Details about Jens Henrik Eggert Christensen

Access statistics for papers by Jens Henrik Eggert Christensen.

Last updated 2023-02-24. Update your information in the RePEc Author Service.

Short-id: pch1126

Working Papers

2025

1. German Inflation-Linked Bonds: Overpriced, Yet Undervalued
   Working Paper Series, Federal Reserve Bank of San Francisco

2024

2. A Post-Pandemic New Normal for Interest Rates in Emerging Bond Markets? Evidence from Chile
   Working Paper Series, Federal Reserve Bank of San Francisco
3. Inflation Expectations, Liquidity Premia and Global Spillovers in Japanese Bond Markets
   Working Paper Series, Federal Reserve Bank of San Francisco
4. Quantitative Easing, Bond Risk Premia and the Exchange Rate in a Small Open Economy
   Working Paper Series, Federal Reserve Bank of San Francisco
   Also in Working Paper Series, Federal Reserve Bank of San Francisco (2024)
5. The Natural Rate of Interest in the Euro Area: Evidence from Inflation-Indexed Bonds
   Working Paper Series, Federal Reserve Bank of San Francisco

2023

6. Market-Based Estimates of the Natural Real Rate: Evidence from Latin American Bond Markets
   Working Paper Series, Federal Reserve Bank of San Francisco
7. Passive Quantitative Easing: Bond Supply Effects through a Halt to Debt Issuance
   Working Paper Series, Federal Reserve Bank of San Francisco
8. Quantitative Easing and Safe Asset Scarcity: Evidence from International Bond Safety Premia
   Working Paper Series, Federal Reserve Bank of San Francisco
9. The Benefit of Inflation-Indexed Debt: Evidence from an Emerging Bond Market
   Working Paper Series, Federal Reserve Bank of San Francisco

2021

10. Central Bank Credibility During COVID-19: Evidence from Japan
    Working Paper Series, Federal Reserve Bank of San Francisco
11. Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico
    Staff Reports, Federal Reserve Bank of New York View citations (2)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2021) View citations (2)
12. International Evidence on Extending Sovereign Debt Maturities
    Working Paper Series, Federal Reserve Bank of San Francisco
13. The Safety Premium of Safe Assets
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (2)
    Also in Working Papers, Swiss National Bank (2021) View citations (2)

2020

14. Accounting for Low Long-Term Interest Rates: Evidence from Canada
    Working Paper Series, Federal Reserve Bank of San Francisco
15. The TIPS Liquidity Premium
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (1)

2019

16. Assessing Abenomics: Evidence from Inflation-Indexed Japanese Government Bonds
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (1)
17. Bond Flows and Liquidity: Do Foreigners Matter?
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (1)
18. Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement
    Working Paper Series, Federal Reserve Bank of San Francisco

2018

19. A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (7)

2017

20. Is There an On-the-Run Premium in TIPS?
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (1)
21. Term Structure Analysis with Big Data
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (1)

2016

22. A Portfolio Model of Quantitative Easing
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (4)
    Also in Working Papers, Swiss National Bank (2016) View citations (12)
    Working Paper Series, Peterson Institute for International Economics (2016) View citations (16)

2015

23. Transmission of Quantitative Easing: The Role of Central Bank Reserves
    Working Papers, Swiss National Bank View citations (12)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2014) View citations (5)

2014

24. Can Spanned Term Structure Factors Drive Stochastic Yield Volatility?
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (7)

2013

25. A Probability-Based Stress Test of Federal Reserve Assets and Income
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (6)
26. A Regime-Switching Model of the Yield Curve at the Zero Bound
    Working Paper Series, Federal Reserve Bank of San Francisco
27. Does Quantitative Easing Affect Market Liquidity?
    Working Paper Series, Federal Reserve Bank of San Francisco
28. Estimating Shadow-Rate Term Structure Models with Near-Zero Yields
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (7)
29. Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (5)

2012

30. Pricing deflation risk with U.S. Treasury yields
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (4)
31. The response of interest rates to U.S. and U.K. quantitative easing
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (71)
    See also Journal Article The Response of Interest Rates to US and UK Quantitative Easing, Economic Journal, Royal Economic Society (2012) View citations (274) (2012)

2011

32. A model-independent maximum range for the liquidity correction of TIPS yields
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (5)
33. Extracting deflation probability forecasts from Treasury yields
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (8)
    See also Journal Article Extracting Deflation Probability Forecasts from Treasury Yields, International Journal of Central Banking, International Journal of Central Banking (2012) View citations (19) (2012)

2009

34. Do central bank liquidity facilities affect interbank lending rates?
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (84)
    See also Journal Article Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?, Journal of Business & Economic Statistics, Taylor & Francis Journals (2014) View citations (27) (2014)

2008

35. An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (28)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2008) View citations (10)
    NBER Working Papers, National Bureau of Economic Research, Inc (2008) View citations (13)
    See also Journal Article An arbitrage-free generalized Nelson--Siegel term structure model, Econometrics Journal, Royal Economic Society (2009) View citations (65) (2009)
36. 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 (14)
    See also Journal Article Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields, Journal of Money, Credit and Banking, Blackwell Publishing (2010) View citations (145) (2010)

2007

37. 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 (46)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2007) View citations (24)
    NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations (26)
    See also Journal Article The affine arbitrage-free class of Nelson-Siegel term structure models, Journal of Econometrics, Elsevier (2011) View citations (210) (2011)

