by:

    1. Baltzer, Markus & Koehl, Alexandra & Reitz, Stefan, 2019. "Procyclical leverage in Europe and its role in asset pricing," Discussion Papers 10/2019, Deutsche Bundesbank.
    2. Gabor Pinter, 2018. "Macroeconomic Shocks and Risk Premia," Discussion Papers 1812, Centre for Macroeconomics (CFM).
    3. Umlandt, Dennis, 2023. "Score-driven asset pricing: Predicting time-varying risk premia based on cross-sectional model performance," Journal of Econometrics, Elsevier, vol. 237(2).
    4. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2022. "The time-varying risk price of currency portfolios," Journal of International Money and Finance, Elsevier, vol. 124(C).
    5. Sakemoto, Ryuta, 2019. "Currency carry trades and the conditional factor model," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 198-208.
    6. Matias Cattaneo & Richard K. Crump & Weining Wang, 2024. "Beta-sorted portfolios," CeMMAP working papers 20/24, Institute for Fiscal Studies.
    7. Cai, Zongwu & Juhl, Ted, 2023. "The distribution of rolling regression estimators," Journal of Econometrics, Elsevier, vol. 235(2), pages 1447-1463.
    8. Martin Pažický, 2021. "Predicting Recessions in Germany Using the German and the US Yield Curve," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(3), pages 263-291, December.
    9. Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2017. "Predicting Relative Returns," NBER Working Papers 23886, National Bureau of Economic Research, Inc.
    10. Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017. "The Time-Varying Risk Price of Currency Carry Trades," MPRA Paper 80788, University Library of Munich, Germany.
    11. Fernando M. Duarte & Carlo Rosa, 2015. "The equity risk premium: a review of models," Economic Policy Review, Federal Reserve Bank of New York, issue 2, pages 39-57.
    12. Christopher Gust & Edward Herbst & David López-Salido & Matthew E. Smith, 2017. "The Empirical Implications of the Interest-Rate Lower Bound," American Economic Review, American Economic Association, vol. 107(7), pages 1971-2006, July.
    13. Richard K. Crump & Nikolay Gospodinov & Ignacio Lopez Gaffney, 2024. "A Jackknife Variance Estimator for Panel Regressions," Staff Reports 1133, Federal Reserve Bank of New York.
    14. J. Benson Durham, 2013. "Arbitrage-free models of stocks and bonds," Staff Reports 656, Federal Reserve Bank of New York.
    15. Zongwu Cai & Ted Juhl, 2020. "The Distribution Of Rolling Regression Estimators," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202218, University of Kansas, Department of Economics, revised Dec 2022.
    16. Adrian, Tobias & Vogt, Erik & Stackman, Daniel, 2019. "Global Price of Risk and Stabilization Policies," CEPR Discussion Papers 13435, C.E.P.R. Discussion Papers.
    17. Liao Zhu & Robert A. Jarrow & Martin T. Wells, 2021. "Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 11(04), pages 1-30, December.
    18. Richard T. Baillie & Fabio Calonaci & George Kapetanios, 2019. "Hierarchical Time Varying Estimation of a Multi Factor Asset Pricing Model," Working Papers 879, Queen Mary University of London, School of Economics and Finance.
    19. Josh Davis & Cristian Fuenzalida & Alan M. Taylor, 2019. "The Natural Rate Puzzle: Global Macro Trends and the Market-Implied r," NBER Working Papers 26560, National Bureau of Economic Research, Inc.
    20. Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Ernst Schaumburg, 2020. "Characteristic-Sorted Portfolios: Estimation and Inference," The Review of Economics and Statistics, MIT Press, vol. 102(3), pages 531-551, July.
    21. Siddhartha Chib & Simon C. Smith, 2024. "Factor Selection and Structural Breaks," Finance and Economics Discussion Series 2024-037, Board of Governors of the Federal Reserve System (U.S.).
    22. Adrian, Tobias & , & Shin, Hyun Song, 2016. "Dynamic Leverage Asset Pricing," CEPR Discussion Papers 11466, C.E.P.R. Discussion Papers.
    23. Amit K. Sinha, 2021. "The reliability of geometric Brownian motion forecasts of S&P500 index values," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1444-1462, December.
    24. Bruce E. Hansen, 2018. "Johansen’s Reduced Rank Estimator Is GMM," Econometrics, MDPI, vol. 6(2), pages 1-9, May.
    25. Peter Van Tassel, 2017. "Global Variance Term Premia and Intermediary Risk Appetite," 2017 Meeting Papers 149, Society for Economic Dynamics.
    26. Nikolay Gospodinov, 2017. "Asset Co-movements: Features and Challenges," FRB Atlanta Working Paper 2017-11, Federal Reserve Bank of Atlanta.
    27. Byrne, Joseph P. & Sakemoto, Ryuta, 2021. "The conditional volatility premium on currency portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    28. Wan, Runzhe & Li, Yingying & Lu, Wenbin & Song, Rui, 2024. "Mining the factor zoo: Estimation of latent factor models with sufficient proxies," Journal of Econometrics, Elsevier, vol. 239(2).
    29. Joseph, Byrne & Sakemoto, Ryuta, 2020. "The Conditional Risk and Return Trade-Off on Currency Portfolios," MPRA Paper 99497, University Library of Munich, Germany.
    30. Stefan Behrendt, 2017. "Low Long-Term Interest Rates - An alternative View," Jena Economics Research Papers 2017-001, Friedrich-Schiller-University Jena.
    31. Claudio Borio & Piti Disyatat & Phurichai Rungcharoenkitkul, 2019. "What anchors for the natural rate of interest?," BIS Working Papers 777, Bank for International Settlements.
    32. Smith, Simon C. & Timmermann, Allan, 2022. "Have risk premia vanished?," Journal of Financial Economics, Elsevier, vol. 145(2), pages 553-576.
    33. Yuxin Liu & Jimin Lin & Achintya Gopal, 2024. "NeuralBeta: Estimating Beta Using Deep Learning," Papers 2408.01387, arXiv.org, revised Oct 2024.
    34. Ludovit Odor & Pavol Povala, 2016. "Risk Premiums in Slovak Government Bonds," Discussion Papers Discussion Paper No. 3/20, Council for Budget Responsibility.
    35. Dennis Umlandt, 2020. "Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models," Working Paper Series 2020-06, University of Trier, Research Group Quantitative Finance and Risk Analysis.
    36. Uddin, Ajim & Tao, Xinyuan & Yu, Dantong, 2023. "Attention based dynamic graph neural network for asset pricing," Global Finance Journal, Elsevier, vol. 58(C).
    37. Liao Zhu, 2021. "The Adaptive Multi-Factor Model and the Financial Market," Papers 2107.14410, arXiv.org, revised Aug 2021.

  21. Stefano Eusepi & Richard Crump & Emanuel Moench & Philippe Andrade, 2014. "Noisy Information and Fundamental Disagreement," 2014 Meeting Papers 797, Society for Economic Dynamics.

    Cited by:

    1. Pedersen, Michael, 2019. "Anomalies in macroeconomic prediction errors–evidence from Chilean private forecasters," International Journal of Forecasting, Elsevier, vol. 35(3), pages 1100-1107.
    2. Buss, Adrian & Dumas, Bernard & Uppal, Raman & Vilkov, Grigory, 2016. "The intended and unintended consequences of financial-market regulations: A general equilibrium analysis," SAFE Working Paper Series 124, Leibniz Institute for Financial Research SAFE.
    3. Ricco, Giovanni & Callegari, Giovanni & Cimadomo, Jacopo, 2016. "Signals from the government: Policy disagreement and the transmission of fiscal shocks," Journal of Monetary Economics, Elsevier, vol. 82(C), pages 107-118.
    4. Montes, Gabriel Caldas & Nicolay, Rodolfo Tomás da Fonseca & Acar, Tatiana, 2019. "Do fiscal communication and clarity of fiscal announcements affect public debt uncertainty? Evidence from Brazil," Journal of Economics and Business, Elsevier, vol. 103(C), pages 38-60.
    5. Hoffmann, Mathias & Hürtgen, Patrick, 2016. "Inflation expectations, disagreement, and monetary policy," Economics Letters, Elsevier, vol. 146(C), pages 59-63.
    6. Montes, Gabriel Caldas & Luna, Paulo Henrique, 2018. "Discretionary fiscal policy and disagreement in expectations about fiscal variables empirical evidence from Brazil," Economic Modelling, Elsevier, vol. 73(C), pages 100-116.
    7. Daniel Andrei & Bruce Carlin & Michael Hasler, 2014. "Model Disagreement and Economic Outlook," NBER Working Papers 20190, National Bureau of Economic Research, Inc.
    8. Montes, Gabriel Caldas & Acar, Tatiana, 2020. "Fiscal credibility, target revisions and disagreement in expectations about fiscal results," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 38-58.

  22. P. Andrade & R. Crump & S. Eusepi & E. Moench, 2014. "Fundamental disagreement," Working papers 524, Banque de France.

    Cited by:

