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Details about Eric T. Swanson

E-mail:
Homepage:http://www.ericswanson.us
Phone:415-974-3172
Postal address:Economic Research, MS 1130 Federal Reserve Bank of San Francisco 101 Market St San Francisco, CA 94105
Workplace:Economic Research, Federal Reserve Bank of San Francisco, (more information at EDIRC)

Access statistics for papers by Eric T. Swanson.

Last updated 2014-04-21. Update your information in the RePEc Author Service.

Short-id: psw16


Jump to Journal Articles Chapters

Working Papers

2014

  1. Monetary policy effectiveness in China: evidence from a FAVAR model
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads

2013

  1. Implications of Labor Market Frictions for Risk Aversion and Risk Premia
    2013 Meeting Papers, Society for Economic Dynamics Downloads
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2013) Downloads
  2. Measuring the effect of the zero lower bound on yields and exchange rates
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads

2012

  1. Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates
    2012 Meeting Papers, Society for Economic Dynamics Downloads View citations (9)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2012) Downloads View citations (3)
  2. Risk aversion, risk premia, and the labor margin with generalized recursive preferences
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads

2011

  1. Let's Twist Again: A High-Frequency Event-Study Analysis of Operation Twist and Its Implications for QE2
    2011 Meeting Papers, Society for Economic Dynamics Downloads View citations (11)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2011) Downloads View citations (17)

    See also Journal Article in Brookings Papers on Economic Activity (2011)

2010

  1. Risk Aversion, the Labor Margin, and Asset Pricing in DSGE Models
    2010 Meeting Papers, Society for Economic Dynamics
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2009) Downloads View citations (7)

2009

  1. CONVERGENCE AND ANCHORING OF YIELD CURVES IN THE EURO AREA
    2009 Meeting Papers, Society for Economic Dynamics Downloads View citations (7)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) Downloads View citations (25)
    Working Paper Series, European Central Bank (2007) Downloads View citations (5)
    Working Paper Series, Federal Reserve Bank of San Francisco (2007) Downloads View citations (7)

    See also Journal Article in The Review of Economics and Statistics (2011)
  2. Risk Premia on Equity and Debt in a DSGE Model with Long-Run Real and Nominal Risks
    2009 Meeting Papers, Society for Economic Dynamics

2008

  1. Examining the bond premium puzzle with a DSGE model
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (32)
    See also Journal Article in Journal of Monetary Economics (2008)
  2. Long-Run Inflation Risk and the Postwar Term Premium
    2008 Meeting Papers, Society for Economic Dynamics Downloads View citations (1)
  3. The bond premium in a DSGE model with long-run real and nominal risks
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (2)
    Also in Working Paper Research, National Bank of Belgium (2008) Downloads View citations (5)

    See also Journal Article in American Economic Journal: Macroeconomics (2012)

2007

  1. Optimal Time-Consistent Monetary Policy in the New Keynesian Model with Repeated Simultaneous Play
    2007 Meeting Papers, Society for Economic Dynamics Downloads View citations (1)
  2. Real wage cyclicality in the PSID
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (3)

2006

  1. Does Inflation Targeting Anchor Long-Run Inflation Expectations? Evidence from Long-Term Bond Yields in the US, UK and Sweden
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (26)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2006) Downloads View citations (62)
  2. Futures prices as risk-adjusted forecasts of monetary policy
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (41)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) Downloads View citations (33)

    See also Journal Article in Journal of Monetary Economics (2008)
  3. Higher-order perturbation solutions to dynamic, discrete-time rational expectations models
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (26)
  4. Inflation Targeting and the Anchoring of Inflation Expectations in The Western Hemisphere
    Working Papers Central Bank of Chile, Central Bank of Chile Downloads View citations (11)
    See also Chapter (2007)
    Journal Article in Economic Review (2007)
  5. Macroeconomic implications of changes in the term premium
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (15)
    See also Journal Article in Review (2007)
  6. Market-based measures of monetary policy expectations
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (30)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2002) Downloads View citations (49)

    See also Journal Article in Journal of Business & Economic Statistics (2007)
  7. The bond yield "conundrum" from a macro-finance perspective
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (22)
    See also Journal Article in Monetary and Economic Studies (2006)
  8. The relative price and relative productivity channels for aggregate fluctuations
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (1)
    See also Journal Article in The B.E. Journal of Macroeconomics (2006)

2005

  1. Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements
    MPRA Paper, University Library of Munich, Germany Downloads View citations (140)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2004) Downloads View citations (34)
    Macroeconomics, EconWPA (2005) Downloads View citations (154)

