Details about Michael Dominic Bauer

Access statistics for papers by Michael Dominic Bauer.

Last updated 2022-08-28. Update your information in the RePEc Author Service.

Short-id: pba824

Working Papers

2022

1. A Reassessment of Monetary Policy Surprises and High-Frequency Identification
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in IMFS Working Paper Series, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS) (2022) View citations (9)
   CESifo Working Paper Series, CESifo (2022) View citations (9)
   NBER Working Papers, National Bureau of Economic Research, Inc (2022) View citations (9)
   See also Chapter (2022)
2. Perceptions about Monetary Policy
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

2021

3. Interest Rate Skewness and Biased Beliefs
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in CESifo Working Paper Series, CESifo (2021) View citations (8)
   NBER Working Papers, National Bureau of Economic Research, Inc (2021) View citations (8)
   IMFS Working Paper Series, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS) (2021) View citations (7)
4. Market-Based Monetary Policy Uncertainty
   Working Paper Series, Federal Reserve Bank of San Francisco View citations (15)
   Also in 2019 Meeting Papers, Society for Economic Dynamics (2019) View citations (17)
   CESifo Working Paper Series, CESifo (2019) View citations (17)
   Working Papers, Michigan State University, Department of Economics (2019) View citations (19)
5. The Fed's response to economic news explains the "Fed information effect"
   IMFS Working Paper Series, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS)
   Also in CESifo Working Paper Series, CESifo (2020) View citations (24)
   Working Paper Series, Federal Reserve Bank of San Francisco (2020) View citations (19)

2020

6. An Alternative Explanation for the “Fed Information Effect”
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (14)
7. The Rising Cost of Climate Change: Evidence from the Bond Market
   Working Paper Series, Federal Reserve Bank of San Francisco View citations (1)

2019

8. Interest Rates Under Falling Stars
   Working Paper Series, Federal Reserve Bank of San Francisco View citations (6)
   Also in CESifo Working Paper Series, CESifo (2017) View citations (20)
   See also Journal Article in American Economic Review (2020)

2017

9. Robust Bond Risk Premia
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
   Also in CESifo Working Paper Series, CESifo (2015) View citations (12)
   Working Paper Series, Federal Reserve Bank of San Francisco (2015) View citations (5)
   See also Journal Article in Review of Financial Studies (2018)

2015

10. Resolving the Spanning Puzzle in Macro-Finance Term Structure Models
    CESifo Working Paper Series, CESifo View citations (7)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2015) View citations (4)
    See also Journal Article in Review of Finance (2017)
11. Restrictions on Risk Prices in Dynamic Term Structure Models
    CESifo Working Paper Series, CESifo View citations (6)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2011) View citations (17)
    See also Journal Article in Journal of Business & Economic Statistics (2018)

2014

12. Inflation Expectations and the News
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (5)
    See also Journal Article in International Journal of Central Banking (2015)

2013

13. Monetary Policy Expectations at the Zero Lower Bound
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (27)
    See also Journal Article in Journal of Money, Credit and Banking (2016)
14. The Shadow Rate, Taylor Rules, and Monetary Policy Lift-off
    2013 Meeting Papers, Society for Economic Dynamics View citations (1)

2012

15. International channels of the Fed’s unconventional monetary policy
    Working Papers, Federal Reserve Bank of St. Louis View citations (30)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2012) View citations (5)
    See also Journal Article in Journal of International Money and Finance (2014)

2011

16. Nominal interest rates and the news
    Working Paper Series, Federal Reserve Bank of San Francisco
    See also Journal Article in Journal of Money, Credit and Banking (2015)
17. The signaling channel for Federal Reserve bond purchases
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (49)
    See also Journal Article in International Journal of Central Banking (2014)
18. Unbiased estimate of dynamic term structure models
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (6)

Journal Articles

2022

1. Current Recession Risk According to the Yield Curve
   FRBSF Economic Letter, 2022, 2022, (11), 05 View citations (2)

2021

2. Climate Change Costs Rise as Interest Rates Fall
   FRBSF Economic Letter, 2021, 2021, (28), 05

2020

3. Interest Rates under Falling Stars
   American Economic Review, 2020, 110, (5), 1316-54 View citations (34)
   See also Working Paper (2019)