    1. Park, Sunjin, 2022. "Heterogeneous beliefs in macroeconomic growth prospects and the carry risk premium," Journal of Banking & Finance, Elsevier, vol. 136(C).
    2. Kajal Lahiri & Huaming Peng & Xuguang Simon Sheng, 2021. "Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity," Working Papers 2021-005, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    3. Michael D. Bauer & Carolin Pflueger & Adi Sunderam, 2023. "Perceptions about Monetary Policy," Working Paper Series 2023-31, Federal Reserve Bank of San Francisco.
    4. Glas, Alexander & Heinisch, Katja, 2021. "Conditional macroeconomic forecasts: Disagreement, revisions and forecast errors," IWH Discussion Papers 7/2021, Halle Institute for Economic Research (IWH).
    5. Cordeiro, Yara de Almeida Campos & Gaglianone, Wagner Piazza & Issler, João Victor, 2016. "Inattention in individual expectations," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 776, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    6. Glas, Alexander & Heinisch, Katja, 2023. "Conditional macroeconomic survey forecasts: Revisions and errors," Journal of International Money and Finance, Elsevier, vol. 138(C).
    7. Dovern, Jonas, 2014. "A Multivariate Analysis of Forecast Disagreement: Confronting Models of Disagreement with SPF Data," Working Papers 0571, University of Heidelberg, Department of Economics.
    8. Pedersen, Michael, 2019. "Anomalies in macroeconomic prediction errors–evidence from Chilean private forecasters," International Journal of Forecasting, Elsevier, vol. 35(3), pages 1100-1107.
    9. Philippe Andrade & Gaetano Gaballo & Eric Mengus & Benoît Mojon, 2019. "Forward Guidance and Heterogeneous Beliefs," American Economic Journal: Macroeconomics, American Economic Association, vol. 11(3), pages 1-29, July.
    10. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2017. "The transmission of monetary policy shocks," Bank of England working papers 657, Bank of England.
    11. Elisabeth Falck & Mathias Hoffmann & Patrick Hürtgen, 2018. "Disagreement and Monetary Policy," 2018 Meeting Papers 655, Society for Economic Dynamics.
    12. Conrad, Christian & Lahiri, Kajal, 2023. "Heterogeneous expectations among professional forecasters," ZEW Discussion Papers 23-062, ZEW - Leibniz Centre for European Economic Research.
    13. Lena Dräger & Michael J. Lamla, 2015. "Disagreement à la Taylor: Evidence from Survey Microdata," Macroeconomics and Finance Series 201503, University of Hamburg, Department of Socioeconomics.
    14. Yoosoon Chang & Fabio Gómez-Rodríguez & Mr. Gee Hee Hong, 2022. "The Effects of Economic Shocks on Heterogeneous Inflation Expectations," IMF Working Papers 2022/132, International Monetary Fund.
    15. Giacomini, Raffaella & Skreta, Vasiliki & Turen, Javier, 2016. "Models, inattention and expectation updates," LSE Research Online Documents on Economics 86245, London School of Economics and Political Science, LSE Library.
    16. Stefano Eusepi & Giorgio Topa & Andrea Tambalotti & Richard Crump, 2016. "Subjective Intertemporal Substitution," 2016 Meeting Papers 83, Society for Economic Dynamics.
    17. Smietanka, Pawel & Bloom, Nicholas & Mizen, Paul, 2018. "Business investment, cash holding and uncertainty since the Great Financial Crisis," Bank of England working papers 753, Bank of England.
    18. Bartosz Maćkowiak & Filip Matějka & Mirko Wiederholt, 2023. "Rational Inattention: A Review," SciencePo Working papers Main hal-03878692, HAL.
    19. Ding Dong & Zheng Liu & Pengfei Wang & Min Wei, 2024. "Inflation Disagreement Weakens the Power of Monetary Policy," Working Paper Series 2024-27, Federal Reserve Bank of San Francisco.
    20. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021. "The Term Structure of Expectations," Staff Reports 992, Federal Reserve Bank of New York.
    21. Tsiaplias, Sarantis, 2020. "Time-Varying Consumer Disagreement and Future Inflation," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
    22. Cao, Shuo & Crump, Richard K. & ,, 2020. "Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates," CEPR Discussion Papers 15122, C.E.P.R. Discussion Papers.
    23. Buss, Adrian & Dumas, Bernard & Uppal, Raman & Vilkov, Grigory, 2016. "The intended and unintended consequences of financial-market regulations: A general equilibrium analysis," SAFE Working Paper Series 124, Leibniz Institute for Financial Research SAFE.
    24. Sebastian Link & Andreas Peichl & Christopher Roth & Johannes Wohlfart, 2024. "Attention to the Macroeconomy," CEBI working paper series 23-09, University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI).
    25. Lien, Donald & Sun, Yuchen & Zhang, Chengsi, 2021. "Uncertainty, confidence, and monetary policy in China," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1347-1358.
    26. Ou, Shengliang & Zhang, Donghai & Zhang, Renbin, 2021. "Information frictions, monetary policy, and the paradox of price flexibility," Journal of Monetary Economics, Elsevier, vol. 120(C), pages 70-82.
    27. Chini, Emilio Zanetti, 2023. "Can we estimate macroforecasters’ mis-behavior?," Journal of Economic Dynamics and Control, Elsevier, vol. 149(C).
    28. Andrade, Philippe & Gautier, Erwan & Mengus, Eric, 2023. "What matters in households’ inflation expectations?," Journal of Monetary Economics, Elsevier, vol. 138(C), pages 50-68.
    29. Beckmann, Joscha & Reitz, Stefan, 2018. "Information Rigidities and Exchange Rate Expectations," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181628, Verein für Socialpolitik / German Economic Association.
    30. Travis J. Berge & Andrew C. Chang & Nitish R. Sinha, 2019. "Evaluating the Conditionality of Judgmental Forecasts," Finance and Economics Discussion Series 2019-002, Board of Governors of the Federal Reserve System (U.S.).
    31. Mustafa Bulut & Hatice Gokce Karasoy, 2016. "Para Politikasi Belirsizligi Altinda Aktarim Mekanizmasi : Turkiye ornegi," CBT Research Notes in Economics 1621, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    32. Di Bartolomeo, Giovanni & Beqiraj, Elton & Di Pietro, Marco, 2017. "Beliefs formation and the puzzle of forward guidance power," EconStor Preprints 175198, ZBW - Leibniz Information Centre for Economics.
    33. Ricco, Giovanni & Callegari, Giovanni & Cimadomo, Jacopo, 2016. "Signals from the government: Policy disagreement and the transmission of fiscal shocks," Journal of Monetary Economics, Elsevier, vol. 82(C), pages 107-118.
    34. Junichi Kikuchi & Yoshiyuki Nakazono, 2023. "The Formation of Inflation Expectations: Microdata Evidence from Japan," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(6), pages 1609-1632, September.
    35. Leonardo Melosi, 2017. "Signalling Effects of Monetary Policy," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 84(2), pages 853-884.
    36. Ehrmann, Michael & Hubert, Paul, 2023. "Information acquisition ahead of monetary policy announcements," Working Paper Series 2770, European Central Bank.
    37. Stephen J. Cole & Fabio Milani, 2020. "Heterogeneity in Individual Expectations, Sentiment, and Constant-Gain Learning," Working Papers 192005, University of California-Irvine, Department of Economics.
    38. Camille Cornand & Paul Hubert, 2021. "Information frictions in inflation expectations among five types of economic agents," SciencePo Working papers Main halshs-03351632, HAL.
    39. Montes, Gabriel Caldas & Nicolay, Rodolfo Tomás da Fonseca & Acar, Tatiana, 2019. "Do fiscal communication and clarity of fiscal announcements affect public debt uncertainty? Evidence from Brazil," Journal of Economics and Business, Elsevier, vol. 103(C), pages 38-60.
    40. Marcello Pericoli & Giovanni Veronese, 2015. "Forecaster heterogeneity, surprises and financial markets," Temi di discussione (Economic working papers) 1020, Bank of Italy, Economic Research and International Relations Area.
    41. Dovern, Jonas, 2015. "A multivariate analysis of forecast disagreement: Confronting models of disagreement with survey data," European Economic Review, Elsevier, vol. 80(C), pages 16-35.
    42. Alessandro Barbera & Dora Xia & Sonya Zhu, 2023. "The term structure of inflation forecasts disagreement and monetary policy transmission," BIS Working Papers 1114, Bank for International Settlements.
    43. Gabriel Caldas Montes & Tatiana Acar, 2018. "Fiscal credibility and disagreement in expectations about inflation: evidence for Brazil," Economics Bulletin, AccessEcon, vol. 38(2), pages 826-843.
    44. Nathan Goldstein & Ben‐Zion Zilberfarb, 2023. "The closer we get, the better we are?," Economic Inquiry, Western Economic Association International, vol. 61(2), pages 364-376, April.
    45. Falck, E. & Hoffmann, M. & Hürtgen, P., 2021. "Disagreement about inflation expectations and monetary policy transmission," Journal of Monetary Economics, Elsevier, vol. 118(C), pages 15-31.
    46. Jonas Dovern & Matthias Hartmann, 2017. "Forecast performance, disagreement, and heterogeneous signal-to-noise ratios," Empirical Economics, Springer, vol. 53(1), pages 63-77, August.
    47. Gabriel Caldas Montes & Igor Mendes Marcelino, 2023. "Uncertainties and disagreements in expectations of professional forecasters: Evidence from an inflation targeting developing country," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 937-956, July.
    48. Gaurav Kumar Singh & Tathagata Bandyopadhyay, 2024. "Determinants of disagreement: Learning from inflation expectations survey of households," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(2), pages 326-343, March.
    49. Detmers, Gunda-Alexandra, 2016. "Forward guidance under disagreement: Evidence from the Fed's dot projections," SFB 649 Discussion Papers 2016-041, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    50. Esady, Vania, 2022. "Real and nominal effects of monetary shocks under time-varying disagreement," Bank of England working papers 1007, Bank of England.
    51. An, Zidong & Zheng, Xinye, 2023. "Diligent forecasters can make accurate predictions despite disagreeing with the consensus," Economic Modelling, Elsevier, vol. 125(C).
    52. Simone Alfarano & Eva Camacho-Cuena & Annarita Colasante & Alba Ruiz-Buforn, 2024. "The effect of time-varying fundamentals in learning-to-forecast experiments," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 19(4), pages 619-647, October.
    53. Glas, Alexander, 2020. "Five dimensions of the uncertainty–disagreement linkage," International Journal of Forecasting, Elsevier, vol. 36(2), pages 607-627.
    54. Šauer, Radek, 2016. "The imperfect-common-knowledge Phillips curve: Calvo versus Rotemberg," Discussion Papers 50/2016, Deutsche Bundesbank.
    55. Hoffmann, Mathias & Hürtgen, Patrick, 2016. "Inflation expectations, disagreement, and monetary policy," Economics Letters, Elsevier, vol. 146(C), pages 59-63.
    56. McNeil, James, 2023. "Monetary policy and the term structure of inflation expectations with information frictions," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
    57. Michael Clements, 2016. "Are Macro-Forecasters Essentially The Same? An Analysis of Disagreement, Accuracy and Efficiency," ICMA Centre Discussion Papers in Finance icma-dp2016-08, Henley Business School, University of Reading.
    58. Doina Chichernea & Kershen Huang & Alex Petkevich, 2019. "Does maturity matter? The case of treasury futures volume," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1301-1321, October.
    59. Sushant Acharya, 2014. "Costly information, planning complementarities and the Phillips Curve," Staff Reports 698, Federal Reserve Bank of New York.
    60. Benhima, Kenza & Poilly, Céline, 2021. "Does demand noise matter? Identification and implications," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 278-295.
    61. Montes, Gabriel Caldas & Luna, Paulo Henrique, 2018. "Discretionary fiscal policy and disagreement in expectations about fiscal variables empirical evidence from Brazil," Economic Modelling, Elsevier, vol. 73(C), pages 100-116.
    62. Daniel Andrei & Bruce Carlin & Michael Hasler, 2014. "Model Disagreement and Economic Outlook," NBER Working Papers 20190, National Bureau of Economic Research, Inc.
    63. G. C. Montes & L. V. Oliveira & A. Curi & R. T. F. Nicolay, 2016. "Effects of transparency, monetary policy signalling and clarity of central bank communication on disagreement about inflation expectations," Applied Economics, Taylor & Francis Journals, vol. 48(7), pages 590-607, February.
    64. Czudaj, Robert L., 2022. "Heterogeneity of beliefs and information rigidity in the crude oil market: Evidence from survey data," European Economic Review, Elsevier, vol. 143(C).
    65. Montes, Gabriel Caldas & Acar, Tatiana, 2020. "Fiscal credibility, target revisions and disagreement in expectations about fiscal results," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 38-58.
    66. Kuang, Pei & Tang, Li & Zhang, Renbin & Zhang, Tongbin, 2022. "Forecast disagreement about long-run macroeconomic relationships," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 371-387.
    67. Li, Huijing & Li, Hong & Lu, Lei & Theocharides, George & Xiong, Xiong, 2020. "Macro disagreement and international options markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
    68. Cornand Camille & Hubert Paul, 2022. "Information Frictions Across Various Types of Inflation Expectations," Working papers 873, Banque de France.
    69. Zidong An & Salem Abo‐Zaid & Xuguang Simon Sheng, 2023. "Inattention and the impact of monetary policy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 623-643, June.
    70. Gabriel Caldas Montes & Paulo Henrique Lourenço Luna, 2022. "Do fiscal opacity, fiscal impulse, and fiscal credibility affect disagreement about economic growth forecasts? Empirical evidence from Brazil considering the period of political instability and presid," Review of Development Economics, Wiley Blackwell, vol. 26(4), pages 2356-2393, November.
    71. Saskia ter Ellen & Willem F.C. Verschoor & Remco C.J. Zwinkels, 2016. "Agreeing on disagreement: heterogeneity or uncertainty?," Working Paper 2016/4, Norges Bank.
    72. Yongchen Zhao, 2022. "Uncertainty and disagreement of inflation expectations: Evidence from household‐level qualitative survey responses," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 810-828, July.
    73. Tatjana Dahlhaus & Tatevik Sekhposyan, 2018. "Monetary Policy Uncertainty: A Tale of Two Tails," Staff Working Papers 18-50, Bank of Canada.

  23. Tobias Adrian & Richard K. Crump & Benjamin Mills & Emanuel Moench, 2014. "Treasury Term Premia: 1961-Present," Liberty Street Economics 20140512, Federal Reserve Bank of New York.

    Cited by:

    1. Passmore, Stuart Wayne & von Hafften, Alexander H., 2020. "Financing affordable and sustainable homeownership with Fixed-COFI mortgages," Regional Science and Urban Economics, Elsevier, vol. 80(C).

  24. Tobias Adrian & Richard K. Crump & Emanuel Moench, 2013. "Do Treasury Term Premia Rise around Monetary Tightenings?," Liberty Street Economics 20130415, Federal Reserve Bank of New York.

    Cited by:

    1. Peter Tillmann, 2018. "Monetary Policy Uncertainty and the Response of the Yield Curve to Policy Shocks," GRU Working Paper Series GRU_2018_004, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    2. Kurt G. Lunsford, 2020. "Policy Language and Information Effects in the Early Days of Federal Reserve Forward Guidance," American Economic Review, American Economic Association, vol. 110(9), pages 2899-2934, September.
    3. Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno, 2015. "Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," Borradores de Economia 14112, Banco de la Republica.

  25. Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2013. "Making a Statement: How Did Professional Forecasters React to the August 2011 FOMC Statement?," Liberty Street Economics 20130107, Federal Reserve Bank of New York.

    Cited by:

    1. Sheen, Jeffrey & Wang, Ben Zhe, 2023. "Do monetary condition news at the zero lower bound influence households’ expectations and readiness to spend?," European Economic Review, Elsevier, vol. 152(C).
    2. Lloyd, S. P., 2017. "Estimating Nominal Interest Rate Expectations: Overnight Indexed Swaps and the Term Structure," Cambridge Working Papers in Economics 1734, Faculty of Economics, University of Cambridge.

  26. Michael Abrahams & Tobias Adrian & Richard K. Crump & Emanuel Moench, 2012. "Decomposing real and nominal yield curves," Staff Reports 570, Federal Reserve Bank of New York.

    Cited by:

