Search Results - "Gürkaynak, Refet S."

Measuring euro area monetary policy by Altavilla, Carlo, Brugnolini, Luca, Gürkaynak, Refet S., Motto, Roberto, Ragusa, Giuseppe

“…•We map ECB policy communication into yield curve configurations using factor analysis.•Target, forward guidance and QE factors are estimated to influence the…”
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Missing Events in Event Studies: Identifying the Effects of Partially Measured News Surprises by Gürkaynak, Refet S., Kısacıkoğlu, Burçin, Wright, Jonathan H.

“…Macroeconomic news announcements are elaborate and multidimensional. We consider a framework in which jumps in asset prices around announcements reflect both…”
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Monetary policy surprises and exchange rate behavior by Gürkaynak, Refet S., Kara, A. Hakan, Kısacıkoğlu, Burçin, Lee, Sang Seok

“…Central banks unexpectedly tightening policy rates often observe the exchange value of their currency depreciate, rather than appreciate as predicted by…”
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ECONOMETRIC TESTS OF ASSET PRICE BUBBLES: TAKING STOCK by Gürkaynak, Refet S.

“…Can asset price bubbles be detected? This survey of econometric tests of asset price bubbles shows that, despite recent advances, econometric detection of…”
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Macroeconomics and the Term Structure by Gürkaynak, Refet S., Wright, Jonathan H.

“…This paper provides an overview of the analysis of the term structure of interest rates with a special emphasis on recent developments at the intersection of…”
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DOES INFLATION TARGETING ANCHOR LONG-RUN INFLATION EXPECTATIONS? EVIDENCE FROM THE U.S., UK, AND SWEDEN by Gürkaynak, Refet S., Swanson, Eric, Levin, Andrew

“…We investigate the extent to which inflation expectations have been more firmly anchored in the United Kingdom— a country with an explicit inflation…”
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The U.S. Treasury yield curve: 1961 to the present by Gürkaynak, Refet S., Sack, Brian, Wright, Jonathan H.

“…The discount function, which determines the value of all future nominal payments, is the most basic building block of finance and is usually inferred from the…”
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Exchange rate and inflation under weak monetary policy: Turkey verifies theory by Gürkaynak, Refet S, Kısacıkoğlu, Burçin, Lee, Sang Seok

“…SUMMARY For the academic audience, this paper presents the outcome of a well-identified, large change in the monetary policy rule from the lens of a standard…”
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The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models by Gürkaynak, Refet S., Sack, Brian, Swanson, Eric

“…Current macroeconomic models provide appealing, succinct descriptions of business cycle dynamics in the United States and other countries, but less is known…”
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The TIPS Yield Curve and Inflation Compensation by Gürkaynak, Refet S., Sack, Brian, Wright, Jonathan H.

“…For over ten years, the Treasury has issued index-linked debt. This paper describes the methodology for fitting a smoothed yield curve to these securities that…”
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Identification and Inference Using Event Studies by Gürkaynak, Refet S., Wright, Jonathan H.

“…We discuss the use of event studies in macroeconomics and finance, arguing that many important macro‐finance questions can only be answered using event studies…”
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How Useful Are Estimated DSGE Model Forecasts for Central Bankers? [with Comments and Discussion] by EDGE, ROCHELLE M., GÜRKAYNAK, REFET S., REIS, RICARDO, SIMS, CHRISTOPHER A.

“…Dynamic stochastic general equilibrium (DSGE) models are a prominent tool for forecasting at central banks, and the competitive forecasting performance of…”
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CONVERGENCE AND ANCHORING OF YIELD CURVES IN THE EURO AREA by Ehrmann, Michael, Fratzscher, Marcel, Gürkaynak, Refet S., Swanson, Eric T.

“…We study the convergence of European bond markets and the anchoring of inflation expectations in the euro area from 1993 to 2008, using high-frequency bond…”
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Market-Based Measures of Monetary Policy Expectations by Gürkaynak, Refet S, Sack, Brian P, Swanson, Eric T

“…A number of recent articles have used different financial market instruments to measure near-term expectations of the federal funds rate and the high-frequency…”
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A research program on monetary policy for Europe by Altavilla, Carlo, Bussière, Matthieu, Galí, Jordi, Gorodnichenko, Yuriy, Gürkaynak, Refet S., Rey, Hélène

“…•European macroeconomies remain under-researched. There are compelling reasons for this to change.•European issues pose significant economic challenges, are…”
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Macro and micro of external finance premium and monetary policy transmission by Altavilla, Carlo, Gürkaynak, Refet S., Quaedvlieg, Rogier

“…We establish basic facts about the external finance premium. Tens of millions of individual loan contracts extended to euro area firms allow studying the…”
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The eurozone crisis: how banks and sovereigns came to be joined at the hip by Mody, Ashoka, Sandri, Damiano, Gürkaynak, Refet S.

“…The eurozone sovereign and banking crisis evolved in three phases. Following the onset of the subprime tremors in July 2007, the risk premia (spreads) on bonds…”
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Stock Market's Assessment of Monetary Policy Transmission: The Cash Flow Effect by GÜRKAYNAK, REFET, KARASOY‐CAN, HATİCE GÖKÇE, LEE, SANG SEOK

“…ABSTRACT We show that firm liability structure and associated cash flows matter for firm behavior and that financial market participants price stocks…”
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Inflation Targeting and the Anchoring of Inflation Expectations in the Western Hemisphere by Gürkaynak, Refet S, Levin, Andrew T, Marder, Andrew N, Swanson, Eric T

“…We investigate the extent to which long-run inflation expectations are well anchored in three Western Hemisphere countries-Canada, Chile, and the United…”
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What does a financial shock do? First international evidence by Fornari, Fabio, Stracca, Livio, Gürkaynak, Refet S.

“…In this paper we attempt to evaluate the quantitative impact of financial shocks on key indicators of real activity and financial conditions. We focus on…”
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