    See also Journal Article in International Journal of Central Banking (2005)
  2. Higher-Order Perturbation Solutions to Dynamic, Discrete-Time Rational Expectations Models: Methods and an Application to Optimal Monetary Policy
    Computing in Economics and Finance 2005, Society for Computational Economics
  3. Optimal Nonlinear Policy: Signal Extraction with a Non-Normal Prior
    Computing in Economics and Finance 2005, Society for Computational Economics Downloads View citations (2)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2005) Downloads View citations (3)

    See also Journal Article in Journal of Economic Dynamics and Control (2006)

2004

  1. Federal Reserve transparency and financial market forecasts of short-term interest rates
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (30)
  2. Higher-Order Solutions to Dynamic, Discrete-Time Rational Expectations Models: Methods and an Application to Optimal Monetary Policy
    Econometric Society 2004 North American Winter Meetings, Econometric Society
    Also in Computing in Economics and Finance 2003, Society for Computational Economics (2003) View citations (1)
  3. Optimal Monetary Policy in an Imperfect World
    Computing in Economics and Finance 2004, Society for Computational Economics View citations (1)
  4. The magnitude and Cyclical Behavior of Financial Market Frictions
    Computing in Economics and Finance 2004, Society for Computational Economics Downloads View citations (21)

2003

  1. Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (26)
    Also in Working Paper Series, European Central Bank (2002) Downloads View citations (12)
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2002) Downloads View citations (5)

    See also Journal Article in Journal of the European Economic Association (2003)
  2. The excess sensitivity of long-term interest rates: evidence and implications for macroeconomic models
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (64)
    See also Journal Article in Proceedings (2003)

2002

  1. Identifying vars based on high frequency futures data
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (14)
    See also Journal Article in Journal of Monetary Economics (2004)

2001

  1. NAIRU uncertainty and nonlinear policy rules
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (27)
    See also Journal Article in American Economic Review (2001)

2000

  1. On Signal Extraction and Non-Certainty-Equivalence in Optimal Monetary Policy Rules
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (8)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2000) Downloads View citations (24)

    See also Journal Article in Proceedings (2000)

1999

  1. Measuring the cyclicality of real wages: how important is aggregation across industries?
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads
  2. Models of sectoral reallocation
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (3)

Journal Articles

2013

  1. The zero lower bound and longer-term yields
    FRBSF Economic Letter, 2013, (sept30) Downloads

2012

  1. Risk Aversion and the Labor Margin in Dynamic Equilibrium Models
    American Economic Review, 2012, 102, (4), 1663-91 Downloads View citations (19)
  2. Structural and cyclical economic factors
    FRBSF Economic Letter, 2012, (jun11) Downloads
  3. The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks
    American Economic Journal: Macroeconomics, 2012, 4, (1), 105-43 Downloads View citations (51)
    See also Working Paper (2008)

2011

  1. Convergence and Anchoring of Yield Curves in the Euro Area
    The Review of Economics and Statistics, 2011, 93, (1), 350-364 Downloads View citations (7)
    See also Working Paper (2009)
  2. Let's Twist Again: A High-Frequency Event-study Analysis of Operation Twist and Its Implications for QE2
    Brookings Papers on Economic Activity, 2011, 42, (1 (Spring)), 151-207 Downloads View citations (39)
    See also Working Paper (2011)
  3. Operation Twist and the effect of large-scale asset purchases
    FRBSF Economic Letter, 2011, (apr25) Downloads View citations (2)

2010

  1. Does Inflation Targeting Anchor Long-Run Inflation Expectations? Evidence from the U.S., UK, and Sweden
    Journal of the European Economic Association, 2010, 8, (6), 1208-1242 Downloads View citations (36)
  2. Financial market imperfections and macroeconomics: conference summary
    FRBSF Economic Letter, 2010, (aug23) Downloads

2009

  1. Macroeconomic models for monetary policy: conference summary
    FRBSF Economic Letter, 2009, (jul20) Downloads

2008

  1. Convergence of long-term bond yields in the euro area
    FRBSF Economic Letter, 2008, (nov21) Downloads
  2. Examining the bond premium puzzle with a DSGE model
    Journal of Monetary Economics, 2008, 55, (Supplement 1), S111-S126 Downloads View citations (39)
    See also Working Paper (2008)
  3. Futures prices as risk-adjusted forecasts of monetary policy
    Journal of Monetary Economics, 2008, 55, (4), 677-691 Downloads View citations (47)
    Also in Proceedings, 2004, (Mar) (2004) Downloads View citations (26)