    1. Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2015. "Regression-based estimation of dynamic asset pricing models," Journal of Financial Economics, Elsevier, vol. 118(2), pages 211-244.
    2. Jonathan Hambur & Richard Finlay, 2018. "Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia," RBA Research Discussion Papers rdp2018-02, Reserve Bank of Australia.
    3. Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York.
    4. Richard K. Crump & Stefano Eusepi & Marc Giannoni & Ayşegül Şahin, 2019. "A unified approach to measuring u," Staff Reports 889, Federal Reserve Bank of New York.
    5. James McNeil, 2020. "Estimation of Impulse response functions with term structure local projections," Working Papers daleconwp2020-05, Dalhousie University, Department of Economics.
    6. Martin M Andreasen & Jens H E Christensen & Simon Riddell, 2021. "The TIPS Liquidity Premium [Decomposing real and nominal yield curves]," Review of Finance, European Finance Association, vol. 25(6), pages 1639-1675.
    7. Aeimit Lakdawala & Michael Bauer & Philippe Mueller, 2019. "Market-Based Monetary Policy Uncertainty," 2019 Meeting Papers 1403, Society for Economic Dynamics.
    8. Kliem, Martin & Meyer-Gohde, Alexander, 2017. "(Un)expected Monetary Policy Shocks and Term Premia," SFB 649 Discussion Papers 2017-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    9. Timmermann, Allan & Pettenuzzo, Davide & Gargano, Antonio, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," CEPR Discussion Papers 10104, C.E.P.R. Discussion Papers.
    10. Kaminska, Iryna & Mumtaz, Haroon & Šustek, Roman, 2021. "Monetary policy surprises and their transmission through term premia and expected interest rates," Journal of Monetary Economics, Elsevier, vol. 124(C), pages 48-65.
    11. Emi Nakamura & Jón Steinsson, 2018. "High-Frequency Identification of Monetary Non-Neutrality: The Information Effect," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 133(3), pages 1283-1330.
    12. Speck, Christian, 2023. "Pricing the Bund term structure with linear regressions – without an observable short rate," Discussion Papers 08/2023, Deutsche Bundesbank.
    13. Jens Christensen & Sarah Mouabbi, 2024. "The Natural Rate of Interest in the Euro Area: Evidence from Inflation-Indexed Bonds," Working papers 948, Banque de France.
    14. Wang,Dieter, 2021. "Natural Capital and Sovereign Bonds," Policy Research Working Paper Series 9606, The World Bank.
    15. Eguren Martin, Fernando & Meldrum, Andrew & Yan, Wen, 2021. "No-Arbitrage pricing of GDP-Linked bonds," Journal of Banking & Finance, Elsevier, vol. 126(C).
    16. Michael Abrahams & Tobias Adrian & Richard K. Crump & Emanuel Moench, 2012. "Decomposing real and nominal yield curves," Staff Reports 570, Federal Reserve Bank of New York.
    17. Kano, Takashi & Wada, Kenji, 2017. "The first arrow hitting the currency target: A long-run risk perspective," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 337-352.
    18. Remy Beauregard & Jens H. E. Christensen & Eric Fischer & Simon Zhu, 2021. "Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico," Staff Reports 961, Federal Reserve Bank of New York.
    19. Mirco Rubin & Dario Ruzzi, 2020. "Equity tail risk in the treasury bond market," Temi di discussione (Economic working papers) 1311, Bank of Italy, Economic Research and International Relations Area.
    20. Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2017. "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del Gobierno colombiano," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE, vol. 78, February.
    21. Mitsuru Katagiri, 2018. "Equilibrium Yield Curve, the Phillips Curve, and Monetary Policy," IMF Working Papers 2018/242, International Monetary Fund.
    22. Peter Tillmann, 2018. "Monetary Policy Uncertainty and the Response of the Yield Curve to Policy Shocks," GRU Working Paper Series GRU_2018_004, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    23. Aguilar-Argaez Ana María & Diego-Fernández Forseck María & Elizondo Rocío & Roldán-Peña Jessica, 2020. "Term Premium Dynamics and its Determinants: The Mexican Case," Working Papers 2020-18, Banco de México.
    24. Hammoudeh, Shawkat & Reboredo, Juan C., 2018. "Oil price dynamics and market-based inflation expectations," Energy Economics, Elsevier, vol. 75(C), pages 484-491.
    25. Berardi, Andrea & Plazzi, Alberto, 2022. "Dissecting the yield curve: The international evidence," Journal of Banking & Finance, Elsevier, vol. 134(C).
    26. Ibarra-Ramírez Raúl, 2021. "The Yield Curve as a Predictor of Economic Activity in Mexico: The Role of the Term Premium," Working Papers 2021-07, Banco de México.
    27. Beauregard, Remy & Christensen, Jens H.E. & Fischer, Eric & Zhu, Simon, 2024. "Inflation expectations and risk premia in emerging bond markets: Evidence from Mexico," Journal of International Economics, Elsevier, vol. 151(C).
    28. Geiger, Felix & Schupp, Fabian, 2018. "With a little help from my friends: Survey-based derivation of euro area short rate expectations at the effective lower bound," Discussion Papers 27/2018, Deutsche Bundesbank.
    29. Jef Boeckx & Leonardo Iania & Joris Wauters, 2024. "Macroeconomic drivers of inflation expectations and inflation risk premia," Working Paper Research 446, National Bank of Belgium.
    30. Kortela, Tomi & Nelimarkka, Jaakko, 2020. "The effects of conventional and unconventional monetary policy: Identification through the yield curve," Bank of Finland Research Discussion Papers 3/2020, Bank of Finland.
    31. Sushanta K Mallick & Madhusudan Mohanty & Fabrizio Zampolli, 2017. "Market volatility, monetary policy and the term premium," BIS Working Papers 606, Bank for International Settlements.
    32. Iryna Kaminska & Gabriele Zinna, 2014. "Official Demand for U.S. Debt: Implications for U.S. Real Interest Rates," IMF Working Papers 2014/066, International Monetary Fund.
    33. Abraham Lioui & Andrea Tarelli, 2023. "Money Illusion and TIPS Demand," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(1), pages 171-214, February.
    34. Julie Bennett & Michael T. Owyang, 2022. "On the Relative Performance of Inflation Forecasts," Review, Federal Reserve Bank of St. Louis, vol. 104(2), pages 131-148.
    35. Jens H. E. Christensen & Mark M. Spiegel, 2021. "Central Bank Credibility During COVID-19: Evidence from Japan," Working Paper Series 2021-24, Federal Reserve Bank of San Francisco.
    36. Guimaraes, Rodrigo & Pinter, Gabor & Wijnandts, Jean-Charles, 2023. "The liquidity state-dependence of monetary policy transmission," Bank of England working papers 1045, Bank of England.
    37. Lange, Ronald H., 2017. "The expected real yield and inflation components of the nominal yield curve," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 1-18.
    38. Dooruj Rambaccussing & Craig Menzies & Andrzej Kwiatkowski, 2022. "Look who’s Talking: Individual Committee members’ impact on inflation expectations," Dundee Discussion Papers in Economics 305, Economic Studies, University of Dundee.
    39. Samuel G Hanson & David O Lucca & Jonathan H Wright, 2021. "Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 136(3), pages 1719-1781.
    40. Iryna Kaminska & Gabriele Zinna, 2020. "Official Demand for U.S. Debt: Implications for U.S. Real Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(2-3), pages 323-364, March.
    41. GONÇALVES, Sílvia & PERRON, Benoit, 2018. "Bootstrapping factor models with cross sectional dependence," Cahiers de recherche 2018-07, Universite de Montreal, Departement de sciences economiques.
    42. Craig S. Hakkio & Andrew Lee Smith, 2017. "Bond Premiums and the Natural Real Rate of Interest," Economic Review, Federal Reserve Bank of Kansas City, issue Q I, pages 5-39.
    43. Kaminska, Iryna & Liu, Zhuoshi & Relleen, Jon & Vangelista, Elisabetta, 2018. "What do the prices of UK inflation-linked securities say on inflation expectations, risk premia and liquidity risks?," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 76-96.
    44. Maryam Movahedifar & Hossein Hassani & Masoud Yarmohammadi & Mahdi Kalantari & Rangan Gupta, 2021. "A robust approach for outlier imputation: Singular Spectrum Decomposition," Working Papers 202164, University of Pretoria, Department of Economics.
    45. Jens H. E. Christensen & Glenn D. Rudebusch, 2018. "A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt," Working Paper Series 2017-07, Federal Reserve Bank of San Francisco.
    46. Christensen, Jens H.E. & Spiegel, Mark M., 2022. "Monetary reforms and inflation expectations in Japan: Evidence from inflation-indexed bonds," Journal of Econometrics, Elsevier, vol. 231(2), pages 410-431.
    47. Andrés Schneider, 2022. "Risk‐Sharing and the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 77(4), pages 2331-2374, August.
    48. Kazuhiro Hiraki & Wataru Hirata, 2020. "Market-based Long-term Inflation Expectations in Japan: A Refinement on Breakeven Inflation Rates," Bank of Japan Working Paper Series 20-E-5, Bank of Japan.
    49. Januj Juneja, 2018. "Empirical performance of Gaussian affine dynamic term structure models in the presence of autocorrelation misspecification bias," Review of Quantitative Finance and Accounting, Springer, vol. 50(3), pages 695-715, April.
    50. Meldrum, Andrew & Raczko, Marek & Spencer, Peter, 2023. "The information in joint term structures of bond yields," Journal of International Money and Finance, Elsevier, vol. 134(C).
    51. Marcello Pericoli, 2019. "An assessment of recent trends in market-based expected iflation in the euro area," Questioni di Economia e Finanza (Occasional Papers) 542, Bank of Italy, Economic Research and International Relations Area.
    52. Götz, Martin, 2018. "Financial constraints and corporate environmental responsibility," SAFE Working Paper Series 241, Leibniz Institute for Financial Research SAFE.
    53. Goetz, Martin, 2019. "Financing conditions and toxic emissions," SAFE Working Paper Series 254, Leibniz Institute for Financial Research SAFE.
    54. Adam Golinski & Peter Spencer, 2019. "Estimating the term structure with linear regressions: Getting to the roots of the problem," Discussion Papers 19/05, Department of Economics, University of York.
    55. Christiane Baumeister, 2021. "Measuring Market Expectations," Working Papers 202163, University of Pretoria, Department of Economics.
    56. Bujunoori, Raja Reddy & Mannil, Nithin & Tantri, Prasanna, 2024. "Does labor composition impact the transmission of monetary policy to output?," Journal of Development Economics, Elsevier, vol. 167(C).
    57. Christensen, Jens H.E. & Gillan, James M., 2022. "Does quantitative easing affect market liquidity?," Journal of Banking & Finance, Elsevier, vol. 134(C).
    58. Andras Lengyel, 2022. "Treasury Supply Shocks and the Term Structure of Interest Rates in the UK," MNB Working Papers 2022/6, Magyar Nemzeti Bank (Central Bank of Hungary).
    59. Oleksandr Zholud & Volodymyr Lepushynskyi & Sergiy Nikolaychuk, 2019. "The Effectiveness of the Monetary Transmission Mechanism in Ukraine since the Transition to Inflation Targeting," Visnyk of the National Bank of Ukraine, National Bank of Ukraine, issue 247, pages 19-37.
    60. Lemke, Wolfgang & Werner, Thomas, 2017. "Dissecting long-term Bund yields in the run-up to the ECB's Public Sector Purchase Programme," Working Paper Series 2106, European Central Bank.
    61. Huang, Xiaoyong & Jia, Fei & Xu, Xiangyun & Yu shi,, 2019. "The threshold effect of market sentiment and inflation expectations on gold price," Resources Policy, Elsevier, vol. 62(C), pages 77-83.
    62. Mitsuru Katagiri, 2022. "Equilibrium Yield Curve, the Phillips Curve, and Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(8), pages 2235-2272, December.
    63. Alex Hsu & Erica X. N. Li & Francisco Palomino, 2021. "Real and Nominal Equilibrium Yield Curves," Management Science, INFORMS, vol. 67(2), pages 1138-1158, February.
    64. Martin M. Andreasen & Jens H. E. Christensen & Simon Riddell, 2020. "The TIPS Liquidity Premium," Working Paper Series 2017-11, Federal Reserve Bank of San Francisco.
    65. Roman Sustek, 2021. "Yield curve and the business cycle in conventional times," Discussion Papers 2122, Centre for Macroeconomics (CFM).
    66. Meldrum, Andrew & Roberts-Sklar, Matt, 2015. "Long-run priors for term structure models," Bank of England working papers 575, Bank of England.
    67. Mirco Rubin & Dario Ruzzi, 2020. "Equity Tail Risk in the Treasury Bond Market," Papers 2007.05933, arXiv.org.
    68. Munch Grønlund, Asger & Jørgensen, Kasper & Schupp, Fabian, 2024. "Measuring market-based core inflation expectations," Working Paper Series 2908, European Central Bank.
    69. Ciccarelli, Matteo & García, Juan Angel, 2015. "International spillovers in inflation expectations," Working Paper Series 1857, European Central Bank.
    70. Tobias Adrian & Gaston Gelos & Nora Lamersdorf & Emanuel Moench, 2024. "The asymmetric and persistent effects of Fed policy on global bond yields," BIS Working Papers 1195, Bank for International Settlements.
    71. Sara Cecchetti & Adriana Grasso & Marcello Pericoli, 2022. "An analysis of objective inflation expectations and inflation risk premia," Temi di discussione (Economic working papers) 1380, Bank of Italy, Economic Research and International Relations Area.
    72. Martin M. Andreasen, 2019. "Explaining Bond Return Predictability in an Estimated New Keynesian Model," CREATES Research Papers 2019-11, Department of Economics and Business Economics, Aarhus University.
    73. Berardi, Andrea, 2023. "Term premia and short rate expectations in the euro area," Journal of Empirical Finance, Elsevier, vol. 74(C).
    74. Martin M. Andreasen & Jens H.E. Christensen & Simon Riddell, 2017. "The TIPS Liquidity Premium," CREATES Research Papers 2017-27, Department of Economics and Business Economics, Aarhus University.
    75. Gabriele Zinna, 2014. "Price pressures in the UK index-linked market: an empirical investigation," Temi di discussione (Economic working papers) 968, Bank of Italy, Economic Research and International Relations Area.
    76. Alex Aronovich & Andrew C. Meldrum, 2021. "High-Frequency Estimates of the Natural Real Rate and Inflation Expectations," Finance and Economics Discussion Series 2021-034, Board of Governors of the Federal Reserve System (U.S.).
    77. Argyropoulos, Efthymios & Tzavalis, Elias, 2021. "The influence of real interest rates and risk premium effects on the ability of the nominal term structure to forecast inflation," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 785-796.
    78. Suh, Sangwon & Kim, Daehwan, 2021. "Inflation targeting and expectation anchoring: Evidence from developed and emerging market economies," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    79. Bingxin Ann Xing & Bruno Feunou & Morvan Nongni-Donfack & Rodrigo Sekkel, 2024. "U.S. Macroeconomic News and Low-Frequency Changes in Small Open Economies’ Bond Yields," Staff Working Papers 24-12, Bank of Canada.

  27. Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2011. "A Look at the Accuracy of Policy Expectations," Liberty Street Economics 20110822, Federal Reserve Bank of New York.

    Cited by:

    1. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021. "The Term Structure of Expectations," Staff Reports 992, Federal Reserve Bank of New York.
    2. Cao, Shuo & Crump, Richard K. & ,, 2020. "Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates," CEPR Discussion Papers 15122, C.E.P.R. Discussion Papers.

  28. Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2011. "Generalized Jackknife Estimators of Weighted Average Derivatives," CREATES Research Papers 2011-12, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Matias D. Cattaneo & Max H. Farrell & Michael Jansson & Ricardo Masini, 2022. "Higher-order Refinements of Small Bandwidth Asymptotics for Density-Weighted Average Derivative Estimators," Papers 2301.00277, arXiv.org, revised Feb 2024.
    2. Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2011. "Semiparametric estimation with generated covariates," SFB 649 Discussion Papers 2011-064, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Sebastian Calonico & Matias D. Cattaneo & Max H. Farrell, 2018. "On the Effect of Bias Estimation on Coverage Accuracy in Nonparametric Inference," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(522), pages 767-779, April.
    4. Cattaneo, Matias D & Jansson, Michael & Ma, Xinwei, 2019. "Two-Step Estimation and Inference with Possibly Many Included Covariates," University of California at San Diego, Economics Working Paper Series qt86c7x315, Department of Economics, UC San Diego.
    5. Jia Li & Dacheng Xiu, 2016. "Generalized Method of Integrated Moments for High‐Frequency Data," Econometrica, Econometric Society, vol. 84, pages 1613-1633, July.
    6. Čížek, Pavel & Lei, Jinghua, 2018. "Identification and estimation of nonseparable single-index models in panel data with correlated random effects," Journal of Econometrics, Elsevier, vol. 203(1), pages 113-128.
    7. Yukitoshi Matsushita & Taisuke Otsu, 2017. "Likelihood inference on semiparametric models: Average derivative and treatment effect," STICERD - Econometrics Paper Series 592, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    8. Andrew Ang & Dennis Kristensen, 2011. "Testing Conditional Factor Models," NBER Working Papers 17561, National Bureau of Economic Research, Inc.
    9. Kotlyarova, Yulia & Schafgans, Marcia M.A. & Zinde-Walsh, Victoria, 2021. "Rates of expansions for functional estimators," LSE Research Online Documents on Economics 113436, London School of Economics and Political Science, LSE Library.
    10. Nagasawa, Kenichi, 2020. "Identification and Estimation of Group-Level Partial Effects," The Warwick Economics Research Paper Series (TWERPS) 1243, University of Warwick, Department of Economics.
    11. Ruijun Bu & Jihyun Kim & Bin Wang, 2020. "Uniform and Lp Convergences of Nonparametric Estimation for Diffusion Models," Working Papers 202021, University of Liverpool, Department of Economics.
    12. Yukitoshi Matsushita & Taisuke Otsu, 2019. "Jackknife, small bandwidth and high-dimensional asymptotics," STICERD - Econometrics Paper Series 605, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    13. Farrell, Max H., 2015. "Robust inference on average treatment effects with possibly more covariates than observations," Journal of Econometrics, Elsevier, vol. 189(1), pages 1-23.
    14. Rothe, Christoph & Firpo, Sergio, 2013. "Semiparametric Estimation and Inference Using Doubly Robust Moment Conditions," IZA Discussion Papers 7564, Institute of Labor Economics (IZA).
    15. Matias D. Cattaneo & Michael Jansson, 2019. "Average Density Estimators: Efficiency and Bootstrap Consistency," Papers 1904.09372, arXiv.org, revised Dec 2020.
    16. Matias D. Cattaneo & Michael Jansson, 2014. "Bootstrapping Kernel-Based Semiparametric Estimators," CREATES Research Papers 2014-25, Department of Economics and Business Economics, Aarhus University.
    17. Sadikoglu, Serhan, 2019. "Essays in econometric theory," Other publications TiSEM 99d83644-f9dc-49e3-a4e1-5, Tilburg University, School of Economics and Management.
    18. Cizek, Pavel & Sadikoglu, Serhan, 2022. "Nonseparable Panel Models with Index Structure and Correlated Random Effects," Discussion Paper 2022-009, Tilburg University, Center for Economic Research.
    19. Matias D. Cattaneo & Michael Jansson, 2018. "Kernel†Based Semiparametric Estimators: Small Bandwidth Asymptotics and Bootstrap Consistency," Econometrica, Econometric Society, vol. 86(3), pages 955-995, May.
    20. Cizek, Pavel & Sadikoglu, Serhan, 2022. "Nonseparable Panel Models with Index Structure and Correlated Random Effects," Other publications TiSEM 7899deb9-0eda-47e6-a3b8-2, Tilburg University, School of Economics and Management.
    21. Harold D. Chiang & Bing Yang Tan, 2020. "Empirical likelihood and uniform convergence rates for dyadic kernel density estimation," Papers 2010.08838, arXiv.org, revised May 2022.
    22. Cizek, P. & Lei, J., 2013. "Identification and Estimation of Nonseparable Single-Index Models in Panel Data with Correlated Random Effects," Other publications TiSEM 73e394eb-6799-4c79-af23-8, Tilburg University, School of Economics and Management.
    23. Max H. Farrell & Tengyuan Liang & Sanjog Misra, 2020. "Deep Learning for Individual Heterogeneity: An Automatic Inference Framework," Papers 2010.14694, arXiv.org, revised Jul 2021.

