Details about Glenn Rudebusch

E-mail:
Homepage:	http://www.frbsf.org/economists/grudebusch
Postal address:	Economic Research, MS 1130 Federal Reserve Bank of San Francisco 101 Market Street San Francisco, CA 94105
Workplace:	Economic Research, Federal Reserve Bank of San Francisco, (more information at EDIRC)

Access statistics for papers by Glenn Rudebusch.

Last updated 2013-06-03. Update your information in the RePEc Author Service.

Short-id: pru10

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Working Papers

2013

Estimating shadow-rate term structure models with near-zero yields
Working Paper Series, Federal Reserve Bank of San Francisco

2012

Pricing deflation risk with U.S. Treasury yields
Working Paper Series, Federal Reserve Bank of San Francisco View citations (1)
The response of interest rates to U.S. and U.K. quantitative easing
Working Paper Series, Federal Reserve Bank of San Francisco
See also Journal Article in Economic Journal (2012)

2011

Extracting deflation probability forecasts from Treasury yields
Working Paper Series, Federal Reserve Bank of San Francisco View citations (2)
See also Journal Article in International Journal of Central Banking (2012)
The signaling channel for Federal Reserve bond purchases
Working Paper Series, Federal Reserve Bank of San Francisco View citations (14)
Unbiased estimate of dynamic term structure models
Working Paper Series, Federal Reserve Bank of San Francisco View citations (2)

2010

Macro-finance models of interest rates and the economy
Working Paper Series, Federal Reserve Bank of San Francisco View citations (4)
See also Journal Article in Manchester School (2010)

2002

Assessing the Lucas critique in monetary policy models
Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations (9)
See also Journal Article in Journal of Money, Credit and Banking (2005)
Estimating the Euler equation for output
Working Papers, Federal Reserve Bank of Boston View citations (14)
Also in Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco (2002) View citations (38)
See also Journal Article in Journal of Monetary Economics (2004)

2001

Term structure evidence on interest rate smoothing and monetary policy inertia
Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations (63)
See also Journal Article in Journal of Monetary Economics (2002)

2000

Assessing Nominal Income Rules for Monetary Policy with Model and Data Uncertainty
Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (50)
Also in Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco (2000) View citations (26)
Working Paper Series, European Central Bank (2000) View citations (28)
See also Journal Article in Economic Journal (2002)
Eurosystem Monetary Targeting: Lessons from US Data
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (20)
Also in Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco (1999) View citations (30)
NBER Working Papers, National Bureau of Economic Research, Inc (1999) View citations (24)
Seminar Papers, Stockholm University, Institute for International Economic Studies (1999) View citations (29)
Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (1999) View citations (29)
Working Papers, Stockholm - International Economic Studies (1999) View citations (37)
See also Journal Article in European Economic Review (2002)

1999

Is the Fed too timid? Monetary policy in an uncertain world
Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations (16)
See also Journal Article in The Review of Economics and Statistics (2001)

1998

Opportunistic and deliberate disinflation under imperfect credibility
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (4)
Also in Working Papers in Applied Economic Theory and Econometrics, Federal Reserve Bank of San Francisco (1997) View citations (3)
See also Journal Article in Journal of Money, Credit and Banking (2000)
Policy Rules for Inflation Targeting
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (96)
Also in Working Papers, Stockholm - International Economic Studies (1998) View citations (96)
NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations (90)
Working Papers in Applied Economic Theory and Econometrics, Federal Reserve Bank of San Francisco (1998) View citations (90)
Seminar Papers, Stockholm University, Institute for International Economic Studies (1998) View citations (90)
See also Chapter (1999)
Journal Article in Proceedings (1998)

1996

Do Measures of Monetary Policy in a VAR Make Sense?
Working Papers, Banca Italia - Servizio di Studi View citations (43)
Also in Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco (1996) View citations (24)
See also Journal Article in International Economic Review (1998)