Journal Articles

2024

1. What’s Up with Inflation Expectations in Japan?
   FRBSF Economic Letter, 2024, 2024, (13), 6

2023

2. Are Inflation Expectations Well Anchored in Mexico?
   FRBSF Economic Letter, 2023, 2023, (01), 6 View citations (1)

2022

3. COVID-19 Fiscal Expansion and Inflation Expectations in Japan
   FRBSF Economic Letter, 2022, 2022, (20), 5
4. The Increase in Inflation Compensation: What’s Up?
   FRBSF Economic Letter, 2022, 2022, (18), 06

2021

5. Exploring the Safety Premium of Safe Assets
   FRBSF Economic Letter, 2021, 2021, (13), 01-05
6. What Would It Cost to Issue 50-year Treasury Bonds?
   FRBSF Economic Letter, 2021, 2021, (29), 05

2020

7. Coronavirus and the Risk of Deflation
   FRBSF Economic Letter, 2020, 2020, (11), 5 View citations (3)
8. Emerging Bond Markets and COVID-19: Evidence from Mexico
   FRBSF Economic Letter, 2020, 2020, (23), 01-05 View citations (3)

2019

9. Negative Interest Rates and Inflation Expectations in Japan
   FRBSF Economic Letter, 2019 View citations (3)
10. The Risk of Returning to the Zero Lower Bound
    FRBSF Economic Letter, 2019 View citations (1)
11. Yield Curve Responses to Introducing Negative Policy Rates
    FRBSF Economic Letter, 2019 View citations (3)

2018

12. Do Adjustment Lags Matter for Inflation-Indexed Bonds?
    FRBSF Economic Letter, 2018
13. Do Foreign Funds Matter for Emerging Market Bond Liquidity?
    FRBSF Economic Letter, 2018
14. The Slope of the Yield Curve and the Near-Term Outlook
    FRBSF Economic Letter, 2018 View citations (4)

2017

15. Do All New Treasuries Trade at a Premium?
    FRBSF Economic Letter, 2017 View citations (2)
16. How Much Has Job Matching Efficiency Declined?
    FRBSF Economic Letter, 2017 View citations (1)
17. Measuring Interest Rate Risk in the Very Long Term
    FRBSF Economic Letter, 2017
18. New Evidence for a Lower New Normal in Interest Rates
    FRBSF Economic Letter, 2017 View citations (5)

2016

19. Differing views on long-term inflation expectations
    FRBSF Economic Letter, 2016 View citations (1)
20. TIPS Liquidity and the Outlook for Inflation
    FRBSF Economic Letter, 2016 View citations (1)

2015

21. Assessing supervisory scenarios for interest rate risk
    FRBSF Economic Letter, 2015
22. Transmission of asset purchases: the role of reserves
    FRBSF Economic Letter, 2015

2014

23. Assessing expectations of monetary policy
    FRBSF Economic Letter, 2014 View citations (7)
24. Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?
    Journal of Business & Economic Statistics, 2014, 32, (1), 136-151 View citations (27)
    See also Working Paper Do central bank liquidity facilities affect interbank lending rates?, Working Paper Series (2009) View citations (84) (2009)
25. Financial market outlook for inflation
    FRBSF Economic Letter, 2014 View citations (5)
26. Stress testing the Fed
    FRBSF Economic Letter, 2014
27. When will the Fed end its zero rate policy?
    FRBSF Economic Letter, 2014 View citations (1)

2012

28. Do Fed TIPS purchases affect market liquidity?
    FRBSF Economic Letter, 2012, (mar5) View citations (10)
29. Extracting Deflation Probability Forecasts from Treasury Yields
    International Journal of Central Banking, 2012, 8, (4), 21-60 View citations (19)
    See also Working Paper Extracting deflation probability forecasts from Treasury yields, Working Paper Series (2011) View citations (8) (2011)
30. The Response of Interest Rates to US and UK Quantitative Easing
    Economic Journal, 2012, 122, (564), F385-F414 View citations (274)
    See also Working Paper The response of interest rates to U.S. and U.K. quantitative easing, Working Paper Series (2012) View citations (71) (2012)

2011

31. Has the Treasury benefited from issuing TIPS?
    FRBSF Economic Letter, 2011, (apr18) View citations (1)
32. TIPS liquidity, breakeven inflation, and inflation expectations
    FRBSF Economic Letter, 2011, (june20) View citations (1)
33. The affine arbitrage-free class of Nelson-Siegel term structure models
    Journal of Econometrics, 2011, 164, (1), 4-20 View citations (210)
    See also Working Paper The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models, PIER Working Paper Archive (2007) View citations (46) (2007)

2010

34. 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 (145)
    Also in Proceedings, 2009, (Jan) (2009) View citations (19)
    See also Working Paper Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields, Working Paper Series (2008) View citations (14) (2008)
35. TIPS and the risk of deflation
    FRBSF Economic Letter, 2010, (oct25)

2009

36. An arbitrage-free generalized Nelson--Siegel term structure model
    Econometrics Journal, 2009, 12, (3), C33-C64 View citations (65)
    See also Working Paper An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model, PIER Working Paper Archive (2008) View citations (28) (2008)
37. Have the Fed liquidity facilities had an effect on Libor?
    FRBSF Economic Letter, 2009, (aug10) View citations (4)
38. Inflation expectations and the risk of deflation
    FRBSF Economic Letter, 2009, (nov2) View citations (4)

2008

39. The corporate bond credit spread puzzle
    FRBSF Economic Letter, 2008, (mar14) View citations (7)
40. Treasury bond yields and long-run inflation expectations
    FRBSF Economic Letter, 2008, (aug15)

2007

41. Internal risk models and the estimation of default probabilities
    FRBSF Economic Letter, 2007, (sep28)

2004

42. Confidence sets for continuous-time rating transition probabilities
    Journal of Banking & Finance, 2004, 28, (11), 2575-2602 View citations (59)