  29. Richard Crump & Gopi Shah Goda & Kevin Mumford, 2010. "Fertility and the Personal Exemption: Comment," NBER Working Papers 15984, National Bureau of Economic Research, Inc.

    Cited by:

    1. Silveus, Neil & Stoddard, Christiana, 2020. "Identifying the causal effect of income on religiosity using the Earned Income Tax Credit," Journal of Economic Behavior & Organization, Elsevier, vol. 178(C), pages 903-924.
    2. Lucia Granelli, 2016. "Family Tax Policy in a Model with Endogenous Fertility à la Barro-Becker," LIDAM Discussion Papers IRES 2016010, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    3. Ortigueira, Salvador & Siassi, Nawid, 2021. "On the Optimal Reform of Income Support for Single Parents," ECON WPS - Working Papers in Economic Theory and Policy 05/2021, TU Wien, Institute of Statistics and Mathematical Methods in Economics, Economics Research Unit.
    4. Dong, Xiaoqi & Liang, Yinhe & Zhang, Jiawei, 2023. "Fertility responses to the relaxation of migration restrictions: Evidence from the Hukou reform in China," China Economic Review, Elsevier, vol. 81(C).
    5. Sara LaLumia & James Sallee, 2011. "The Value of Honesty: Empirical Estimates from the Case of the Missing Children," Department of Economics Working Papers 2011-05, Department of Economics, Williams College.
    6. Regina T. Riphahn & Frederik Wiynck, 2016. "Fertility Effects of Child Benefits," Working Papers 164, Bavarian Graduate Program in Economics (BGPE).
    7. Pinto,Maria Florencia & Posadas,Josefina & Shapira,Gil, 2021. "Financial Incentives, Fertility, and Son Preference in Armenia," Policy Research Working Paper Series 9705, The World Bank.
    8. Bishop Kelly C. & Mac Donald Diana E., 2022. "The Effect of Paying Parents to Adopt: Evidence from Minnesota's Foster-Care System," Working Papers 2022-01, Banco de México.
    9. Ankel-Peters, Jörg & Fiala, Nathan & Neubauer, Florian, 2023. "Is Economics Self-Correcting? Replications in the American Economic Review," I4R Discussion Paper Series 68, The Institute for Replication (I4R).
    10. Choo, Dahae & Jales, Hugo, 2021. "Childbearing and the distribution of the reservation price of fertility: The case of the Korean baby bonus program," Journal of Asian Economics, Elsevier, vol. 77(C).
    11. Rannveig Kaldager Hart & Taryn A. Galloway, 2023. "Universal Transfers, Tax Breaks and Fertility: Evidence from a Regional Reform in Norway," Population Research and Policy Review, Springer;Southern Demographic Association (SDA), vol. 42(3), pages 1-32, June.
    12. Richard Crump & Gopi Shah Goda & Kevin J. Mumford, 2011. "Fertility and the Personal Exemption: Comment," American Economic Review, American Economic Association, vol. 101(4), pages 1616-1628, June.
    13. Sara LaLumia & James M. Sallee & Nicholas Turner, 2013. "New Evidence on Taxes and the Timing of Birth," NBER Working Papers 19283, National Bureau of Economic Research, Inc.
    14. Wookun Kim, 2023. "Baby Bonus, Fertility, and Missing Women," Departmental Working Papers 2308, Southern Methodist University, Department of Economics.
    15. Lee, Gi-Eu & Chou, Chang-Erh, 2020. "The Ex Ante Price Information Effect on Water Conservation: A Case Study of Taipei’s Water Tariff Adjustment," 2020 Annual Meeting, July 26-28, Kansas City, Missouri 304253, Agricultural and Applied Economics Association.
    16. Wookun Kim, 2020. "Baby Bonus, Fertility, and Missing Women," Departmental Working Papers 2011, Southern Methodist University, Department of Economics.
    17. Taryn Ann Galloway & Rannveig Kaldager Hart, 2015. "Effects of income and the cost of children on fertility. Quasi-experimental evidence from Norway," Discussion Papers 828, Statistics Norway, Research Department.
    18. Elmallakh, Nelly, 2021. "Fertility, Family Policy, and Labor Supply: Quasi-Experimental Evidence from France," GLO Discussion Paper Series 984, Global Labor Organization (GLO).
    19. Giam Pietro Cipriani & Tamara Fioroni, 2024. "Grandparental childcare, family allowances and retirement policies," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 31(6), pages 1669-1692, December.
    20. Lucia Granelli, 2017. "Family Tax Policy with Heterogeneous Altruistic Households," LIDAM Discussion Papers IRES 2017019, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    21. Wookun Kim, 2024. "Baby Bonus, Fertility, and Missing Women," CESifo Working Paper Series 11215, CESifo.
    22. Anthony A. Noce & Dhimtri Qirjo & Namini De Silva, 2016. "Enticing the Stork: Can we Evaluate Pro-Natal Policies Before Having Children?," Economic Affairs, Wiley Blackwell, vol. 36(2), pages 184-202, June.

  30. Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2010. "Bootstrapping Density-Weighted Average Derivatives," CREATES Research Papers 2010-23, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Paulo Parente & Richard J. Smith, 2019. "Quasi-maximum likelihood and the kernel block bootstrap for nonlinear dynamic models," CeMMAP working papers CWP60/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    2. Cattaneo, Matias D & Jansson, Michael & Ma, Xinwei, 2019. "Two-Step Estimation and Inference with Possibly Many Included Covariates," University of California at San Diego, Economics Working Paper Series qt86c7x315, Department of Economics, UC San Diego.
    3. Kotlyarova, Yulia & Schafgans, Marcia M.A. & Zinde-Walsh, Victoria, 2021. "Rates of expansions for functional estimators," LSE Research Online Documents on Economics 113436, London School of Economics and Political Science, LSE Library.
    4. Yulia Kotlyarova & Marcia Schafgans & Victoria Zinde-Walsh, 2011. "Adapting Kernel Estimation to Uncertain Smoothness," Working Papers daleconwp2011-01, Dalhousie University, Department of Economics.
    5. Clara Lía Machado & Carlos León & Miguel Sarmiento & Freddy Cepeda & Orlando Chipatecua & Jorge cely, 2010. "Riesgo Sistémico y Estabilidad del Sistema de Pagos de Alto Valor en Colombia: Análisis bajo Topología de Redes y Simulación de Pagos," Borradores de Economia 627, Banco de la Republica de Colombia.
    6. Konrad Menzel, 2021. "Bootstrap With Cluster‐Dependence in Two or More Dimensions," Econometrica, Econometric Society, vol. 89(5), pages 2143-2188, September.
    7. Clara Machado & Carlos León & Miguel Sarmiento & Freddy Cepeda & Orlando Chipatecua & Jorge Cely, 2011. "Riesgo Sistémico Y Estabilidad Del Sistema De Pagos De Alto Valor En Colombia: Análisis Bajo," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 29(65), pages 106-175, June.
    8. Paulo M.D.C. Parente & Richard J. Smith, 2018. "Generalised Empirical Likelihood Kernel Block Bootstrapping," Working Papers REM 2018/55, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    9. Robert Griffiths & Richard Barron & Michelle Gleeson & Mark Danese & Anthony O’Hagan & Victoria Chia & Jason Legg & Gary Lyman, 2012. "Granulocyte-Colony Stimulating Factor Use and Medical Costs after Initial Adjuvant Chemotherapy in Older Patients with Early-Stage Breast Cancer," PharmacoEconomics, Springer, vol. 30(2), pages 103-118, February.

  31. Hotz, V. Joseph & Crump, Richard K. & Mitnik, Oscar A. & Imbens, Guido, 2009. "Dealing with Limited Overlap in Estimation of Average Treatment Effects," Scholarly Articles 3007645, Harvard University Department of Economics.

    Cited by:

