Details about Eric T. Swanson
Access statistics for papers by Eric T. Swanson.
Last updated 2019-10-13. Update your information in the RePEc Author Service.
Short-id: psw16
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Working Papers
2019
- Implications of Labor Market Frictions for Risk Aversion and Risk Premia
NBER Working Papers, National Bureau of Economic Research, Inc 
Also in 2013 Meeting Papers, Society for Economic Dynamics (2013)
Working Paper Series, Federal Reserve Bank of San Francisco (2014)
2018
- 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 (4)
2017
- 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 (33)
Also in 2016 Meeting Papers, Society for Economic Dynamics (2016) View citations (11)
2015
- A Macroeconomic Model of Equities and Real, Nominal, and Defaultable Debt
2015 Meeting Papers, Society for Economic Dynamics View citations (13)
- Measuring the Effects of Unconventional Monetary Policy on Asset Prices
NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
See also Journal Article in Journal Economía Chilena (The Chilean Economy) (2016)
Chapter (2016)
2014
- 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 (140)
Also in Working Paper Series, Federal Reserve Bank of San Francisco (2012) View citations (8)
2012 Meeting Papers, Society for Economic Dynamics (2012) View citations (3)
See also Journal Article in American Economic Review (2014)
- Monetary Policy Effectiveness in China: Evidence from a FAVAR Model
NBER Working Papers, National Bureau of Economic Research, Inc View citations (47)
Also in Working Paper Series, Federal Reserve Bank of San Francisco (2014) View citations (47)
See also Journal Article in Journal of International Money and Finance (2014)
2013
- 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 (3)
See also Chapter (2013)
2012
- Risk aversion, risk premia, and the labor margin with generalized recursive preferences
Working Paper Series, Federal Reserve Bank of San Francisco View citations (10)
See also Journal Article in Review of Economic Dynamics (2018)
2011
- 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 (40)
Also in Working Paper Series, Federal Reserve Bank of San Francisco (2011) View citations (72)
See also Journal Article in Brookings Papers on Economic Activity (2011)
2010
- 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
- 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, Federal Reserve Bank of San Francisco (2007) View citations (11)
Working Paper Series, European Central Bank (2007) View citations (18)
See also Journal Article in The Review of Economics and Statistics (2011)
- 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
- Examining the bond premium puzzle with a DSGE model
Working Paper Series, Federal Reserve Bank of San Francisco View citations (83)
See also Journal Article in Journal of Monetary Economics (2008)
- Long-Run Inflation Risk and the Postwar Term Premium
2008 Meeting Papers, Society for Economic Dynamics View citations (1)
- The bond premium in a DSGE model with long-run real and nominal risks
Working Paper Series, Federal Reserve Bank of San Francisco View citations (8)
Also in Working Paper Research, National Bank of Belgium (2008) View citations (10)
See also Journal Article in American Economic Journal: Macroeconomics (2012)
2007
- Optimal Time-Consistent Monetary Policy in the New Keynesian Model with Repeated Simultaneous Play
2007 Meeting Papers, Society for Economic Dynamics
- Real wage cyclicality in the PSID
Working Paper Series, Federal Reserve Bank of San Francisco View citations (2)
2006
- 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 (32)
Also in Working Paper Series, Federal Reserve Bank of San Francisco (2006) View citations (74)
- 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)
- Higher-order perturbation solutions to dynamic, discrete-time rational expectations models
Working Paper Series, Federal Reserve Bank of San Francisco View citations (55)
- Inflation Targeting and the Anchoring of Inflation Expectations in The Western Hemisphere
Working Papers Central Bank of Chile, Central Bank of Chile View citations (15)
See also Chapter (2007)
Journal Article in Economic Review (2007)
- Macroeconomic implications of changes in the term premium
Working Paper Series, Federal Reserve Bank of San Francisco View citations (17)
See also Journal Article in Review (2007)
- Market-based measures of monetary policy expectations
Working Paper Series, Federal Reserve Bank of San Francisco View citations (32)
Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (US) (2002) View citations (51)
See also Journal Article in Journal of Business & Economic Statistics (2007)
- 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)
- 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
- 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 (429)
Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (US) (2004) View citations (53)
Macroeconomics, University Library of Munich, Germany (2005) View citations (442)
See also Journal Article in International Journal of Central Banking (2005)
- 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
- 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
- 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 (US) View citations (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)
- Optimal Monetary Policy in an Imperfect World
Computing in Economics and Finance 2004, Society for Computational Economics View citations (1)
- The magnitude and Cyclical Behavior of Financial Market Frictions
