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 2009-10-06. Update your information in the RePEc Author Service.

Short-id: pru10

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Jump to Journal Articles Chapters

Working Papers

2009

1. Do central bank liquidity facilities affect interbank lending rates?
   Working Paper Series, Federal Reserve Bank of San Francisco View citations

2008

2. An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   Also in Working Paper Series, Federal Reserve Bank of San Francisco (2008) View citations
   PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2008) View citations
3. Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields
   Working Paper Series, Federal Reserve Bank of San Francisco View citations
4. The bond premium in a DSGE model with long-run real and nominal risks
   Working Paper Series, Federal Reserve Bank of San Francisco View citations
   Also in Research series, National Bank of Belgium (2008) View citations

2007

5. Examining the bond premium puzzle with a DSGE model
   Working Paper Series, Federal Reserve Bank of San Francisco View citations
   See also Journal Article in Journal of Monetary Economics (2008)
6. Forecasting recessions: the puzzle of the enduring power of the yield curve
   Working Paper Series, Federal Reserve Bank of San Francisco View citations
7. The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models
   PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations
   Also in Working Paper Series, Federal Reserve Bank of San Francisco (2007) View citations
   NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations

2006

8. Macroeconomic implications of changes in the term premium
   Working Paper Series, Federal Reserve Bank of San Francisco View citations
   See also Journal Article in Review (2007)
9. Revealing the Secrets of the Temple: The Value of Publishing Central Bank Interest Rate Projections
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   Also in Working Paper Series, Federal Reserve Bank of San Francisco (2006) View citations
10. The bond yield "conundrum" from a macro-finance perspective
    Working Paper Series, Federal Reserve Bank of San Francisco View citations
    See also Journal Article in Monetary and Economic Studies (2006)

2005

11. Modeling Bond Yields in Finance and Macroeconomics
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations
    Also in CFS Working Paper Series, Center for Financial Studies (2005) View citations
    Working Paper Series, Federal Reserve Bank of San Francisco (2005) View citations
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations
    See also Journal Article in American Economic Review (2005)
12. Monetary policy inertia: fact or fiction?
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations
    See also Journal Article in International Journal of Central Banking (2006)
13. The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective
    Computing in Economics and Finance 2005, Society for Computational Economics
    Also in Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco (2004) View citations

2004

14. A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy
    2004 Meeting Papers, Society for Economic Dynamics View citations
    Also in Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco (2003) View citations
    See also Journal Article in Economic Journal (2008)
15. The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Journal of Econometrics (2006)
16. Using a long-term interest rate as the monetary policy instrument
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco
    See also Journal Article in Journal of Monetary Economics (2005)

2003

17. Macroeconomics and the Yield Curve
    Computing in Economics and Finance 2003, Society for Computational Economics View citations
18. The Macroeconomy and the Yield Curve: A Nonstructural Analysis
    CFS Working Paper Series, Center for Financial Studies View citations
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2003) View citations
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco (2003) View citations

2002

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

2001

21. 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
    See also Journal Article in Journal of Monetary Economics (2002)

2000

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

1999

24. 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
    See also Journal Article in The Review of Economics and Statistics (2001)

1998

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

1996

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

1995

28. 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
    See also Journal Article in Journal of Monetary Economics (1995)

1994

29. 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
    See also Journal Article in Economic Review (1996)
30. Judging instrument relevance in instrumental variables estimation
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations
    See also Journal Article in International Economic Review (1996)
31. Measuring Business Cycles: A Modern Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in Home Pages, University of Pennsylvania View citations
    See also Journal Article in The Review of Economics and Statistics (1996)

1993

32. 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
33. 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
    See also Journal Article in Journal of Money, Credit and Banking (1995)

1992

34. 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
35. The uncertain unit root in real GNP
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
    See also Journal Article in American Economic Review (1993)

1991

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

1990

38. International evidence on business cycle duration dependence
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations
39. 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
    See also Journal Article in Economics Letters (1991)
40. 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
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1990) View citations
    See also Journal Article in International Economic Review (1992)

1989

41. 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
42. 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.) View citations
43. 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
    See also Journal Article in The Review of Economics and Statistics (1991)

1988

44. 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
    See also Journal Article in Journal of Political Economy (1990)
45. 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.)
46. Long memory and persistence in aggregate output
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations
    See also Journal Article in Journal of Monetary Economics (1989)

1987

47. 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.)
48. 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)
49. Does the business cycle have duration memory?
    Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
50. Scoring the leading indicators
    Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
    See also Journal Article in Journal of Business (1989)

1986

51. 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

2009

1. The Fed's monetary policy response to the current crisis
   FRBSF Economic Letter, 2009, (May 22)

2008

2. A Macro-Finance Model of the Term Structure, Monetary Policy and the Economy
   Economic Journal, 2008, 118, (530), 906-926 View citations
   Also in Proceedings, 2004, (Mar) (2004) View citations
   See also Working Paper (2004)
3. Examining the bond premium puzzle with a DSGE model
   Journal of Monetary Economics, 2008, 55, (Supplement 1), S111-S126 View citations
   See also Working Paper (2007)
4. Publishing FOMC economic forecasts
   FRBSF Economic Letter, 2008, (Jan 18)
5. Publishing central bank interest rate forecasts
   FRBSF Economic Letter, 2008, (Jan 25) View citations

2007

6. 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
7. Macroeconomic implications of changes in the term premium
   Review, 2007, (Jul), 241-270 View citations
   See also Working Paper (2006)
8. Monetary policy inertia and recent Fed actions
   FRBSF Economic Letter, 2007, (Jan 26)

2006

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

2005

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

2004

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

2003

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

2002

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

2001

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

2000

27. How fast can the new economy grow?
    FRBSF Economic Letter, 2000, (Feb 25) View citations
28. Opportunistic and Deliberate Disinflation under Imperfect Credibility
    Journal of Money, Credit and Banking, 2000, 32, (4), 707-21 View citations
    See also Working Paper (1998)
29. Structural change and monetary policy
    FRBSF Economic Letter, 2000, (Apr 28)

1999

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

1998

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

1997

40. Interest rates and monetary policy
    FRBSF Economic Letter, 1997, (Jun 13)

1996

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

1995

47. Erratum
    Journal of Monetary Economics, 1995, 36, (3), 679-679
48. Federal Reserve interest rate targeting, rational expectations, and the term structure
    Journal of Monetary Economics, 1995, 35, (2), 245-274 View citations
    See also Working Paper (1995)
49. Federal Reserve policy and the predictability of interest rates
    FRBSF Economic Letter, 1995, (Jun 23)
50. Is there a bank lending channel for monetary policy?
    Economic Review, 1995, 1-20 View citations
51. 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
    See also Working Paper (1993)
52. New estimates of the recent growth in potential output
    FRBSF Economic Letter, 1995, (Nov 24)
53. What are the lags in monetary policy?
    FRBSF Economic Letter, 1995, (Feb 3) View citations

1993

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

1992

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

1991

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

1990

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

1989

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

1988

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

1986

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

Chapters

1999

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

1993

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