    1. Hällsten, Martin, 2012. "Is it ever too late to study? The economic returns on late tertiary degrees in Sweden," Economics of Education Review, Elsevier, vol. 31(1), pages 179-194.
    2. Heiler, Phillip & Kazak, Ekaterina, 2021. "Valid inference for treatment effect parameters under irregular identification and many extreme propensity scores," Journal of Econometrics, Elsevier, vol. 222(2), pages 1083-1108.
    3. Gonzalez, Felipe & Prem, Mounu & von Dessauer, Cristine, 2023. "Empowerment or Indoctrination? Women Centers Under Dictatorship," SocArXiv 64mf9, Center for Open Science.
    4. Heid, Benedikt & Márquez-Ramos, Laura, 2023. "International environmental agreements and imperfect enforcement: Evidence from CITES," Journal of Environmental Economics and Management, Elsevier, vol. 118(C).
    5. Tarjei Havnes & Magne Mogstad, 2009. "No Child Left Behind. Universal Child Care and Children's Long-Run Outcomes," Discussion Papers 582, Statistics Norway, Research Department.
    6. Black, Dan A. & Joo, Joonhwi & LaLonde, Robert & Smith, Jeffrey A. & Taylor, Evan J., 2022. "Simple Tests for Selection: Learning More from Instrumental Variables," Labour Economics, Elsevier, vol. 79(C).
    7. Tarek Azzam & Michael Bates & David Fairris, 2020. "Do Learning Communities Increase First Year College Retention? Testing Sample Selection and External Validity of Randomized Control Trials," Working Papers 202022, University of California at Riverside, Department of Economics, revised Jul 2020.
    8. Miguel Cantillo, 2015. "Dynamic Investment with Adverse Selection and Moral Hazard," Working Papers 201501, Universidad de Costa Rica, revised Mar 2015.
    9. Gary King & Christopher Lucas & Richard A. Nielsen, 2017. "The Balance‐Sample Size Frontier in Matching Methods for Causal Inference," American Journal of Political Science, John Wiley & Sons, vol. 61(2), pages 473-489, April.
    10. Bernard Black & José-Antonio Espín-Sánchez & Eric French & Kate Litvak, 2017. "The Long-Term Effect of Health Insurance on Near-Elderly Health and Mortality," American Journal of Health Economics, MIT Press, vol. 3(3), pages 281-311, Summer.
    11. Hill, Matthew J. & Maestas, Nicole & Mullen, Kathleen J., 2016. "Employer accommodation and labor supply of disabled workers," Labour Economics, Elsevier, vol. 41(C), pages 291-303.
    12. Tamara Bischof & Boris Kaiser, 2019. "Who Cares When You Close Down? The Effects of Primary Care Practice Closures on Patients," Diskussionsschriften dp1907, Universitaet Bern, Departement Volkswirtschaft.
    13. Marco Caliendo & Steffen Künn, 2010. "Start-up Subsidies for the Unemployed: Long-Term Evidence and Effect Heterogeneity," Discussion Papers of DIW Berlin 985, DIW Berlin, German Institute for Economic Research.
    14. Daniel Burkhard & Christian Schmid & Kaspar W thrich, 2015. "Financial incentives and physician prescription behavior: Evidence from dispensing regulations," Diskussionsschriften dp1511, Universitaet Bern, Departement Volkswirtschaft.
    15. Michael Lechner & Anthony Strittmatter, 2019. "Practical procedures to deal with common support problems in matching estimation," Econometric Reviews, Taylor & Francis Journals, vol. 38(2), pages 193-207, February.
    16. Dettmann, Eva & Becker, Claudia & Schmeißer, Christian, 2010. "Is there a Superior Distance Function for Matching in Small Samples?," IWH Discussion Papers 3/2010, Halle Institute for Economic Research (IWH).
    17. Prem, Mounu & Vargas, Juan F. & Namen, Olga, 2020. "The Human Capital Peace Dividend," SocArXiv kd4pb, Center for Open Science.
    18. Guido Blasio & Samuele Poy, 2017. "THE IMPACT OF LOCAL WAGE REGULATION ON EMPLOYMENT: A BORDER ANALYSIS FROM ITALY IN THE 1950s," Journal of Regional Science, Wiley Blackwell, vol. 57(1), pages 48-74, January.
    19. Brenøe, Anne & Canaan, Serena & Royer, Heather & Harmon, Nikolaj, 2022. "Is Parental Leave Costly for Firms and Coworkers?," VfS Annual Conference 2022 (Basel): Big Data in Economics 264012, Verein für Socialpolitik / German Economic Association.
    20. Dettmann, E. & Becker, C. & Schmeißer, C., 2011. "Distance functions for matching in small samples," Computational Statistics & Data Analysis, Elsevier, vol. 55(5), pages 1942-1960, May.
    21. Baten, Jörg & Cappelli, Gabriele, 2016. "The Evolution of Human Capital in Africa, 1730 – 1970: A Colonial Legacy?," CEPR Discussion Papers 11273, C.E.P.R. Discussion Papers.
    22. Alix-Garcia, Jennifer Marie & Shapiro, Elizabeth N. & Sims, Katharine R.E., 2010. "Forest Conservation and Slippage: Evidence from Mexico's National Payments for Ecosystem Services Program," Staff Papers 93045, University of Wisconsin-Madison, Department of Agricultural and Applied Economics.
    23. Kono, Hisaki & Sawada, Yasuyuki & Shonchoy, Abu S., 2016. "DVD-based distance-learning program for university entrance exams -- RCT experiments in rural Bangladesh," IDE Discussion Papers 580, Institute of Developing Economies, Japan External Trade Organization(JETRO).
    24. Chad D. Meyerhoefer & Muzhe Yang, 2011. "The Relationship between Food Assistance and Health: A Review of the Literature and Empirical Strategies for Identifying Program Effects," Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, vol. 33(3), pages 304-344.
    25. Koch, Nicolas & Basse Mama, Houdou, 2019. "Does the EU Emissions Trading System induce investment leakage? Evidence from German multinational firms," Energy Economics, Elsevier, vol. 81(C), pages 479-492.
    26. David J. Harding & Lisa Sanbonmatsu & Greg J. Duncan & Lisa A. Gennetian & Lawrence F. Katz & Ronald C. Kessler & Jeffrey R. Kling & Matthew Sciandra & Jens Ludwig, 2021. "Evaluating Contradictory Experimental and Non-Experimental Estimates of Neighborhood Effects on Economic Outcomes for Adults," NBER Working Papers 28454, National Bureau of Economic Research, Inc.
    27. Dolton, Peter & Smith, Jeffrey A., 2011. "The Impact of the UK New Deal for Lone Parents on Benefit Receipt," IZA Discussion Papers 5491, Institute of Labor Economics (IZA).
    28. Marta Santamaría & Jaume Ventura & Uğur Yeşilbayraktar, 2020. "Borders within Europe," Economics Working Papers 1763, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2024.
    29. Yamauchi, Futoshi & Liu, Yanyan, 2011. "Girls take over: Long-term impacts of an early stage education intervention in the Philippines," IFPRI discussion papers 1144, International Food Policy Research Institute (IFPRI).
    30. Péter Elek & Balázs Váradi & Márton Varga, 2015. "Effects of Geographical Accessibility on the Use of Outpatient Care Services: Quasi‐Experimental Evidence from Panel Count Data," Health Economics, John Wiley & Sons, Ltd., vol. 24(9), pages 1131-1146, September.
    31. Simon Porcher, 2019. "Does Contracting for the Provision of Public Services Decrease Prices? Evidence from French Water Public Services," Working Papers hal-02145863, HAL.
    32. Inder Ruprah, 2010. "Does Owning Your Home Make You Happier? Impact Evidence from Latin America," OVE Working Papers 0210, Inter-American Development Bank, Office of Evaluation and Oversight (OVE).
    33. Guido Imbens, 2014. "Matching Methods in Practice: Three Examples," NBER Working Papers 19959, National Bureau of Economic Research, Inc.
    34. Huber, Martin, 2019. "An introduction to flexible methods for policy evaluation," FSES Working Papers 504, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
    35. Lucia Mangiavacchi & Paolo Verme, 2013. "Minimum income in a transition economy," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 21(4), pages 683-712, October.
    36. Toru Kitagawa & Chris Muris, 2015. "Model averaging in semiparametric estimation of treatment effects," CeMMAP working papers CWP46/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    37. Yuta Kikuchi & Ryo Nakajima, 2017. "Evaluating Professor Value-added: Evidence from Professor and Student Matching in Physics," Keio-IES Discussion Paper Series 2017-007, Institute for Economics Studies, Keio University.
    38. Schilling, Brian J. & Attavanich, Witsanu & Sullivan, Kevin P. & Marxen, Lucas J., 2014. "Measuring the effect of farmland preservation on farm profitability," MPRA Paper 100122, University Library of Munich, Germany, revised Jun 2014.
    39. Samuel Bazzi & Sudarno Sumarto & Asep Suryahadi, . "It's All in the Timing: Cash Transfers and Consumption Smoothing in a Developing Country," Journal Article, Publications Department.
    40. Dana Rotz & Brian Goesling & Molly Crofton & Jennifer Manlove & Kate Welti, "undated". "Final Impacts of Teen PEP (Teen Prevention Education Program) in New Jersey and North Carolina High Schools," Mathematica Policy Research Reports 40fc2bb74d874e59a8e424638, Mathematica Policy Research.
    41. Lang, Kevin & Weinstein, Russell, 2013. "The wage effects of not-for-profit and for-profit certifications: Better data, somewhat different results," Labour Economics, Elsevier, vol. 24(C), pages 230-243.
    42. Paik, Myungho & Black, Bernard & Hyman, David A., 2017. "Damage caps and defensive medicine, revisited," Journal of Health Economics, Elsevier, vol. 51(C), pages 84-97.
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    307. Wichman, Casey J. & Ferraro, Paul J., 2017. "A cautionary tale on using panel data estimators to measure program impacts," Economics Letters, Elsevier, vol. 151(C), pages 82-90.
    308. Ganesh Karapakula, 2023. "Stable Probability Weighting: Large-Sample and Finite-Sample Estimation and Inference Methods for Heterogeneous Causal Effects of Multivalued Treatments Under Limited Overlap," Papers 2301.05703, arXiv.org, revised Jan 2023.
    309. Martin Wiegand, 2019. "Do early-ending conditional cash transfer programs crowd out school enrollment?," Tinbergen Institute Discussion Papers 19-053/V, Tinbergen Institute.
    310. Esaka, Taro, 2014. "Are consistent pegs really more prone to currency crises?," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 136-163.
    311. Tohari, Achmad & Parsons, Christopher & Rammohan, Anu, 2019. "Targeting poverty under complementarities: Evidence from Indonesia's unified targeting system," Journal of Development Economics, Elsevier, vol. 140(C), pages 127-144.
    312. Yuta Kikuchi & Ryo Nakajima, 2016. "Evaluating Professor Value-added: Evidence from Professor and Student Matching in Physics," Keio-IES Discussion Paper Series 2016-002, Institute for Economics Studies, Keio University.
    313. Paul Goldsmith-Pinkham & Peter Hull & Michal Kolesár, 2021. "On Estimating Multiple Treatment Effects with Regression," Working Papers 2021-41, Princeton University. Economics Department..
    314. Hünermund, Paul & Czarnitzki, Dirk, 2015. "Estimating the Local Average Treatment Effect of R&D Subsidies in a Virtual Common Pot," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112869, Verein für Socialpolitik / German Economic Association.
    315. Ventura, Jaume & Santamaria, Marta & YeÅŸilbayraktar, UÄŸur, 2021. "Borders within Europe," CEPR Discussion Papers 15633, C.E.P.R. Discussion Papers.
    316. Inés Berniell & Jan Bietenbeck, 2019. "The E↵ect of Working Hours on Health," Asociación Argentina de Economía Política: Working Papers 4210, Asociación Argentina de Economía Política.
    317. Fedesarrollo, 2018. "Evaluación de los impactos causados en las regiones productoras de hidrocarburos y minerales con el actual Sistema General de Regalías," Informes de Investigación 17258, Fedesarrollo.
    318. Andrew Goodman-Bacon & Jamein P. Cunningham, 2019. "Changes in Family Structure and Welfare Participation Since the 1960s: The Role of Legal Services," NBER Working Papers 26238, National Bureau of Economic Research, Inc.
    319. Dana Rotz & Brian Goesling & Molly Crofton & Christopher Trenholm & Jennifer Manlove & Kate Welti, "undated". "Interim Impacts of Teen PEP in New Jersey and North Carolina High Schools," Mathematica Policy Research Reports 74b7aa859c364d8c920644a13, Mathematica Policy Research.

  32. Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2009. "Robust Data-Driven Inference for Density-Weighted Average Derivatives," CREATES Research Papers 2009-46, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Hiroaki Kaido, 2014. "Asymptotically efficient estimation of weighted average derivatives with an interval censored variable," CeMMAP working papers 03/14, Institute for Fiscal Studies.
    2. Matias D. Cattaneo & Max H. Farrell & Michael Jansson & Ricardo Masini, 2022. "Higher-order Refinements of Small Bandwidth Asymptotics for Density-Weighted Average Derivative Estimators," Papers 2301.00277, arXiv.org, revised Feb 2024.
    3. Matias D. Cattaneo & Michael Jansson & Whitney K. Newey, 2015. "Alternative Asymptotics and the Partially Linear Model with Many Regressors," Papers 1505.08120, arXiv.org.
    4. Cattaneo, Matias D & Jansson, Michael & Ma, Xinwei, 2019. "Two-Step Estimation and Inference with Possibly Many Included Covariates," University of California at San Diego, Economics Working Paper Series qt86c7x315, Department of Economics, UC San Diego.
    5. Cattaneo, Matias D & Crump, Richard K & Jansson, Michael, 2014. "Small Bandwidth Asymptotics For Density-Weighted Average Derivatives," Department of Economics, Working Paper Series qt3jd237cg, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    6. Belloni, Alexandre & Chernozhukov, Victor & Chetverikov, Denis & Fernández-Val, Iván, 2019. "Conditional quantile processes based on series or many regressors," Journal of Econometrics, Elsevier, vol. 213(1), pages 4-29.
    7. Hao Dong & Taisuke Otsu & Luke Taylor, 2019. "Average derivative estimation under measurement error," STICERD - Econometrics Paper Series 602, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    8. Atchadé, Yves F. & Cattaneo, Matias D., 2014. "A martingale decomposition for quadratic forms of Markov chains (with applications)," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 646-677.
    9. Dennis Kristensen, 2009. "Semiparametric modelling and estimation (in Russian)," Quantile, Quantile, issue 7, pages 53-83, September.
    10. Donald W.K. Andrews & Xiaoxia Shi, 2011. "Nonparametric Inference Based on Conditional Moment Inequalities," Cowles Foundation Discussion Papers 1840R, Cowles Foundation for Research in Economics, Yale University, revised Feb 2013.
    11. Yukitoshi Matsushita & Taisuke Otsu, 2017. "Likelihood inference on semiparametric models: Average derivative and treatment effect," STICERD - Econometrics Paper Series 592, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    12. Yukitoshi Matsushita & Taisuke Otsu, 2018. "Likelihood Inference on Semiparametric Models: Average Derivative and Treatment Effect," The Japanese Economic Review, Springer, vol. 69(2), pages 133-155, June.
    13. Yukitoshi Matsushita & Taisuke Otsu, 2019. "Jackknife, small bandwidth and high-dimensional asymptotics," STICERD - Econometrics Paper Series 605, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    14. Valeri Voev, 2009. "On the Economic Evaluation of Volatility Forecasts," CREATES Research Papers 2009-56, Department of Economics and Business Economics, Aarhus University.
    15. Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2013. "Rejoinder," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 108(504), pages 1265-1268, December.
    16. Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Ernst Schaumburg, 2020. "Characteristic-Sorted Portfolios: Estimation and Inference," The Review of Economics and Statistics, MIT Press, vol. 102(3), pages 531-551, July.
    17. Ulrich K. Müller & Yulong Wang, 2017. "Fixed- Asymptotic Inference About Tail Properties," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(519), pages 1334-1343, July.

  33. Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2008. "Small Bandwidth Asymptotics for Density-Weighted Average Derivatives," CREATES Research Papers 2008-24, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Hiroaki Kaido, 2014. "Asymptotically efficient estimation of weighted average derivatives with an interval censored variable," CeMMAP working papers 03/14, Institute for Fiscal Studies.
    2. Cattaneo, Matias D & Jansson, Michael & Ma, Xinwei, 2019. "Two-Step Estimation and Inference with Possibly Many Included Covariates," University of California at San Diego, Economics Working Paper Series qt86c7x315, Department of Economics, UC San Diego.
    3. Hao Dong & Taisuke Otsu & Luke Taylor, 2019. "Average derivative estimation under measurement error," STICERD - Econometrics Paper Series 602, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    4. Matsushita, Yukitoshi & Otsu, Taisuke, 2020. "Jackknife empirical likelihood: small bandwidth, sparse network and high-dimension asymptotic," LSE Research Online Documents on Economics 106488, London School of Economics and Political Science, LSE Library.
    5. Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2010. "Robust Data-Driven Inference for Density-Weighted Average Derivatives," Journal of the American Statistical Association, American Statistical Association, vol. 105(491), pages 1070-1083.
    6. Yulong Wang & Zhijie Xiao, 2020. "Estimation and Inference about Tail Features with Tail Censored Data," Boston College Working Papers in Economics 994, Boston College Department of Economics.
    7. Kotlyarova, Yulia & Schafgans, Marcia M.A. & Zinde-Walsh, Victoria, 2021. "Rates of expansions for functional estimators," LSE Research Online Documents on Economics 113436, London School of Economics and Political Science, LSE Library.
    8. Yukitoshi Matsushita & Taisuke Otsu, 2019. "Jackknife, small bandwidth and high-dimensional asymptotics," STICERD - Econometrics Paper Series 605, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    9. Farrell, Max H., 2015. "Robust inference on average treatment effects with possibly more covariates than observations," Journal of Econometrics, Elsevier, vol. 189(1), pages 1-23.
    10. Bryan S. Graham, 2019. "Network Data," Papers 1912.06346, arXiv.org.
    11. Stéphane Bonhomme & Martin Weidner, 2020. "Minimizing Sensitivity to Model Misspecification," CeMMAP working papers CWP37/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    12. Bryan S. Graham, 2019. "Dyadic Regression," Papers 1908.09029, arXiv.org.
    13. Graham, Bryan S. & Niu, Fengshi & Powell, James L., 2024. "Kernel density estimation for undirected dyadic data," Journal of Econometrics, Elsevier, vol. 240(2).
    14. Bryan S. Graham, 2020. "Sparse network asymptotics for logistic regression," Papers 2010.04703, arXiv.org.
    15. Dennis Kristensen, 2009. "Semiparametric Modelling and Estimation: A Selective Overview," CREATES Research Papers 2009-44, Department of Economics and Business Economics, Aarhus University.
    16. Stéphane Bonhomme & Martin Weidner, 2022. "Minimizing sensitivity to model misspecification," Quantitative Economics, Econometric Society, vol. 13(3), pages 907-954, July.
    17. Bryan S. Graham, 2019. "Network Data," CeMMAP working papers CWP71/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    18. Jun, Sung Jae & Pinkse, Joris & Wan, Yuanyuan, 2015. "Classical Laplace estimation for n3-consistent estimators: Improved convergence rates and rate-adaptive inference," Journal of Econometrics, Elsevier, vol. 187(1), pages 201-216.

  34. Mitnik, Oscar K. & Imbens, Guido & Hotz, V. Joseph & Crump, Richard K., 2008. "Nonparametric Tests for Treatment Effect Heterogeneity," Scholarly Articles 3039049, Harvard University Department of Economics.

