Details about Eric T. Swanson

E-mail:
Homepage:	http://www.ericswanson.org
Phone:	949-824-8305
Postal address:	Department of Economics University of California, Irvine 3151 Social Science Plaza Irvine, CA 92697
Workplace:	Department of Economics, University of California-Irvine, (more information at EDIRC)

Access statistics for papers by Eric T. Swanson.

Last updated 2021-03-31. Update your information in the RePEc Author Service.

Short-id: psw16

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Working Papers

2020

1. The Fed's Response to Economic News Explains the "Fed Information Effect"
   CESifo Working Paper Series, CESifo View citations (5)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2020) View citations (5)
   Working Paper Series, Federal Reserve Bank of San Francisco (2020) View citations (5)

2019

2. Implications of Labor Market Frictions for Risk Aversion and Risk Premia
   NBER Working Papers, National Bureau of Economic Research, Inc
   Also in Working Paper Series, Federal Reserve Bank of San Francisco (2013)
   2013 Meeting Papers, Society for Economic Dynamics (2013)
   See also Journal Article in American Economic Journal: Macroeconomics (2020)

2018

3. The Federal Reserve Is Not Very Constrained by the Lower Bound on Nominal Interest Rates
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
   See also Journal Article in Brookings Papers on Economic Activity (2018)

2017

4. Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (83)
   Also in 2016 Meeting Papers, Society for Economic Dynamics (2016) View citations (12)
   See also Journal Article in Journal of Monetary Economics (2021)

2015

5. A Macroeconomic Model of Equities and Real, Nominal, and Defaultable Debt
   2015 Meeting Papers, Society for Economic Dynamics View citations (17)
6. Measuring the Effects of Unconventional Monetary Policy on Asset Prices
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
   See also Journal Article in Journal Economía Chilena (The Chilean Economy) (2016)
   Chapter (2016)

2014

7. Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (213)
   Also in 2012 Meeting Papers, Society for Economic Dynamics (2012) View citations (3)
   Working Paper Series, Federal Reserve Bank of San Francisco (2012) View citations (8)
   See also Journal Article in American Economic Review (2014)
8. Monetary Policy Effectiveness in China: Evidence from a FAVAR Model
   Working Paper Series, Federal Reserve Bank of San Francisco View citations (59)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (59)
   See also Journal Article in Journal of International Money and Finance (2014)

2013

9. Measuring the Effect of the Zero Lower Bound on Yields and Exchange Rates in the U.K. and Germany
   Working Paper Series, Federal Reserve Bank of San Francisco View citations (5)
   See also Chapter (2013)

2012

10. Risk aversion, risk premia, and the labor margin with generalized recursive preferences
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (11)
    See also Journal Article in Review of Economic Dynamics (2018)

2011

11. 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 View citations (44)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2011) View citations (76)
    See also Journal Article in Brookings Papers on Economic Activity (2011)

2010

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

2009

13. CONVERGENCE AND ANCHORING OF YIELD CURVES IN THE EURO AREA
    2009 Meeting Papers, Society for Economic Dynamics
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (29)
    Working Paper Series, European Central Bank (2007) View citations (18)
    Working Paper Series, Federal Reserve Bank of San Francisco (2007) View citations (11)
    See also Journal Article in The Review of Economics and Statistics (2011)
14. 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

15. Examining the bond premium puzzle with a DSGE model
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (97)
    See also Journal Article in Journal of Monetary Economics (2008)
16. Long-Run Inflation Risk and the Postwar Term Premium
    2008 Meeting Papers, Society for Economic Dynamics View citations (1)
17. The bond premium in a DSGE model with long-run real and nominal risks
    Working Paper Research, National Bank of Belgium View citations (21)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2008) View citations (8)
    See also Journal Article in American Economic Journal: Macroeconomics (2012)

2007

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

2006

20. 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 View citations (33)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2006) View citations (75)
21. Futures prices as risk-adjusted forecasts of monetary policy
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (45)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations (39)
    See also Journal Article in Journal of Monetary Economics (2008)
22. Higher-order perturbation solutions to dynamic, discrete-time rational expectations models
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (57)
23. Inflation Targeting and the Anchoring of Inflation Expectations in The Western Hemisphere
    Working Papers Central Bank of Chile, Central Bank of Chile View citations (16)
    See also Chapter (2007)
    Journal Article in Economic Review (2007)
24. Macroeconomic implications of changes in the term premium
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (18)
    See also Journal Article in Review (2007)
25. Market-based measures of monetary policy expectations
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (33)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2002) View citations (51)
    See also Journal Article in Journal of Business & Economic Statistics (2007)
26. The bond yield \"conundrum\" from a macro-finance perspective
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (39)
    See also Journal Article in Monetary and Economic Studies (2006)
27. The relative price and relative productivity channels for aggregate fluctuations
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (4)
    See also Journal Article in The B.E. Journal of Macroeconomics (2006)

