This article complements the structural New Keynesian macro framework with a no‐
arbitrage affine term structure model. Whereas our methodology is general, we focus on an …

An empirical model that allows for shifts in the inflation target and imperfect policy credibility
is estimated. Imperfect credibility, defined by differences between the perceived and actual …

This article is a response to the review of Adrian et al.(2018) by Yudaeva (2018), which
summarizes the case of the Bank of Russia against the publication of key rate forecasts, a …

Many recent empirical studies have reported that the passthrough from money-market rates
to retail lending rates is far from complete in the euro area. This paper formally shows that …

We analyze the effect of monetary policy on yield spreads between corporate bonds with
different credit ratings over the business cycle. We use futures contracts to distinguish …

Abstract Using an empirical New‐Keynesian model with optimal discretionary monetary
policy, we estimate key parameters—the central bank's preference parameters; the degree …

While the relationship between the information content of macroeconomic news and the
behavior of asset prices has been studied extensively in the finance literature, this study …

The expectations hypothesis of the term structure of interest rates describes a conventional
view of the transmission mechanism of monetary policy where bond rates reflect current and …

This paper analyzes the interaction of inflation with the tax code and its contribution to
aggregate fluctuations. We find significant effects operating through the tax on realized …

This paper assesses the effect of federal funds rate innovations on longer-term US nominal
interest rates across different periods. The evidence suggests that these responses change …