    Cited by:

    1. Marusca De Castris & Guido Pellegrini, 2015. "Caratteristiche delle imprese ed eterogeneit? degli effetti degli incentivi alla r&s," SCIENZE REGIONALI, FrancoAngeli Editore, vol. 2015(3 Suppl.), pages 61-79.
    2. Sianesi, Barbara, 2017. "Evidence of randomisation bias in a large-scale social experiment: The case of ERA," Journal of Econometrics, Elsevier, vol. 198(1), pages 41-64.
    3. John Cai & Weinan Wang, 2022. "A Systematic Paradigm for Detecting, Surfacing, and Characterizing Heterogeneous Treatment Effects (HTE)," Papers 2211.01547, arXiv.org.
    4. Dehejia, Rajeev & Pop-Eleches, Cristian & Samii, Cyrus, 2015. "From Local to Global: External Validity in a Fertility Natural Experiment," IZA Discussion Papers 9300, Institute of Labor Economics (IZA).
    5. Timothy B. Armstrong & Shu Shen, 2013. "Inference on Optimal Treatment Assignments," Cowles Foundation Discussion Papers 1927RR, Cowles Foundation for Research in Economics, Yale University, revised Apr 2015.
    6. Ana Galvao & James Mitchell, 2021. "Communicating Data Uncertainty: Multi-Wave Experimental Evidence for U.K. GDP," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2021-06, Economic Statistics Centre of Excellence (ESCoE).
    7. Cockx, Bart & Lechner, Michael & Bollens, Joost, 2023. "Priority to unemployed immigrants? A causal machine learning evaluation of training in Belgium," Labour Economics, Elsevier, vol. 80(C).
    8. Seán M. Muller, 2021. "Evidence for a YETI? A Cautionary Tale from South Africa's Youth Employment Tax Incentive," Development and Change, International Institute of Social Studies, vol. 52(6), pages 1301-1342, November.
    9. Eleonora Patacchini & Tiziano Arduini & Edoardo Rainone, 2014. "Identification and Estimation of Outcome Response with Heterogeneous Treatment Externalities," Center for Policy Research Working Papers 167, Center for Policy Research, Maxwell School, Syracuse University.
    10. Pedro H. C. Sant'Anna, 2016. "Nonparametric Tests for Treatment Effect Heterogeneity with Duration Outcomes," Papers 1612.02090, arXiv.org, revised Feb 2020.
    11. Guido Imbens & Jeffrey M. Wooldridge, 2008. "Recent developments in the econometrics of program evaluation," CeMMAP working papers CWP24/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    12. Chung, EunYi & Olivares, Mauricio, 2021. "Permutation test for heterogeneous treatment effects with a nuisance parameter," Journal of Econometrics, Elsevier, vol. 225(2), pages 148-174.
    13. Britta Augsburg & Antonella Bancalari & Zara Durrani & Madhav Vaidyanathan & Zach White, 2021. "When nature calls back: sustaining behavioural change in rural Pakistan," IFS Working Papers W21/46, Institute for Fiscal Studies.
    14. Fatema, Naureen & Kibriya, Shahriar, 2017. "Givers of great dinners know few enemies: The impact of household food security on micro-level communal conflict in Eastern Democratic Republic of Congo," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258482, Agricultural and Applied Economics Association.
    15. Philip Gleason & Alexandra Resch & Jillian Berk, 2018. "RD or Not RD: Using Experimental Studies to Assess the Performance of the Regression Discontinuity Approach," Evaluation Review, , vol. 42(1), pages 3-33, February.
    16. Lehrer, Steven F. & Pohl, R. Vincent & Song, Kyungchul, 2018. "Multiple Testing and the Distributional Effects of Accountability Incentives in Education," MPRA Paper 89532, University Library of Munich, Germany.
    17. Gabriel Okasa & Kenneth A. Younge, 2022. "Sample Fit Reliability," Papers 2209.06631, arXiv.org.
    18. Manuel S. Santos & Juan Pablo Rincon-Zapatero, 2007. "Moving the Goalposts: Differentiability of the Value Function without Interiority Assumptions," Working Papers 0614, University of Miami, Department of Economics.
    19. Alejandro Sanchez-Becerra, 2023. "Robust inference for the treatment effect variance in experiments using machine learning," Papers 2306.03363, arXiv.org.
    20. Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik, 2006. "Moving the Goalposts: Addressing Limited Overlap in the Estimation of Average Treatment Effects by Changing the Estimand," NBER Technical Working Papers 0330, National Bureau of Economic Research, Inc.
    21. Paul Ferraro & Merlin Hanauer, 2011. "Protecting Ecosystems and Alleviating Poverty with Parks and Reserves: ‘Win-Win’ or Tradeoffs?," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 48(2), pages 269-286, February.
    22. Sokbae Lee & Yoon-Jae Whang, 2009. "Nonparametric Tests of Conditional Treatment Effects," Cowles Foundation Discussion Papers 1740, Cowles Foundation for Research in Economics, Yale University.
    23. Yanchun Jin, 2016. "Nonparametric tests for the effect of treatment on conditional variance," KIER Working Papers 948, Kyoto University, Institute of Economic Research.
    24. Daniel Kaliski, 2023. "Identifying the impact of health insurance on subgroups with changing rates of diagnosis," Health Economics, John Wiley & Sons, Ltd., vol. 32(9), pages 2098-2112, September.
    25. Zongwu Cai & Ying Fang & Ming Lin & Shengfang Tang, 2021. "A Nonparametric Test for Testing Heterogeneity in Conditional Quantile Treatment Effects," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202117, University of Kansas, Department of Economics, revised Aug 2021.
    26. Albrecht, Konstanze & von Essen, Emma & Parys, Juliane & Szech, Nora, 2013. "Updating, self-confidence, and discrimination," European Economic Review, Elsevier, vol. 60(C), pages 144-169.
    27. Sung Jae Jun & Yoonseok Lee & Youngki Shin, 2016. "Treatment Effects With Unobserved Heterogeneity: A Set Identification Approach," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 302-311, April.
    28. Nathan Kallus, 2022. "Treatment Effect Risk: Bounds and Inference," Papers 2201.05893, arXiv.org, revised Jul 2022.
    29. Pender, John & Reeder, Richard, 2011. "Impacts of Regional Approaches to Rural Development: Initial Evidence on the Delta Regional Authority," Economic Research Report 262240, United States Department of Agriculture, Economic Research Service.
    30. Marianne P. Bitler & Jonah B. Gelbach & Hilary W. Hoynes, 2014. "Can Variation in Subgroups' Average Treatment Effects Explain Treatment Effect Heterogeneity? Evidence from a Social Experiment," NBER Working Papers 20142, National Bureau of Economic Research, Inc.
    31. Steinkraus, Arne, 2018. "Rethinking Policy Evaluation – Do Simple Neural Nets Bear Comparison with Synthetic Control Method?," EconStor Preprints 177390, ZBW - Leibniz Information Centre for Economics.
    32. Steven F. Lehrer & R. Vincent Pohl & Kyungchul Song, 2016. "Targeting Policies: Multiple Testing and Distributional Treatment Effects," NBER Working Papers 22950, National Bureau of Economic Research, Inc.
    33. Słoczyński, Tymon, 2012. "New Evidence on Linear Regression and Treatment Effect Heterogeneity," MPRA Paper 39524, University Library of Munich, Germany.
    34. Lépine, A. & Lagarde, M. & Le Nestour, A., 2015. "Free primary care in Zambia: an impact evaluation using a pooled synthetic control method," Health, Econometrics and Data Group (HEDG) Working Papers 15/20, HEDG, c/o Department of Economics, University of York.
    35. Luo Wei & Wu Wenbo & Zhu Yeying, 2019. "Learning Heterogeneity in Causal Inference Using Sufficient Dimension Reduction," Journal of Causal Inference, De Gruyter, vol. 7(1), pages 1-14, March.
    36. Zhou, Niwen & Guo, Xu & Zhu, Lixing, 2024. "Significance test for semiparametric conditional average treatment effects and other structural functions," Computational Statistics & Data Analysis, Elsevier, vol. 189(C).
    37. Nathan Kallus, 2023. "Treatment Effect Risk: Bounds and Inference," Management Science, INFORMS, vol. 69(8), pages 4579-4590, August.
    38. Wei Huang & Oliver Linton & Zheng Zhang, 2021. "A Unified Framework for Specification Tests of Continuous Treatment Effect Models," Papers 2102.08063, arXiv.org, revised Sep 2021.
    39. Tobias Adrian & Richard K. Crump & Erik Vogt, 2019. "Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds," Journal of Finance, American Finance Association, vol. 74(4), pages 1931-1973, August.
    40. Philip M. Gleason & Alexandra M. Resch & Jillian A. Berk, "undated". "Replicating Experimental Impact Estimates Using a Regression Discontinuity Approach," Mathematica Policy Research Reports c7ecf8b35c8d402491d09b2d0, Mathematica Policy Research.
    41. Pons Rotger, Gabriel & Rosholm, Michael, 2020. "The Role of Beliefs in Long Sickness Absence: Experimental Evidence from a Psychological Intervention," IZA Discussion Papers 13582, Institute of Labor Economics (IZA).
    42. Lu, Xun & White, Habert, 2015. "Testing For Treatment Dependence Of Effects Of A Continuous Treatment," Econometric Theory, Cambridge University Press, vol. 31(5), pages 1016-1053, October.
    43. Bedoya, Guadalupe & Bittarello, Luca & Davis, Jonathan & Mittag, Nikolas, 2018. "Distributional Impact Analysis: Toolkit and Illustrations of Impacts beyond the Average Treatment Effect," IZA Discussion Papers 11863, Institute of Labor Economics (IZA).
    44. Susan Athey & Guido Imbens, 2016. "The Econometrics of Randomized Experiments," Papers 1607.00698, arXiv.org.
    45. Layla Parast & Tianxi Cai & Lu Tian, 2023. "Testing for heterogeneity in the utility of a surrogate marker," Biometrics, The International Biometric Society, vol. 79(2), pages 799-810, June.
    46. Khalil, Umair & Yıldız, Neşe, 2022. "A test of the selection on observables assumption using a discontinuously distributed covariate," Journal of Econometrics, Elsevier, vol. 226(2), pages 423-450.
    47. Hotz, V. Joseph & Crump, Richard K. & Mitnik, Oscar A. & Imbens, Guido, 2009. "Dealing with Limited Overlap in Estimation of Average Treatment Effects," Scholarly Articles 3007645, Harvard University Department of Economics.
    48. Andrea Mercatanti & Fan Li, 2017. "Do debit cards decrease cash demand?: causal inference and sensitivity analysis using principal stratification," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 66(4), pages 759-776, August.
    49. Nathan Kallus & Miruna Oprescu, 2022. "Robust and Agnostic Learning of Conditional Distributional Treatment Effects," Papers 2205.11486, arXiv.org, revised Feb 2023.
    50. Yuanyuan Shen & Tianxi Cai, 2016. "Identifying predictive markers for personalized treatment selection," Biometrics, The International Biometric Society, vol. 72(4), pages 1017-1025, December.
    51. Onur Altindag & Theodore J. Joyce & Julie A. Reeder, 2015. "Effects of Peer Counseling to Support Breastfeeding: Assessing the External Validity of a Randomized Field Experiment," NBER Working Papers 21013, National Bureau of Economic Research, Inc.
    52. Zongwu Cai & Ying Fang & Ming Lin & Shengfang Tang, 2020. "Inferences for Partially Conditional Quantile Treatment Effect Model," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202005, University of Kansas, Department of Economics, revised Feb 2020.
    53. Brigham R. Frandsen & Lars J. Lefgren, 2021. "Partial identification of the distribution of treatment effects with an application to the Knowledge is Power Program (KIPP)," Quantitative Economics, Econometric Society, vol. 12(1), pages 143-171, January.
    54. Julius Owusu, 2024. "A Nonparametric Test of Heterogeneous Treatment Effects under Interference," Papers 2410.00733, arXiv.org.
    55. Susan Athey & Guido Imbens, 2015. "Recursive Partitioning for Heterogeneous Causal Effects," Papers 1504.01132, arXiv.org, revised Dec 2015.
    56. Peng Ding & Avi Feller & Luke Miratrix, 2016. "Randomization inference for treatment effect variation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(3), pages 655-671, June.
    57. Julius Owusu, 2023. "Randomization Inference of Heterogeneous Treatment Effects under Network Interference," Papers 2308.00202, arXiv.org, revised Jan 2024.
    58. Chengfeng Yu & Jiyu Yu & Da Gao, 2024. "Smart Cities and Greener Futures: Evidence from a Quasi-Natural Experiment in China’s Smart City Construction," Sustainability, MDPI, vol. 16(2), pages 1-28, January.
    59. Judith Favereau & Nicolas Brisset, 2016. "Randomization of What? Moving from Libertarian to "Democratic Paternalism". GREDEG Working Papers Series," Working Papers hal-02092638, HAL.
    60. Ferraro, Paul J. & Miranda, Juan José, 2013. "Heterogeneous treatment effects and mechanisms in information-based environmental policies: Evidence from a large-scale field experiment," Resource and Energy Economics, Elsevier, vol. 35(3), pages 356-379.
    61. Naureen Fatema & Shahriar Kibriya, 2018. "Givers of great dinners know few enemies: The impact of household food sufficiency and food sharing on low intensity interhousehold and community conflict in Eastern Democratic Republic of Congo," HiCN Working Papers 267, Households in Conflict Network.
    62. Edward Feser, 2013. "Isserman’s Impact," International Regional Science Review, , vol. 36(1), pages 44-68, January.
    63. Judith Favereau & Nicolas Brisset, 2016. "Randomization of What? Moving from Libertarian to "Democratic Paternalism"," GREDEG Working Papers 2016-34, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
    64. Ganesh Karapakula, 2023. "Stable Probability Weighting: Large-Sample and Finite-Sample Estimation and Inference Methods for Heterogeneous Causal Effects of Multivalued Treatments Under Limited Overlap," Papers 2301.05703, arXiv.org, revised Jan 2023.
    65. Yu‐Chin Hsu & Shu Shen, 2021. "Testing monotonicity of conditional treatment effects under regression discontinuity designs," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(3), pages 346-366, April.