2005

28. Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements
    MPRA Paper, University Library of Munich, Germany View citations (635)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2004) View citations (59)
    Macroeconomics, University Library of Munich, Germany (2005) View citations (647)
    See also Journal Article in International Journal of Central Banking (2005)
29. 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
30. Optimal Nonlinear Policy: Signal Extraction with a Non-Normal Prior
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (2)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2005) View citations (3)
    See also Journal Article in Journal of Economic Dynamics and Control (2006)

2004

31. 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.) View citations (32)
32. 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)
33. Optimal Monetary Policy in an Imperfect World
    Computing in Economics and Finance 2004, Society for Computational Economics View citations (1)
34. The magnitude and Cyclical Behavior of Financial Market Frictions
    Computing in Economics and Finance 2004, Society for Computational Economics View citations (44)

2003

35. Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (60)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2002) View citations (8)
    Working Paper Series, European Central Bank (2002) View citations (18)
    See also Journal Article in Journal of the European Economic Association (2003)
36. 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.) View citations (67)
    See also Journal Article in Proceedings (2003)

2002

37. Identifying vars based on high frequency futures data
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (16)
    See also Journal Article in Journal of Monetary Economics (2004)

2001

38. NAIRU uncertainty and nonlinear policy rules
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (38)
    See also Journal Article in American Economic Review (2001)

2000

39. On Signal Extraction and Non-Certainty-Equivalence in Optimal Monetary Policy Rules
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (14)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2000) View citations (29)
    See also Journal Article in Macroeconomic Dynamics (2004)

1999

40. 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.)
41. Models of sectoral reallocation
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (6)

Journal Articles

2021

1. Measuring the effects of federal reserve forward guidance and asset purchases on financial markets
   Journal of Monetary Economics, 2021, 118, (C), 32-53
   See also Working Paper (2017)

2020

2. Implications of Labor Market Frictions for Risk Aversion and Risk Premia
   American Economic Journal: Macroeconomics, 2020, 12, (2), 194-240
   See also Working Paper (2019)

2018

3. Risk Aversion, Risk Premia, and the Labor Margin with Generalized Recursive Preferences
   Review of Economic Dynamics, 2018, 28, 290-321 View citations (7)
   See also Working Paper (2012)
   Software Item (2017)
4. The Federal Reserve Is Not Very Constrained by the Lower Bound on Nominal Interest Rates
   Brookings Papers on Economic Activity, 2018, 49, (2 (Fall)), 555-572 View citations (12)
   See also Working Paper (2018)

2016

5. Measuring the effects of unconventional monetary policy on asset prices
   Journal Economía Chilena (The Chilean Economy), 2016, 19, (2), 78-100 View citations (5)
   See also Chapter (2016)
   Working Paper (2015)

2014

6. Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates
   American Economic Review, 2014, 104, (10), 3154-85 View citations (212)
   See also Working Paper (2014)
7. Monetary policy effectiveness in China: Evidence from a FAVAR model
   Journal of International Money and Finance, 2014, 49, (PA), 83-103 View citations (59)
   See also Working Paper (2014)

2013

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

2012

9. Risk Aversion and the Labor Margin in Dynamic Equilibrium Models
   American Economic Review, 2012, 102, (4), 1663-91 View citations (63)
10. Structural and cyclical economic factors
    FRBSF Economic Letter, 2012, (jun11)
11. The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks
    American Economic Journal: Macroeconomics, 2012, 4, (1), 105-43 View citations (230)
    See also Working Paper (2008)

2011

12. Convergence and Anchoring of Yield Curves in the Euro Area
    The Review of Economics and Statistics, 2011, 93, (1), 350-364 View citations (59)
    See also Working Paper (2009)
13. 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 View citations (115)
    See also Working Paper (2011)
14. Operation Twist and the effect of large-scale asset purchases
    FRBSF Economic Letter, 2011, (apr25) View citations (2)

2010

15. 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 View citations (144)
16. Financial market imperfections and macroeconomics: conference summary
    FRBSF Economic Letter, 2010, (aug23)