1995

Federal Reserve interest rate targeting, rational expectations, and the term structure
Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations (238)
See also Journal Article in Journal of Monetary Economics (1995)

1994

Is there a broad credit channel for monetary policy?
Working Paper Series / Economic Activity Section, Board of Governors of the Federal Reserve System (U.S.) View citations (9)
See also Journal Article in Economic Review (1996)
Judging instrument relevance in instrumental variables estimation
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (22)
See also Journal Article in International Economic Review (1996)
Measuring Business Cycles: A Modern Perspective
NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
Also in Home Pages, University of Pennsylvania View citations (1)
See also Journal Article in The Review of Economics and Statistics (1996)

1993

Is there a bank credit channel for monetary policy?
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (12)
New and old models of business investment: a comparison of forecasting performance
Working Paper Series / Economic Activity Section, Board of Governors of the Federal Reserve System (U.S.) View citations (7)
See also Journal Article in Journal of Money, Credit and Banking (1995)

1992

The Lucas critique revisited: assessing the stability of empirical Euler equations
Working Paper Series / Economic Activity Section, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
The uncertain unit root in real GNP
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
See also Journal Article in American Economic Review (1993)

1991

Further evidence on business cycle duration dependence
Working Papers, Federal Reserve Bank of Philadelphia View citations (16)
See also Chapter (1993)
Have postwar economic fluctuations been stabilized?
Working Paper Series / Economic Activity Section, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1990) View citations (15)
See also Journal Article in American Economic Review (1992)

1990

International evidence on business cycle duration dependence
Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations (4)
On the power of Dickey-Fuller tests against fractional alternatives
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (4)
See also Journal Article in Economics Letters (1991)
Trends and random walks in macroeconomic time series: a re-examination
Working Paper Series / Economic Activity Section, Board of Governors of the Federal Reserve System (U.S.) View citations (3)
Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1990) View citations (16)
See also Journal Article in International Economic Review (1992)

1989

Forecasting output with the composite leading index: an ex ante analysis
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (64)
Internal finance and investment: testing the role of asymmetric information and agency costs
Working Paper Series / Economic Activity Section, Board of Governors of the Federal Reserve System (U.S.)
Is consumption too smooth? Long memory and the Deaton paradox
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
See also Journal Article in The Review of Economics and Statistics (1991)

1988

A nonparametric investigation of duration dependence in the American business cycle
Working Paper Series / Economic Activity Section, Board of Governors of the Federal Reserve System (U.S.) View citations (12)
See also Journal Article in Journal of Political Economy (1990)
Ex ante turning point forecasting with the composite leading index
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
Long memory and persistence in aggregate output
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (38)
See also Journal Article in Journal of Monetary Economics (1989)

1987

An empirical disequilibrium model of labor, consumption, and investment in the United States
Working Paper Series / Economic Activity Section, Board of Governors of the Federal Reserve System (U.S.)
Are productivity fluctuations due to real supply shocks?
Working Paper Series / Economic Activity Section, Board of Governors of the Federal Reserve System (U.S.)
See also Journal Article in Economics Letters (1988)
Does the business cycle have duration memory?
Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (3)
Scoring the leading indicators
Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (7)
See also Journal Article in The Journal of Business (1989)

1986

Examining alternative econometric specifications of the disequilibrium model: an empirical study with labor market data
Working Paper Series / Economic Activity Section, Board of Governors of the Federal Reserve System (U.S.)

Journal Articles

2012

Correcting Estimation Bias in Dynamic Term Structure Models
Journal of Business & Economic Statistics, 2012, 30, (3), 454-467 View citations (1)
Extracting Deflation Probability Forecasts from Treasury Yields
International Journal of Central Banking, 2012, 8, (4), 21-60
See also Working Paper (2011)
The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks
American Economic Journal: Macroeconomics, 2012, 4, (1), 105-43 View citations (5)
See also Working Paper (2008)
The Response of Interest Rates to US and UK Quantitative Easing
Economic Journal, 2012, 122, (564), F385-F414
See also Working Paper (2012)