  35. Mathias D. Cattaneo & Richard K. Crump & Michael Jansson, 2007. "Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors," CREATES Research Papers 2007-11, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Marmer, Vadim & Yu, Zhengfei, 2015. "Efficient Inference in the Classical IV Regression Model with Weak Identification: Asymptotic Power Against Arbitrarily Large Deviations from the Null Hypothesis," Microeconomics.ca working papers vadim_marmer-2015-17, Vancouver School of Economics, revised 02 Sep 2015.
    2. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Applications of Subsampling, Hybrid, and Size-Correction Methods," Cowles Foundation Discussion Papers 1608, Cowles Foundation for Research in Economics, Yale University.
    3. Kaplan, David M. & Sun, Yixiao, 2012. "Smoothed Estimating Equations For Instrumental Variables Quantile Regression," University of California at San Diego, Economics Working Paper Series qt888657tp, Department of Economics, UC San Diego.
    4. Tetsuya Kaji, 2019. "Theory of Weak Identification in Semiparametric Models," Papers 1908.10478, arXiv.org, revised Aug 2020.
    5. Lee, Adam & Mesters, Geert, 2024. "Locally robust inference for non-Gaussian linear simultaneous equations models," Journal of Econometrics, Elsevier, vol. 240(1).
    6. Aviv Nevo & Adam Rosen, 2008. "Identification with imperfect instruments," CeMMAP working papers CWP16/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    7. Keisuke Hirano & Jack R. Porter, 2023. "Asymptotic Representations for Sequential Decisions, Adaptive Experiments, and Batched Bandits," Papers 2302.03117, arXiv.org.
    8. Mills, Benjamin & Moreira, Marcelo J. & Vilela, Lucas P., 2014. "Tests based on t-statistics for IV regression with weak instruments," Journal of Econometrics, Elsevier, vol. 182(2), pages 351-363.
    9. Kolesár, Michal, 2018. "Minimum distance approach to inference with many instruments," Journal of Econometrics, Elsevier, vol. 204(1), pages 86-100.
    10. Keisuke Hirano & Jack R. Porter, 2015. "Location Properties of Point Estimators in Linear Instrumental Variables and Related Models," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 720-733, December.
    11. Sølvsten, Mikkel, 2020. "Robust estimation with many instruments," Journal of Econometrics, Elsevier, vol. 214(2), pages 495-512.

  36. Crump, Richard K. & Hotz, V. Joseph & Imbens, Guido W. & Mitnik, Oscar A., 2006. "Moving the Goalposts: Addressing Limited Overlap in Estimation of Average Treatment Effects by Changing the Estimand," IZA Discussion Papers 2347, Institute of Labor Economics (IZA).

    Cited by:

    1. Jeffrey Clemens, 2015. "The Minimum Wage and the Great Recession: Evidence from the Current Population Survey," NBER Working Papers 21830, National Bureau of Economic Research, Inc.
    2. Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik, 2006. "Nonparametric Tests for Treatment Effect Heterogeneity," NBER Technical Working Papers 0324, National Bureau of Economic Research, Inc.
    3. Shikuku, Kelvin Mashisia & Okello, Julius Juma & Wambugu, Stella & Sindi, Kirimi & Low, Jan W. & McEwan, Margaret, 2019. "Nutrition and food security impacts of quality seeds of biofortified orange-fleshed sweetpotato: Quasi-experimental evidence from Tanzania," World Development, Elsevier, vol. 124(C), pages 1-1.
    4. Busso, Matias & Kline, Patrick, 2008. "Do Local Economic Development Programs Work? Evidence from the Federal Empowerment Zone Program," Working Papers 36, Yale University, Department of Economics.
    5. Foucault, Thierry & Themar, David & Sraer, David, 2008. "Individual investors and volatility," HEC Research Papers Series 899, HEC Paris.
    6. Jason M. Fletcher & David E. Frisvold, 2009. "Higher Education and Health Investments: Does More Schooling Affect Preventive Health Care Use?," Journal of Human Capital, University of Chicago Press, vol. 3(2), pages 144-176.
    7. de Brauw, Alan & Hoddinott, John, 2011. "Must conditional cash transfer programs be conditioned to be effective? The impact of conditioning transfers on school enrollment in Mexico," Journal of Development Economics, Elsevier, vol. 96(2), pages 359-370, November.
    8. Vafa, Keyon & Athey, Susan & Blei, David M., 2024. "Estimating Wage Disparities Using Foundation Models," Research Papers 4206, Stanford University, Graduate School of Business.
    9. Stijn Vansteelandt & Oliver Dukes, 2022. "Assumption‐lean inference for generalised linear model parameters," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(3), pages 657-685, July.
    10. Chen, Shaohua & Mu, Ren & Ravallion, Martin, 2009. "Are there lasting impacts of aid to poor areas?," Journal of Public Economics, Elsevier, vol. 93(3-4), pages 512-528, April.
    11. Ravallion, Martin, 2012. "Can we trust shoestring evaluations ?," Policy Research Working Paper Series 5983, The World Bank.
    12. Timothy B. Armstrong & Michal Kolesar, 2014. "A Simple Adjustment for Bandwidth Snooping," Cowles Foundation Discussion Papers 1961R, Cowles Foundation for Research in Economics, Yale University, revised Jul 2015.
    13. Mr. Mauricio Moura & Mr. Caio Piza & Mr. Marcos Poplawski Ribeiro, 2011. "The Distributive Effects of Land Titleon Labor Supply: Evidence From Brazil," IMF Working Papers 2011/131, International Monetary Fund.
    14. Susan Athey & Guido Imbens & Thai Pham & Stefan Wager, 2017. "Estimating Average Treatment Effects: Supplementary Analyses and Remaining Challenges," American Economic Review, American Economic Association, vol. 107(5), pages 278-281, May.
    15. Manuel S. Santos & Juan Pablo Rincon-Zapatero, 2007. "Moving the Goalposts: Differentiability of the Value Function without Interiority Assumptions," Working Papers 0614, University of Miami, Department of Economics.
    16. Kevin Lang & Russell Weinstein, 2012. "Evaluating Student Outcomes at For-Profit Colleges," NBER Working Papers 18201, National Bureau of Economic Research, Inc.
    17. Deininger, Klaus & Liu, Yanyan, 2013. "Economic and Social Impacts of an Innovative Self-Help Group Model in India," World Development, Elsevier, vol. 43(C), pages 149-163.
    18. Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik, 2006. "Moving the Goalposts: Addressing Limited Overlap in the Estimation of Average Treatment Effects by Changing the Estimand," NBER Technical Working Papers 0330, National Bureau of Economic Research, Inc.
    19. Reiling, Rune Borgan & Salvanes, Kari Vea & Sandsør, Astrid Marie Jorde & Strøm, Bjarne, 2021. "The effect of central government grants on local educational policy," European Journal of Political Economy, Elsevier, vol. 69(C).
    20. Evan Borkum & Paolo Abarcar & Laura Meyer & Matthew Spitzer, "undated". "Jordan Refugee Livelihoods Development Impact Bond Evaluation Framework," Mathematica Policy Research Reports 602dafe521fe4467854dcd45e, Mathematica Policy Research.
    21. Christiano A. Coelho & João Manoel Pinho de Mello & Leonardo Rezende, 2007. "Are Public Banks pro-Competitive? Evidence from Concentrated Local Markets in Brazil," Textos para discussão 551, Department of Economics PUC-Rio (Brazil), revised Sep 2007.
    22. Weibin Mo & Yufeng Liu, 2022. "Efficient learning of optimal individualized treatment rules for heteroscedastic or misspecified treatment‐free effect models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(2), pages 440-472, April.
    23. Nan L. Maxwell & Dana Rotz, 2017. "Potential Assistance for Disadvantaged Workers: Employment Social Enterprises," Journal of Labor Research, Springer, vol. 38(2), pages 145-168, June.
    24. Ahmed Elsayed & Soiliou Daw Namoro & Rania Roushdy, 2022. "Empowering women in conservative settings: evidence from an intervention in rural Egypt," Review of Economics of the Household, Springer, vol. 20(4), pages 1287-1322, December.
    25. Philip J. Cook & Robert MacCoun & Clara Muschkin & Jacob Vigdor, 2008. "The negative impacts of starting middle school in sixth grade," Journal of Policy Analysis and Management, John Wiley & Sons, Ltd., vol. 27(1), pages 104-121.
    26. Dana Rotz & Nan Maxwell & Adam Dunn, "undated". "Economic Self-Sufficiency and Life Stability One Year After Starting a Social Enterprise Job," Mathematica Policy Research Reports 24697e16229b4f6b8fd5763f2, Mathematica Policy Research.
    27. Deininger, Klaus & Liu, Yanyan, 2009. "Longer-term economic impacts of self-help groups in india," Policy Research Working Paper Series 4886, The World Bank.
    28. Nan L. Maxwell & Dana Rotz, "undated". "Building the Employment and Economic Self-Sufficiency of the Disadvantaged: The Potential of Social Enterprises," Mathematica Policy Research Reports 37f4ab94fb044cc1945cb04dc, Mathematica Policy Research.
    29. Deininger, Klaus & Liu, Yanyan, 2009. "Economic and social impacts of self-help groups in India," Policy Research Working Paper Series 4884, The World Bank.
    30. Allcott, Hunt & Ortega, Daniel E., 2009. "The performance of decentralized school systems : evidence from Fe y Alegría in Venezuela," Policy Research Working Paper Series 4879, The World Bank.
    31. Sudhanshu Handa & John Maluccio, 2008. "Matching the gold standard: Comparing experimental and non-experimental evaluation techniques for a geographically targeted program," Middlebury College Working Paper Series 0813, Middlebury College, Department of Economics.
    32. Juan Robalino & Alexander Pfaff, 2013. "Ecopayments and Deforestation in Costa Rica: A Nationwide Analysis of PSA’s Initial Years," Land Economics, University of Wisconsin Press, vol. 89(3), pages 432-448.
    33. Kevin P. Josey & Elizabeth Juarez‐Colunga & Fan Yang & Debashis Ghosh, 2021. "A framework for covariate balance using Bregman distances," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(3), pages 790-816, September.
    34. Kathleen Beegle & Joachim Weerdt & Stefan Dercon, 2010. "Orphanhood and human capital destruction: Is there persistence into adulthood?," Demography, Springer;Population Association of America (PAA), vol. 47(1), pages 163-180, February.
    35. Li, Lingling & Tchetgen Tchetgen, Eric & van der Vaart, Aad & Robins, James M., 2011. "Higher order inference on a treatment effect under low regularity conditions," Statistics & Probability Letters, Elsevier, vol. 81(7), pages 821-828, July.
    36. Kathleen Beegle & Joachim De Weerdt & Stefan Dercon, 2006. "Orphanhood and the Long-Run Impact on Children," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 88(5), pages 1266-1272.
    37. Qingyuan Zhao & Dylan S. Small & Ashkan Ertefaie, 2022. "Selective inference for effect modification via the lasso," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(2), pages 382-413, April.
    38. Pablo Gonzalez Ginestet & Ales Kotalik & David M. Vock & Julian Wolfson & Erin E. Gabriel, 2021. "Stacked inverse probability of censoring weighted bagging: A case study in the InfCareHIV Register," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(1), pages 51-65, January.
    39. Habimana, Dominique & Haughton, Jonathan & Nkurunziza, Joseph & Haughton, Dominique Marie-Annick, 2021. "Measuring the impact of unconditional cash transfers on consumption and poverty in Rwanda," World Development Perspectives, Elsevier, vol. 23(C).
    40. Elsayed, Ahmed & Roushdy, Rania, 2017. "Empowering Women under Social Constraints: Evidence from a Field Intervention in Rural Egypt," IZA Discussion Papers 11240, Institute of Labor Economics (IZA).
    41. Kevin Blattler & Hannes Wallimann & Widar von Arx, 2024. "Free public transport to the destination: A causal analysis of tourists' travel mode choice," Papers 2401.14945, arXiv.org, revised Feb 2024.
    42. Guido Imbens & Yiqing Xu, 2024. "LaLonde (1986) after Nearly Four Decades: Lessons Learned," Papers 2406.00827, arXiv.org, revised Jun 2024.
    43. Stefano DellaVigna & Ethan Kaplan, 2006. "The Fox News Effect: Media Bias and Voting," NBER Working Papers 12169, National Bureau of Economic Research, Inc.
    44. Zhao, Zhong, 2005. "Sensitivity of Propensity Score Methods to the Specifications," IZA Discussion Papers 1873, Institute of Labor Economics (IZA).
    45. Wagstaff, Adam, 2007. "Health insurance for the poor : initial impacts of Vietnam's health care fund for the poor," Policy Research Working Paper Series 4134, The World Bank.
    46. Stijn Vansteelandt & Oliver Dukes, 2022. "Authors' reply to the Discussion of ‘Assumption‐lean inference for generalised linear model parameters’ by Vansteelandt and Dukes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(3), pages 729-739, July.
    47. Filmer, Deon & Schady, Norbert, 2006. "Getting girls into school : evidence from a scholarship program in Cambodia," Policy Research Working Paper Series 3910, The World Bank.
    48. Wagstaff, Adam & Lindelow, Magnus & Jun, Gao & Ling, Xu & Juncheng, Qian, 2009. "Extending health insurance to the rural population: An impact evaluation of China's new cooperative medical scheme," Journal of Health Economics, Elsevier, vol. 28(1), pages 1-19, January.
    49. Hotz, V. Joseph & Crump, Richard K. & Mitnik, Oscar A. & Imbens, Guido, 2009. "Dealing with Limited Overlap in Estimation of Average Treatment Effects," Scholarly Articles 3007645, Harvard University Department of Economics.
    50. Shikuku, Kelvin Mashisia, 2019. "Information exchange links, knowledge exposure, and adoption of agricultural technologies in northern Uganda," World Development, Elsevier, vol. 115(C), pages 94-106.
    51. Megan Sheahan & Yanyan Liu & Sudha Narayanan & Christopher B. Barrett, 2020. "Disaggregated labor supply implications of guaranteed employment in India," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2020-035, Indira Gandhi Institute of Development Research, Mumbai, India.
    52. Jason Fletcher & David Frisvold, 2014. "The long run health returns to college quality," Review of Economics of the Household, Springer, vol. 12(2), pages 295-325, June.
    53. Suzuki, Aya & Igei, Kengo, 2017. "Can Efficient Provision of Business Development Services Bring Better Results for SMEs?: Evidence from a Networking Project in Thailand," Working Papers 147, JICA Research Institute.
    54. D’Amour, Alexander & Ding, Peng & Feller, Avi & Lei, Lihua & Sekhon, Jasjeet, 2021. "Overlap in observational studies with high-dimensional covariates," Journal of Econometrics, Elsevier, vol. 221(2), pages 644-654.
    55. Rahman, Mohammad Mahbubur, 2012. "Estimating the Effects of Social Safety Net Programmes in Bangladesh on Calorie Consumption of Poor Households," Bangladesh Development Studies, Bangladesh Institute of Development Studies (BIDS), vol. 35(2), pages 67-85, June.
    56. Suzuki, Aya & Mano, Yukichi & Abebe, Girum, 2018. "Earnings, savings, and job satisfaction in a labor-intensive export sector: Evidence from the cut flower industry in Ethiopia," World Development, Elsevier, vol. 110(C), pages 176-191.
    57. Guy David & Lorens A. Helmchen & Robert A. Henderson, 2009. "Does advanced medical technology encourage hospitalist use and their direct employment by hospitals?," Health Economics, John Wiley & Sons, Ltd., vol. 18(2), pages 237-247, February.
    58. Peng Ding, 2022. "Peng Ding’s contribution to the Discussion of ‘Assumption‐lean inference for generalised linear model parameters’ by Vansteelandt and Dukes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(3), pages 691-693, July.
    59. Chen, Shaohua & Mu, Ren & Ravallion, Martin, 2008. "Are there lasting impacts of aid to poor areas ? Evidence from rural China," Policy Research Working Paper Series 4084, The World Bank.
    60. D'Elia, Vanesa Valeria & Grand, Mariana Conte & León, Sonia, 2020. "Bus rapid transit and property values in Buenos Aires: Combined spatial hedonic pricing and propensity score techniques," Research in Transportation Economics, Elsevier, vol. 80(C).
    61. Fletcher, Jason M. & Frisvold, David E., 2011. "College selectivity and young adult health behaviors," Economics of Education Review, Elsevier, vol. 30(5), pages 826-837, October.
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Articles

  1. Crump, Richard K. & Eusepi, Stefano & Giannoni, Marc & Şahin, Ayşegül, 2024. "The unemployment–inflation trade-off revisited: The Phillips curve in COVID times," Journal of Monetary Economics, Elsevier, vol. 145(S).
    See citations under working paper version above.
  2. Richard K. Crump & Nikolay Gospodinov, 2022. "On the Factor Structure of Bond Returns," Econometrica, Econometric Society, vol. 90(1), pages 295-314, January.