2009

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

2008

18. Convergence of long-term bond yields in the euro area
    FRBSF Economic Letter, 2008, (nov21) View citations (7)
19. Examining the bond premium puzzle with a DSGE model
    Journal of Monetary Economics, 2008, 55, (Supplement 1), S111-S126 View citations (110)
    See also Working Paper (2008)
20. Futures prices as risk-adjusted forecasts of monetary policy
    Journal of Monetary Economics, 2008, 55, (4), 677-691 View citations (142)
    Also in Proceedings, 2004, (Mar) (2004) View citations (29)
    See also Working Paper (2006)

2007

21. Inflation targeting and the anchoring of inflation expectations in the western hemisphere
    Economic Review, 2007, 25-47 View citations (24)
    Also in Journal Economía Chilena (The Chilean Economy), 2006, 9, (3), 19-52 (2006) View citations (19)
    See also Chapter (2007)
    Working Paper (2006)
22. Macroeconomic implications of changes in the term premium
    Review, 2007, 89, (Jul), 241-270 View citations (75)
    See also Working Paper (2006)
23. Market-Based Measures of Monetary Policy Expectations
    Journal of Business & Economic Statistics, 2007, 25, 201-212 View citations (147)
    See also Working Paper (2006)
24. REAL WAGE CYCLICALITY IN THE PANEL STUDY OF INCOME DYNAMICS
    Scottish Journal of Political Economy, 2007, 54, (5), 617-647 View citations (17)
25. What we do and don't know about the term premium
    FRBSF Economic Letter, 2007, (jul20) View citations (9)

2006

26. Have Increases in Federal Reserve Transparency Improved Private Sector Interest Rate Forecasts?
    Journal of Money, Credit and Banking, 2006, 38, (3), 791-819 View citations (144)
27. Optimal nonlinear policy: signal extraction with a non-normal prior
    Journal of Economic Dynamics and Control, 2006, 30, (2), 185-203 View citations (6)
    See also Working Paper (2005)
28. The Bond Yield "Conundrum" from a Macro-Finance Perspective
    Monetary and Economic Studies, 2006, 24, (S1), 83-109 View citations (63)
    See also Working Paper (2006)
29. The Relative Price and Relative Productivity Channels for Aggregate Fluctuations
    The B.E. Journal of Macroeconomics, 2006, 6, (1), 1-39 View citations (3)
    See also Working Paper (2006)
30. Would an inflation target help anchor U.S. inflation expectations?
    FRBSF Economic Letter, 2006, (aug11) View citations (3)

2005

31. 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) View citations (625)
    See also Working Paper (2005)
32. The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models
    American Economic Review, 2005, 95, (1), 425-436 View citations (403)

2004

33. Do Federal Reserve Policy Surprises Reveal Superior Information about the Economy?
    The B.E. Journal of Macroeconomics, 2004, 4, (1), 1-31 View citations (65)
34. Identifying VARS based on high frequency futures data
    Journal of Monetary Economics, 2004, 51, (6), 1107-1131 View citations (157)
    See also Working Paper (2002)
35. 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 View citations (9)
36. SIGNAL EXTRACTION AND NON-CERTAINTY-EQUIVALENCE IN OPTIMAL MONETARY POLICY RULES
    Macroeconomic Dynamics, 2004, 8, (1), 27-50 View citations (31)
    Also in Proceedings, 2000 (2000) View citations (21)
    See also Working Paper (2000)

2003

37. 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 View citations (62)
    See also Working Paper (2003)
38. The excess sensitivity of long-term interest rates: evidence and implications for macroeconomic models
    Proceedings, 2003, (Mar) View citations (86)
    See also Working Paper (2003)

2001

39. NAIRU Uncertainty and Nonlinear Policy Rules
    American Economic Review, 2001, 91, (2), 226-231 View citations (34)
    See also Working Paper (2001)

Chapters

2016

1. Measuring the Effects of Unconventional Monetary Policy on Asset Prices
   Chapter 04 in Monetary Policy through Asset Markets: Lessons from Unconventional Measures and Implications for an Integrated World, 2016, vol. 24, pp 105-130 View citations (4)
   See also Journal Article in Journal Economía Chilena (The Chilean Economy) (2016)
   Working Paper (2015)

2013

2. 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 View citations (5)
   See also Working Paper (2013)

2007

3. 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 View citations (18)
   See also Journal Article in Economic Review (2007)
   Working Paper (2006)

Software Items

2017

1. Code and data files for "Risk Aversion, Risk Premia, and the Labor Margin with Generalized Recursive Preferences"
   Computer Codes, Review of Economic Dynamics
   See also Journal Article in Review of Economic Dynamics (2018)