2011

Signals from unconventional monetary policy
FRBSF Economic Letter, 2011, (Nov. 21) View citations (1)
The Fed's interest rate risk
FRBSF Economic Letter, 2011, (Apr 11)
The affine arbitrage-free class of Nelson-Siegel term structure models
Journal of Econometrics, 2011, 164, (1), 4-20 View citations (29)
See also Working Paper (2007)

2010

Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields
Journal of Money, Credit and Banking, 2010, 42, (s1), 143-178 View citations (8)
Also in Proceedings, 2009, (Jan) (2009)
See also Working Paper (2008)
Inflation: mind the gap
FRBSF Economic Letter, 2010, (Jan 19) View citations (4)
MACRO-FINANCE MODELS OF INTEREST RATES AND THE ECONOMY
Manchester School, 2010, 78, (s1), 25-52 View citations (1)
See also Working Paper (2010)
The Fed's exit strategy for monetary policy
FRBSF Economic Letter, 2010, (Jun 14) View citations (2)

2009

An arbitrage-free generalized Nelson--Siegel term structure model
Econometrics Journal, 2009, 12, (3), C33-C64 View citations (4)
See also Working Paper (2008)
Disagreement about the inflation outlook
FRBSF Economic Letter, 2009, (Oct 5) View citations (3)
Forecasting Recessions: The Puzzle of the Enduring Power of the Yield Curve
Journal of Business & Economic Statistics, 2009, 27, (4), 492-503 View citations (18)
See also Working Paper (2007)
The Fed's monetary policy response to the current crisis
FRBSF Economic Letter, 2009, (May 22) View citations (8)

2008

A Macro-Finance Model of the Term Structure, Monetary Policy and the Economy
Economic Journal, 2008, 118, (530), 906-926 View citations (31)
Also in Proceedings, 2004, (Mar) (2004) View citations (37)
See also Working Paper (2004)
Examining the bond premium puzzle with a DSGE model
Journal of Monetary Economics, 2008, 55, (Supplement 1), S111-S126 View citations (24)
See also Working Paper (2008)
Publishing FOMC economic forecasts
FRBSF Economic Letter, 2008, (Jan 18)
Publishing central bank interest rate forecasts
FRBSF Economic Letter, 2008, (Jan 25) View citations (1)

2007

Accounting for a Shift in Term Structure Behavior with No-Arbitrage and Macro-Finance Models
Journal of Money, Credit and Banking, 2007, 39, (2-3), 395-422 View citations (43)
Macroeconomic implications of changes in the term premium
Review, 2007, (Jul), 241-270 View citations (34)
See also Working Paper (2006)
Monetary policy inertia and recent Fed actions
FRBSF Economic Letter, 2007, (Jan 26) View citations (3)

2006

Monetary Policy Inertia: Fact or Fiction?
International Journal of Central Banking, 2006, 2, (4) View citations (64)
See also Working Paper (2005)
The Bond Yield "Conundrum" from a Macro-Finance Perspective
Monetary and Economic Studies, 2006, 24, (S1), 83-109 View citations (26)
See also Working Paper (2006)
The macroeconomy and the yield curve: a dynamic latent factor approach
Journal of Econometrics, 2006, 131, (1-2), 309-338 View citations (156)
See also Working Paper (2004)

2005

Assessing the Lucas Critique in Monetary Policy Models
Journal of Money, Credit and Banking, 2005, 37, (2), 245-72 View citations (64)
See also Working Paper (2002)
Modeling Bond Yields in Finance and Macroeconomics
American Economic Review, 2005, 95, (2), 415-420 View citations (51)
See also Working Paper (2005)
Monetary policy and asset price bubbles
FRBSF Economic Letter, 2005, (Aug 5) View citations (2)
Using a long-term interest rate as the monetary policy instrument
Journal of Monetary Economics, 2005, 52, (5), 855-879 View citations (3)
See also Working Paper (2004)

