Search Results - "Wright, Jonathan H."

What does Monetary Policy do to Long-term Interest Rates at the Zero Lower Bound? by Wright, Jonathan H.

“…This article uses a structural VAR with daily data to identify the effects of monetary policy shocks on various longer term interest rates since the federal…”
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Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset by Wright, Jonathan H.

“…This paper provides cross-country empirical evidence on term premia. I construct a panel of zero-coupon nominal government bond yields spanning ten…”
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Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling by Ng, Serena, Wright, Jonathan H.

“…This paper provides a survey of business cycle facts, updated to take account of recent data. Emphasis is given to the Great Recession, which was unlike most…”
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Unconventional Monetary Policy and International Risk Premia by ROGERS, JOHN H., SCOTTI, CHIARA, WRIGHT, JONATHAN H.

“…We assess the relationship between monetary policy, foreign exchange risk premia, and term premia including the period at the zero lower bound (ZLB). We…”
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Evaluating asset-market effects of unconventional monetary policy: a multi-country review by Rogers, John H., Scotti, Chiara, Wright, Jonathan H., Ellison, Martin, Kara, Hakan

“…This paper examines the effects of unconventional monetary policy by the Federal Reserve, Bank of England, European Central Bank and Bank of Japan on bond…”
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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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The economics of options-implied inflation probability density functions by Kitsul, Yuriy, Wright, Jonathan H.

“…Recently a market in options based on consumer price index inflation (inflation caps and floors) has emerged in the US. This paper uses quotes on these…”
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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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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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Comparing Greenbook and Reduced Form Forecasts Using a Large Realtime Dataset by Faust, Jon, Wright, Jonathan H.

“…Many recent articles have found that atheoretical forecasting methods using many predictors give better predictions for key macroeconomic variables than…”
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CREDIT SPREADS AS PREDICTORS OF REAL-TIME ECONOMIC ACTIVITY: A BAYESIAN MODEL-AVERAGING APPROACH by Faust, Jon, Gilchrist, Simon, Wright, Jonathan H., Zakrajšek, Egon

“…Employing a large number of financial indicators, we use Bayesian model averaging (BMA) to forecast real-time measures of economic activity. The indicators…”
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A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments by Stock, James H, Wright, Jonathan H, Yogo, Motohiro

“…Weak instruments arise when the instruments in linear instrumental variables (IV) regression are weakly correlated with the included endogenous variables. In…”
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The high-frequency response of exchange rates and interest rates to macroeconomic announcements by Faust, Jon, Rogers, John H., Wang, Shing-Yi B., Wright, Jonathan H.

“…The joint movements of exchange rates and U.S. and foreign term structures over short-time windows around macro announcements are studied using a 14-year span…”
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Alternative Variance-Ratio Tests Using Ranks and Signs by Wright, Jonathan H.

“…This article proposes using variance-ratio tests based on the ranks and signs of a time series to test the null that the series is a martingale difference…”
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Refining set-identification in VARs through independence by Drautzburg, Thorsten, Wright, Jonathan H.

“…Identification in VARs has traditionally mainly relied on second moments. Some researchers have considered using higher moments as well, but there are concerns…”
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Exchange rate forecasting: the errors we’ve really made by Faust, Jon, Rogers, John H, H. Wright, Jonathan

“…We examine the real-time forecasting performance of standard exchange rate models, using dozens of different vintages of data. Favorable evidence of…”
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Comment on “Measuring euro area monetary policy” by Carlo Altavilla, Luca Brugnolini, Refet Gürkaynak, Giuseppe Ragusa and Roberto Motto by Wright, Jonathan H.

“…Most of the time, ECB monetary policy can be characterized as working through the term structure of riskfree OIS rates, as considered in the paper by Carlo…”
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Bayesian Model Averaging and exchange rate forecasts by Wright, Jonathan H.

“…Exchange rate forecasting is hard and the seminal result of Meese and Rogoff [Meese, R., Rogoff, K., 1983. Empirical exchange rate models of the seventies: Do…”
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Some observations on forecasting and policy by Wright, Jonathan H.

“…This paper offers some thoughts on the use of macroeconomic and financial forecasts in monetary and fiscal policy. It stresses the role of nowcasting in…”
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Analyzing cross-validation for forecasting with structural instability by Hirano, Keisuke, Wright, Jonathan H.

“…When forecasting with economic time series data, researchers often use a restricted window of observations or downweight past observations in order to mitigate…”
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