Details about Michiel De Pooter

Access statistics for papers by Michiel De Pooter.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pde371

Working Papers

2021

1. Questions and Answers: The Information Content of the Post-FOMC Meeting Press Conference
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (2)

2020

2. Monetary Policy Uncertainty and Monetary Policy Surprises
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (3)

2018

3. Breaking Down TRACE Volumes Further
   Liberty Street Economics, Federal Reserve Bank of New York View citations (6)
4. Measuring Monetary Policy Spillovers between U.S. and German Bond Yields
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (7)
5. Monetary Policy Surprises and Monetary Policy Uncertainty
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (9)
6. Unlocking the Treasury Market through TRACE
   Liberty Street Economics, Federal Reserve Bank of New York View citations (5)

2016

7. International Spillovers of Monetary Policy
   IFDP Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (14)

2015

8. Cheap Talk and the Efficacy of the ECB’s Securities Market Programme: Did Bond Purchases Matter?
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
9. The Liquidity Effects of Official Bond Market Intervention
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (17)
   See also Journal Article The Liquidity Effects of Official Bond Market Intervention, Journal of Financial and Quantitative Analysis, Cambridge University Press (2018) View citations (50) (2018)

2014

10. Are Long-Term Inflation Expectations Well Anchored in Brazil, Chile and Mexico?
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (37)
    See also Journal Article Are Long-Term Inflation Expectations Well Anchored in Brazil, Chile, and Mexico?, International Journal of Central Banking, International Journal of Central Banking (2014) View citations (24) (2014)

2010

11. Term structure forecasting using macro factors and forecast combination
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (16)
    Also in Working Paper, Norges Bank (2010) View citations (24)

2009

12. A method to measure flag performance for the shipping industry
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

2008

13. Bayesian near-boundary analysis in basic macroeconomic time series models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (19)

2007

14. Examining the Nelson-Siegel Class of Term Structure Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (57)
15. Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (18)
    Also in MPRA Paper, University Library of Munich, Germany (2007) View citations (17)

2006

16. Gibbs sampling in econometric practice
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (3)
17. On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
18. Predicting the Daily Covariance Matrix for S&P 100 Stocks using Intraday Data - But which Frequency to use?
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
    See also Journal Article Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?, Econometric Reviews, Taylor & Francis Journals (2008) View citations (57) (2008)

2004

19. Learning the Shape of the Likelihood of Typical Econometric Models using Gibbs Sampling
    Computing in Economics and Finance 2004, Society for Computational Economics
20. Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (68)
21. Testing for changes in volatility in heteroskedastic time series - a further examination
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (21)

Journal Articles

2018

1. The Liquidity Effects of Official Bond Market Intervention
   Journal of Financial and Quantitative Analysis, 2018, 53, (1), 243-268 View citations (50)
   See also Working Paper The Liquidity Effects of Official Bond Market Intervention, International Finance Discussion Papers (2015) View citations (17) (2015)

2014

2. Are Long-Term Inflation Expectations Well Anchored in Brazil, Chile, and Mexico?
   International Journal of Central Banking, 2014, 10, (2), 337-400 View citations (24)
   See also Working Paper Are Long-Term Inflation Expectations Well Anchored in Brazil, Chile and Mexico?, International Finance Discussion Papers (2014) View citations (37) (2014)

2010

3. An improved methodology to measure flag performance for the shipping industry
   Marine Policy, 2010, 34, (3), 395-405 View citations (6)

2009

4. Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
   International Journal of Forecasting, 2009, 25, (2), 282-303 View citations (105)

2008

5. Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
   Econometric Reviews, 2008, 27, (1-3), 199-229 View citations (57)
   See also Working Paper Predicting the Daily Covariance Matrix for S&P 100 Stocks using Intraday Data - But which Frequency to use?, Tinbergen Institute Discussion Papers (2006) View citations (4) (2006)