    Cited by:

    1. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
    2. Dennis Schroers, 2024. "Robust Functional Data Analysis for Stochastic Evolution Equations in Infinite Dimensions," Papers 2401.16286, arXiv.org, revised Jun 2024.
    3. Dennis Schroers, 2024. "Dynamically Consistent Analysis of Realized Covariations in Term Structure Models," Papers 2406.19412, arXiv.org.
    4. Pablo Guerrón-Quintana & Alexey Khazanov & Molin Zhong, 2023. "Financial and Macroeconomic Data Through the Lens of a Nonlinear Dynamic Factor Model," Finance and Economics Discussion Series 2023-027, Board of Governors of the Federal Reserve System (U.S.).

  3. Crump, Richard K. & Eusepi, Stefano & Tambalotti, Andrea & Topa, Giorgio, 2022. "Subjective intertemporal substitution," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 118-133.
    See citations under working paper version above.
  4. Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Ernst Schaumburg, 2020. "Characteristic-Sorted Portfolios: Estimation and Inference," The Review of Economics and Statistics, MIT Press, vol. 102(3), pages 531-551, July.
    See citations under working paper version above.
  5. Richard K. Crump & Stefano Eusepi & Marc Giannoni & Aysegul Sahin, 2019. "A Unified Approach to Measuring u," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 50(1 (Spring), pages 143-238.
    See citations under working paper version above.
  6. Tobias Adrian & Richard K. Crump & Erik Vogt, 2019. "Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds," Journal of Finance, American Finance Association, vol. 74(4), pages 1931-1973, August.
    See citations under working paper version above.
  7. Andrade, Philippe & Crump, Richard K. & Eusepi, Stefano & Moench, Emanuel, 2016. "Fundamental disagreement," Journal of Monetary Economics, Elsevier, vol. 83(C), pages 106-128.
    See citations under working paper version above.
  8. Abrahams, Michael & Adrian, Tobias & Crump, Richard K. & Moench, Emanuel & Yu, Rui, 2016. "Decomposing real and nominal yield curves," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 182-200.
    See citations under working paper version above.
  9. Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2015. "Regression-based estimation of dynamic asset pricing models," Journal of Financial Economics, Elsevier, vol. 118(2), pages 211-244.
    See citations under working paper version above.
  10. Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2014. "Small Bandwidth Asymptotics For Density-Weighted Average Derivatives," Econometric Theory, Cambridge University Press, vol. 30(1), pages 176-200, February.
    See citations under working paper version above.
  11. Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2014. "Bootstrapping Density-Weighted Average Derivatives," Econometric Theory, Cambridge University Press, vol. 30(6), pages 1135-1164, December.
    See citations under working paper version above.
  12. Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2013. "Pricing the term structure with linear regressions," Journal of Financial Economics, Elsevier, vol. 110(1), pages 110-138.

    Cited by:

    1. Richhild Moessner, 2018. "Effects of asset purchases and financial stability measures on term premia in the euro area," National Institute of Economic and Social Research (NIESR) Discussion Papers 489, National Institute of Economic and Social Research.
    2. Mr. Eugenio M Cerutti & Mr. Maurice Obstfeld & Haonan Zhou, 2019. "Covered Interest Parity Deviations: Macrofinancial Determinants," IMF Working Papers 2019/014, International Monetary Fund.
    3. Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2015. "Regression-based estimation of dynamic asset pricing models," Journal of Financial Economics, Elsevier, vol. 118(2), pages 211-244.
    4. Maurice Obstfeld & Haonan Zhou, 2023. "The Global Dollar Cycle," NBER Working Papers 31004, National Bureau of Economic Research, Inc.
    5. Rodrigo Vergara & Elías Albagli, 2015. "Tasas de Interés de Largo Plazo en Economías Desarrolladas: Tendencias Recientes e Implicancias de Política Monetaria en Chile," Economic Policy Papers Central Bank of Chile 52, Central Bank of Chile.
    6. Adam Kucera & Evzen Kocenda & Ales Marsal, 2022. "Yield Curve Dynamics and Fiscal Policy Shocks," Working Papers IES 2022/04, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2022.
    7. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
    8. Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L., 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
    9. Görtz, Christoph & Yeromonahos, Mallory, 2022. "Asymmetries in risk premia, macroeconomic uncertainty and business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
    10. Albagli, Elias & Ceballos, Luis & Claro, Sebastian & Romero, Damian, 2019. "Channels of US monetary policy spillovers to international bond markets," Journal of Financial Economics, Elsevier, vol. 134(2), pages 447-473.
    11. Jonathan Hambur & Richard Finlay, 2018. "Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia," RBA Research Discussion Papers rdp2018-02, Reserve Bank of Australia.
    12. Dedola, Luca & Georgiadis, Georgios & Gräb, Johannes & Mehl, Arnaud, 2018. "Does a big bazooka matter? Central bank balance-sheet policies and exchange rates," Working Paper Series 2197, European Central Bank.
    13. Schrimpf, Paul & Kearns, Jonathan & Ferrari, Massimo, 2017. "Monetary policy's rising FX impact in the era of ultra-low rates," CEPR Discussion Papers 11918, C.E.P.R. Discussion Papers.
    14. Markus Leippold & Felix Matthys, 2022. "Economic Policy Uncertainty and the Yield Curve [Pricing the term structure with linear regressions]," Review of Finance, European Finance Association, vol. 26(4), pages 751-797.
    15. Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York.
    16. Michele Cavallo & Marco Del Negro & W. Scott Frame & Jamie Grasing & Benjamin A. Malin & Carlo Rosa, 2018. "Fiscal Implications of the Federal Reserve’s Balance Sheet Normalization," FEDS Notes 2017-01-09, Board of Governors of the Federal Reserve System (U.S.).
    17. Matteo Cacciatore & Bruno Feunou & Galip Kemal Ozhan, 2024. "The Neutral Interest Rate: Past, Present and Future," Discussion Papers 2024-03, Bank of Canada.
    18. Dongho Song, 2017. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," The Review of Financial Studies, Society for Financial Studies, vol. 30(8), pages 2761-2817.
    19. Drew D. Creal & Jing Cynthia Wu, 2014. "Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility," NBER Working Papers 20115, National Bureau of Economic Research, Inc.
    20. Bruna, Karel & Tran, Quang Van, 2020. "The central banks’ ability to control variability of money market interest rates: The case of inflation targeting countries," Journal of Economic Behavior & Organization, Elsevier, vol. 176(C), pages 384-402.
    21. Nikolay Iskrev, . "Term premia dynamics in the US and Euro Area: who is leading whom?," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    22. Ellison, Martin & Tischbirek, Andreas, 2018. "Beauty Contests and the Term Structure," CEPR Discussion Papers 12762, C.E.P.R. Discussion Papers.
    23. Andreasen, Martin M & Meldrum, Andrew, 2015. "Dynamic term structure models: the best way to enforce the zero lower bound in the United States," Bank of England working papers 550, Bank of England.
    24. Croitoru Lucian, 2015. "The Tendency Towards Secondarity in Managing Global Imbalances," Scientific Annals of Economics and Business, Sciendo, vol. 62(3), pages 291-311, November.
    25. Erik Vogt & Michael Fleming & Or Shachar & Tobias Adrian, 2017. "Market Liquidity After the Financial Crisis," Annual Review of Financial Economics, Annual Reviews, vol. 9(1), pages 43-83, November.
    26. Adrian, Tobias & Liang, Nellie, 2016. "Monetary Policy, Financial Conditions, and Financial Stability," CEPR Discussion Papers 11394, C.E.P.R. Discussion Papers.
    27. Jeff W. Huther & Jane E. Ihrig & Elizabeth C. Klee, 2017. "The Federal Reserve's Portfolio and its Effect on Interest Rates," Finance and Economics Discussion Series 2017-075, Board of Governors of the Federal Reserve System (U.S.).
    28. Adam Kucera & Michal Dvorak & Zlatuse Komarkova, 2017. "Decomposition of the Czech government bond yield curve," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2016/2017, chapter 0, pages 125-134, Czech National Bank.
    29. Mr. Aleš Bulíř & Mr. Jan Vlcek, 2020. "Monetary Policy Is Not Always Systematic and Data-Driven: Evidence from the Yield Curve," IMF Working Papers 2020/004, International Monetary Fund.
    30. Buncic, Daniel & Lentner, Philipp, 2016. "The term structure of interest rates in an estimated New Keynesian policy model," Journal of Macroeconomics, Elsevier, vol. 50(C), pages 126-150.
    31. Rita Pimentel & Morten Risstad & Sjur Westgaard, 2022. "Predicting interest rate distributions using PCA & quantile regression," Digital Finance, Springer, vol. 4(4), pages 291-311, December.
    32. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2016. "The economic value of predicting bond risk premia," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 247-267.
    33. Lloyd, Simon & Ostry, Daniel, 2024. "The asymmetric effects of quantitative tightening and easing on financial markets," Economics Letters, Elsevier, vol. 238(C).
    34. Kliem, Martin & Meyer-Gohde, Alexander, 2017. "(Un)expected Monetary Policy Shocks and Term Premia," SFB 649 Discussion Papers 2017-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    35. Brandao-Marques, Luis & Gelos, Gaston & Melgar, Natalia, 2018. "Country transparency and the global transmission of financial shocks," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 56-72.
    36. Martin Pažický, 2021. "Predicting Recessions in Germany Using the German and the US Yield Curve," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(3), pages 263-291, December.
    37. Gregor Boehl & Gavin Goy & Felix Strobel, 2024. "A Structural Investigation of Quantitative Easing," The Review of Economics and Statistics, MIT Press, vol. 106(4), pages 1028-1044, July.
    38. Kaminska, Iryna & Mumtaz, Haroon & Šustek, Roman, 2021. "Monetary policy surprises and their transmission through term premia and expected interest rates," Journal of Monetary Economics, Elsevier, vol. 124(C), pages 48-65.
    39. Christensen, Bent Jesper & van der Wel, Michel, 2019. "An asset pricing approach to testing general term structure models," Journal of Financial Economics, Elsevier, vol. 134(1), pages 165-191.
    40. Halberstadt, Arne, 2021. "Decomposing the yield curve with linear regressions and survey information," Discussion Papers 27/2021, Deutsche Bundesbank.
    41. Eric Ghysels & Casidhe Horan & Emanuel Moench, 2018. "Forecasting through the Rearview Mirror: Data Revisions and Bond Return Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 31(2), pages 678-714.
    42. Juneja, Januj A., 2016. "Financial crises and estimation bias in international bond markets," Research in International Business and Finance, Elsevier, vol. 38(C), pages 593-607.
    43. Simon Beyeler & Sylvia Kaufmann, 2016. "Factor augmented VAR revisited - A sparse dynamic factor model approach," Working Papers 16.08, Swiss National Bank, Study Center Gerzensee.
    44. Vázquez, Jesús & Aguilar, Pablo, 2021. "Adaptive learning with term structure information," European Economic Review, Elsevier, vol. 134(C).
    45. Speck, Christian, 2023. "Pricing the Bund term structure with linear regressions – without an observable short rate," Discussion Papers 08/2023, Deutsche Bundesbank.
    46. François Gourio & Phuong Ngo, 2020. "Risk Premia at the ZLB: A Macroeconomic Interpretation," Working Paper Series WP 2020-01, Federal Reserve Bank of Chicago.
    47. Luis Fernando Melo-Velandia & Juan J. Ospina-Tejeiro & Julian A. Parra-Polania, 2020. "Effects of Banco de la Republica’s Communication on the Yield Curve," Borradores de Economia 1137, Banco de la Republica de Colombia.
    48. Januj Amar Juneja, 2021. "How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?," Computational Management Science, Springer, vol. 18(1), pages 73-97, January.
    49. Michael D. Bauer & Glenn D. Rudebusch, 2017. "Interest Rates Under Falling Stars," CESifo Working Paper Series 6571, CESifo.
    50. Dubiel-Teleszynski, Tomasz & Kalogeropoulos, Konstantinos & Karouzakis, Nikolaos, 2024. "Sequential learning and economic benefits from dynamic term structure models," LSE Research Online Documents on Economics 123659, London School of Economics and Political Science, LSE Library.
    51. Steenkamp, Daan & Erasmus, Ruan, 2022. "Term premium estimation for South Africa," MPRA Paper 114895, University Library of Munich, Germany.
    52. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021. "The Term Structure of Expectations," Staff Reports 992, Federal Reserve Bank of New York.
    53. Passmore, Wayne & Temesvary, Judit, 2022. "How investor demands for safety influence bank capital and liquidity trade-offs," Journal of Financial Stability, Elsevier, vol. 60(C).
    54. Riccardo Rebonato & Ivan Saroka & Vlad Putiatyn, 2020. "Principal-Component-Based Gaussian Affine Term Structure Models: Constraints And Their Financial Implications," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-25, March.
    55. Alexander Guarín & José Fernando Moreno & Hernando Vargas, 2014. "An empirical analysis of the relationship between US and Colombian long-term sovereign bond yields," BIS Papers chapters, in: Bank for International Settlements (ed.), The transmission of unconventional monetary policy to the emerging markets, volume 78, pages 129-158, Bank for International Settlements.
    56. Salman Huseynov, 2021. "Long and short memory in dynamic term structure models," CREATES Research Papers 2021-15, Department of Economics and Business Economics, Aarhus University.
    57. Roman Horvath & Lorant Kaszab & Ales Marsal, 2022. "Interest rate rules and inflation risks in a macro‐finance model," Scottish Journal of Political Economy, Scottish Economic Society, vol. 69(4), pages 416-440, September.
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