2004

Estimating the Euler equation for output
Journal of Monetary Economics, 2004, 51, (6), 1133-1153 View citations (84)
See also Working Paper (2002)

2003

Finance and macroeconomics
FRBSF Economic Letter, 2003, (May 2) View citations (3)

2002

Assessing Nominal Income Rules for Monetary Policy with Model and Data Uncertainty
Economic Journal, 2002, 112, (479), 402-432 View citations (174)
See also Working Paper (2000)
Eurosystem monetary targeting: Lessons from U.S. data
European Economic Review, 2002, 46, (3), 417-442 View citations (64)
See also Working Paper (2000)
Macroeconomic models for monetary policy
FRBSF Economic Letter, 2002, (Apr 19)
Term structure evidence on interest rate smoothing and monetary policy inertia
Journal of Monetary Economics, 2002, 49, (6), 1161-1187 View citations (214)
See also Working Paper (2001)

2001

Asset prices, exchange rates, and monetary policy
FRBSF Economic Letter, 2001, (Jun 15)
Five questions about business cycles
Economic Review, 2001, 1-15 View citations (7)
Has a recession already started?
FRBSF Economic Letter, 2001, (Oct 19)
How sluggish is the Fed?
FRBSF Economic Letter, 2001, (Mar. 2)
Is The Fed Too Timid? Monetary Policy In An Uncertain World
The Review of Economics and Statistics, 2001, 83, (2), 203-217 View citations (161)
See also Working Paper (1999)

2000

Business Cycles: Durations, Dynamics and Forecasting: Francis X. Diebold and Glenn D. Rudebusch, Princeton University Press, Princeton 1999. Hardcover, 420 pages. ISBN: 0-691-01218-0, $49.50
International Journal of Forecasting, 2000, 16, (2), 283-286
How fast can the new economy grow?
FRBSF Economic Letter, 2000, (Feb 25) View citations (1)
Opportunistic and Deliberate Disinflation under Imperfect Credibility
Journal of Money, Credit and Banking, 2000, 32, (4), 707-21 View citations (35)
See also Working Paper (1998)
Structural change and monetary policy
FRBSF Economic Letter, 2000, (Apr 28)

1999

How did the economy surprise us in 1998?
FRBSF Economic Letter, 1999, (Mar 5)
Monetary policy and monetary institutions
FRBSF Economic Letter, 1999, (Apr 16)
The goals of U.S. monetary policy
FRBSF Economic Letter, 1999, (Jan 29) View citations (3)

1998

Central bank inflation targeting
FRBSF Economic Letter, 1998, (May 22)
Describing Fed behavior
FRBSF Economic Letter, 1998, (Dec 25)
Do Measures of Monetary Policy in a VAR Make Sense?
International Economic Review, 1998, 39, (4), 907-31 View citations (205)
See also Working Paper (1996)
Do Measures of Monetary Policy in a VAR Make Sense? A Reply
International Economic Review, 1998, 39, (4), 943-48 View citations (56)
Policy rules for inflation targeting
Proceedings, 1998, (Mar) View citations (402)
See also Chapter (1999)
Working Paper (1998)
Taylor's rule and the Fed, 1970-1997
Economic Review, 1998, 3-16 View citations (48)
U.S. inflation targeting: pro and con
FRBSF Economic Letter, 1998, (May 29) View citations (9)

1997

Interest rates and monetary policy
FRBSF Economic Letter, 1997, (Jun 13) View citations (1)

1996

Is opportunistic monetary policy credible?
FRBSF Economic Letter, 1996, (Oct 4) View citations (3)
Is there a broad credit channel for monetary policy?
Economic Review, 1996, 3-13 View citations (74)
See also Working Paper (1994)
Judging Instrument Relevance in Instrumental Variables Estimation
International Economic Review, 1996, 37, (2), 283-98 View citations (106)
See also Working Paper (1994)
Measuring Business Cycles: A Modern Perspective
The Review of Economics and Statistics, 1996, 78, (1), 67-77 View citations (134)
See also Working Paper (1994)
Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance: Comment
American Economic Review, 1996, 86, (1), 300-309 View citations (65)
The Lucas critique revisited assessing the stability of empirical Euler equations for investment
Journal of Econometrics, 1996, 70, (1), 291-316 View citations (32)