2019

4. Zero Lower Bound Risk according to Option Prices
   FRBSF Economic Letter, 2019

2018

5. Economic Forecasts with the Yield Curve
   FRBSF Economic Letter, 2018 View citations (28)
6. Information in the Yield Curve about Future Recessions
   FRBSF Economic Letter, 2018 View citations (16)
7. Restrictions on Risk Prices in Dynamic Term Structure Models
   Journal of Business & Economic Statistics, 2018, 36, (2), 196-211 View citations (20)
   See also Working Paper (2015)
8. Robust Bond Risk Premia
   Review of Financial Studies, 2018, 31, (2), 399-448 View citations (39)
   See also Working Paper (2017)

2017

9. A New Conundrum in the Bond Market?
   FRBSF Economic Letter, 2017 View citations (4)
10. Bridging the Gap: Forecasting Interest Rates with Macro Trends
    FRBSF Economic Letter, 2017 View citations (1)
11. Resolving the Spanning Puzzle in Macro-Finance Term Structure Models
    Review of Finance, 2017, 21, (2), 511-553 View citations (21)
    See also Working Paper (2015)

2016

12. Do macro variables help forecast interest rates?
    FRBSF Economic Letter, 2016
13. Monetary Policy Expectations at the Zero Lower Bound
    Journal of Money, Credit and Banking, 2016, 48, (7), 1439-1465 View citations (102)
    See also Working Paper (2013)
14. Why Are Long-Term Interest Rates So Low?
    FRBSF Economic Letter, 2016 View citations (4)

2015

15. Can we rely on market-based inflation forecasts?
    FRBSF Economic Letter, 2015 View citations (8)
16. Inflation Expectations and the News
    International Journal of Central Banking, 2015, 11, (2), 1-40 View citations (33)
    See also Working Paper (2014)
17. Nominal Interest Rates and the News
    Journal of Money, Credit and Banking, 2015, 47, (2-3), 295-332 View citations (13)
    See also Working Paper (2011)
18. Optimal policy and market-based expectations
    FRBSF Economic Letter, 2015 View citations (4)

2014

19. Financial market outlook for inflation
    FRBSF Economic Letter, 2014 View citations (4)
20. International channels of the Fed's unconventional monetary policy
    Journal of International Money and Finance, 2014, 44, (C), 24-46 View citations (100)
    See also Working Paper (2012)
21. Options-based expectations of future policy rates
    FRBSF Economic Letter, 2014 View citations (2)
22. Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment
    American Economic Review, 2014, 104, (1), 323-37 View citations (67)
23. The Signaling Channel for Federal Reserve Bond Purchases
    International Journal of Central Banking, 2014, 10, (3), 233-289 View citations (284)
    See also Working Paper (2011)

2013

24. Expectations for monetary policy liftoff
    FRBSF Economic Letter, 2013, (nov18) View citations (5)
25. What caused the decline in long-term yields?
    FRBSF Economic Letter, 2013, (july8) View citations (3)

2012

26. Correcting Estimation Bias in Dynamic Term Structure Models
    Journal of Business & Economic Statistics, 2012, 30, (3), 454-467 View citations (152)
27. Fed asset buying and private borrowing rates
    FRBSF Economic Letter, 2012, (may21) View citations (8)
28. Monetary policy and interest rate uncertainty
    FRBSF Economic Letter, 2012, (dec24) View citations (16)

2011

29. Signals from unconventional monetary policy
    FRBSF Economic Letter, 2011, (nov.21) View citations (11)
30. What moves the interest rate term structure?
    FRBSF Economic Letter, 2011, (nov.7) View citations (1)

Chapters

2022

1. A Reassessment of Monetary Policy Surprises and High-Frequency Identification
   A chapter in NBER Macroeconomics Annual 2022, volume 37, 2022, pp 87-155 View citations (9)
   See also Working Paper (2022)