    See also Working Paper (2006)

2007

  1. Inflation targeting and the anchoring of inflation expectations in the western hemisphere
    Economic Review, 2007, 25-47 Downloads View citations (9)
    Also in Journal Economía Chilena (The Chilean Economy), 2006, 9, (3), 19-52 (2006) Downloads View citations (12)

    See also Chapter (2007)
    Working Paper (2006)
  2. Macroeconomic implications of changes in the term premium
    Review, 2007, (Jul), 241-270 Downloads View citations (49)
    See also Working Paper (2006)
  3. Market-Based Measures of Monetary Policy Expectations
    Journal of Business & Economic Statistics, 2007, 25, 201-212 Downloads View citations (47)
    See also Working Paper (2006)
  4. REAL WAGE CYCLICALITY IN THE PANEL STUDY OF INCOME DYNAMICS
    Scottish Journal of Political Economy, 2007, 54, (5), 617-647 Downloads View citations (5)
  5. What we do and don't know about the term premium
    FRBSF Economic Letter, 2007, (jul20) Downloads View citations (4)

2006

  1. Have Increases in Federal Reserve Transparency Improved Private Sector Interest Rate Forecasts?
    Journal of Money, Credit and Banking, 2006, 38, (3), 791-819 Downloads View citations (58)
  2. Optimal nonlinear policy: signal extraction with a non-normal prior
    Journal of Economic Dynamics and Control, 2006, 30, (2), 185-203 Downloads View citations (3)
    See also Working Paper (2005)
  3. The Bond Yield "Conundrum" from a Macro-Finance Perspective
    Monetary and Economic Studies, 2006, 24, (S1), 83-109 Downloads View citations (38)
    See also Working Paper (2006)
  4. The Relative Price and Relative Productivity Channels for Aggregate Fluctuations
    The B.E. Journal of Macroeconomics, 2006, 6, (1), 1-39 Downloads View citations (1)
    See also Working Paper (2006)
  5. Would an inflation target help anchor U.S. inflation expectations?
    FRBSF Economic Letter, 2006, (aug11) Downloads View citations (3)

2005

  1. Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements
    International Journal of Central Banking, 2005, 1, (1) Downloads View citations (130)
    See also Working Paper (2005)
  2. The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models
    American Economic Review, 2005, 95, (1), 425-436 Downloads View citations (173)

2004

  1. Do Federal Reserve Policy Surprises Reveal Superior Information about the Economy?
    The B.E. Journal of Macroeconomics, 2004, 4, (1), 1-31 Downloads View citations (26)
  2. Identifying VARS based on high frequency futures data
    Journal of Monetary Economics, 2004, 51, (6), 1107-1131 Downloads View citations (71)
    See also Working Paper (2002)
  3. Measuring the Cyclicality of Real Wages: How Important Is the Firm's Point of View?
    The Review of Economics and Statistics, 2004, 86, (1), 362-377 Downloads
  4. SIGNAL EXTRACTION AND NON-CERTAINTY-EQUIVALENCE IN OPTIMAL MONETARY POLICY RULES
    Macroeconomic Dynamics, 2004, 8, (01), 27-50 Downloads View citations (25)

2003

  1. Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data
    Journal of the European Economic Association, 2003, 1, (5), 1031-1057 Downloads View citations (25)
    See also Working Paper (2003)
  2. The excess sensitivity of long-term interest rates: evidence and implications for macroeconomic models
    Proceedings, 2003, (Mar) Downloads View citations (84)
    See also Working Paper (2003)

2001

  1. NAIRU Uncertainty and Nonlinear Policy Rules
    American Economic Review, 2001, 91, (2), 226-231 Downloads View citations (23)
    See also Working Paper (2001)

2000

  1. On signal extraction and non-certainty-equivalence in optimal monetary policy rules
    Proceedings, 2000 Downloads View citations (16)
    See also Working Paper (2000)

Chapters

2013

  1. Measuring the Effect of the Zero Lower Bound on Yields and Exchange Rates in the U.K. and Germany
    A chapter in NBER International Seminar on Macroeconomics 2013, 2013, pp 2-21

2007

  1. Inflation Targeting and the Anchoring of Inflation Expectations in the Western Hemisphere
    Chapter 11 in Monetary Policy under Inflation Targeting, 2007, vol. 11, pp 415-465 Downloads View citations (3)
    See also Working Paper (2006)
    Journal Article in Economic Review (2007)
 
Page updated 2014-04-23