1995

Erratum
Journal of Monetary Economics, 1995, 36, (3), 679-679
Federal Reserve interest rate targeting, rational expectations, and the term structure
Journal of Monetary Economics, 1995, 35, (2), 245-274 View citations (164)
See also Working Paper (1995)
Federal Reserve policy and the predictability of interest rates
FRBSF Economic Letter, 1995, (Jun 23)
Is there a bank lending channel for monetary policy?
Economic Review, 1995, 1-20 View citations (42)
New and Old Models of Business Investment: A Comparison of Forecasting Performance
Journal of Money, Credit and Banking, 1995, 27, (3), 806-26 View citations (49)
See also Working Paper (1993)
New estimates of the recent growth in potential output
FRBSF Economic Letter, 1995, (Nov 24)
What are the lags in monetary policy?
FRBSF Economic Letter, 1995, (Feb 3) View citations (5)

1993

The Uncertain Unit Root in Real GNP
American Economic Review, 1993, 83, (1), 264-72 View citations (73)
See also Working Paper (1992)

1992

Have Postwar Economic Fluctuations Been Stabilized?
American Economic Review, 1992, 82, (4), 993-1005 View citations (35)
See also Working Paper (1991)
Sources of the Financing Hierarchy for Business Investment
The Review of Economics and Statistics, 1992, 74, (4), 643-54 View citations (68)
Trends and Random Walks in Macroeconomic Time Series: A Re-examination
International Economic Review, 1992, 33, (3), 661-80 View citations (22)
See also Working Paper (1990)

1991

Is Consumption Too Smooth? Long Memory and the Deaton Paradox
The Review of Economics and Statistics, 1991, 73, (1), 1-9 View citations (32)
See also Working Paper (1989)
On the power of Dickey-Fuller tests against fractional alternatives
Economics Letters, 1991, 35, (2), 155-160 View citations (82)
See also Working Paper (1990)
Shorter recessions and longer expansions
Business Review, 1991, (Nov), 13-20

1990

A Nonparametric Investigation of Duration Dependence in the American Business Cycle
Journal of Political Economy, 1990, 98, (3), 596-616 View citations (52)
See also Working Paper (1988)

1989

An Empirical Disequilibrium Model of Labor, Consumption, and Investment
International Economic Review, 1989, 30, (3), 633-54
Long memory and persistence in aggregate output
Journal of Monetary Economics, 1989, 24, (2), 189-209 View citations (156)
See also Working Paper (1988)
Scoring the Leading Indicators
The Journal of Business, 1989, 62, (3), 369-91 View citations (101)
See also Working Paper (1987)

1988

Are productivity fluctuations due to real supply shocks?
Economics Letters, 1988, 27, (4), 327-331
See also Working Paper (1987)

1986

Testing for Labor Market Equilibrium with an Exact Excess Demand Disequilibrium Model
The Review of Economics and Statistics, 1986, 68, (3), 468-76

Chapters

2012

Facts, Factors, and Questions Book Title: Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach
Princeton University Press

2008

Revealing the Secrets of the Temple: The Value of Publishing Central Bank Interest Rate Projections
A chapter in Asset Prices and Monetary Policy, 2008, pp 247-289 View citations (9)
See also Working Paper (2006)

1999

Policy Rules for Inflation Targeting
A chapter in Monetary Policy Rules, 1999, pp 203-262 View citations (238)
See also Working Paper (1998)
Journal Article in Proceedings (1998)

1993

Further Evidence on Business-Cycle Duration Dependence
A chapter in Business Cycles, Indicators and Forecasting, 1993, pp 255-284 View citations (16)
See also Working Paper (1991)