Computing in Economics and Finance 2004, Society for Computational Economics View citations (37)
2003
- 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 (51)
Also in Working Paper Series, European Central Bank (2002) View citations (9)
International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2002) View citations (6)
See also Journal Article in Journal of the European Economic Association (2003)
- 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 (US) View citations (67)
See also Journal Article in Proceedings (2003)
2002
- 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
- NAIRU uncertainty and nonlinear policy rules
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (US) View citations (37)
See also Journal Article in American Economic Review (2001)
2000
- On Signal Extraction and Non-Certainty-Equivalence in Optimal Monetary Policy Rules
Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (13)
Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (US) (2000) View citations (28)
See also Journal Article in Macroeconomic Dynamics (2004)
1999
- 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 (US)
- Models of sectoral reallocation
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (US) View citations (6)
Journal Articles
2018
- Risk Aversion, Risk Premia, and the Labor Margin with Generalized Recursive Preferences
Review of Economic Dynamics, 2018, 28, 290-321 View citations (2)
See also Software Item (2017)
Working Paper (2012)
2016
- Measuring the effects of unconventional monetary policy on asset prices
Journal Economía Chilena (The Chilean Economy), 2016, 19, (2), 78-100 View citations (3)
See also Working Paper (2015)
Chapter (2016)
2014
- 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 (139)
See also Working Paper (2014)
- Monetary policy effectiveness in China: Evidence from a FAVAR model
Journal of International Money and Finance, 2014, 49, (PA), 83-103 View citations (47)
See also Working Paper (2014)
2013
- The zero lower bound and longer-term yields
FRBSF Economic Letter, 2013, (sept30)
2012
- Risk Aversion and the Labor Margin in Dynamic Equilibrium Models
American Economic Review, 2012, 102, (4), 1663-91 View citations (52)
- Structural and cyclical economic factors
FRBSF Economic Letter, 2012, (jun11)
- 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 (186)
See also Working Paper (2008)
2011
- Convergence and Anchoring of Yield Curves in the Euro Area
The Review of Economics and Statistics, 2011, 93, (1), 350-364 View citations (53)
See also Working Paper (2009)
- 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 (111)
See also Working Paper (2011)
- Operation Twist and the effect of large-scale asset purchases
FRBSF Economic Letter, 2011, (apr25) View citations (2)
2010
- 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 (121)
- Financial market imperfections and macroeconomics: conference summary
FRBSF Economic Letter, 2010, (aug23)
2009
- Macroeconomic models for monetary policy: conference summary
FRBSF Economic Letter, 2009, (jul20)
2008
- Convergence of long-term bond yields in the euro area
FRBSF Economic Letter, 2008, (nov21) View citations (5)
- Examining the bond premium puzzle with a DSGE model
Journal of Monetary Economics, 2008, 55, (Supplement 1), S111-S126 View citations (96)
See also Working Paper (2008)
- Futures prices as risk-adjusted forecasts of monetary policy
Journal of Monetary Economics, 2008, 55, (4), 677-691 View citations (124)
Also in Proceedings, 2004, (Mar) (2004) View citations (29)
See also Working Paper (2006)
2007
- Inflation targeting and the anchoring of inflation expectations in the western hemisphere
Economic Review, 2007, 25-47 View citations (18)
Also in Journal Economía Chilena (The Chilean Economy), 2006, 9, (3), 19-52 (2006) View citations (18)
See also Working Paper (2006)
Chapter (2007)
- Macroeconomic implications of changes in the term premium
Review, 2007, (Jul), 241-270 View citations (70)
See also Working Paper (2006)
- Market-Based Measures of Monetary Policy Expectations
Journal of Business & Economic Statistics, 2007, 25, 201-212 View citations (120)
See also Working Paper (2006)
- REAL WAGE CYCLICALITY IN THE PANEL STUDY OF INCOME DYNAMICS
Scottish Journal of Political Economy, 2007, 54, (5), 617-647 View citations (12)
- What we do and don't know about the term premium
FRBSF Economic Letter, 2007, (jul20) View citations (9)
2006
- 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 (115)
- Optimal nonlinear policy: signal extraction with a non-normal prior
Journal of Economic Dynamics and Control, 2006, 30, (2), 185-203 View citations (5)
See also Working Paper (2005)
- 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)
- 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)
- Would an inflation target help anchor U.S. inflation expectations?
FRBSF Economic Letter, 2006, (aug11) View citations (3)
2005
- 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 (418)
See also Working Paper (2005)
- 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 (336)
2004
- Do Federal Reserve Policy Surprises Reveal Superior Information about the Economy?
The B.E. Journal of Macroeconomics, 2004, 4, (1), 1-31 View citations (53)
- Identifying VARS based on high frequency futures data
Journal of Monetary Economics, 2004, 51, (6), 1107-1131 View citations (130)
See also Working Paper (2002)
- 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 (7)
- SIGNAL EXTRACTION AND NON-CERTAINTY-EQUIVALENCE IN OPTIMAL MONETARY POLICY RULES
Macroeconomic Dynamics, 2004, 8, (01), 27-50 View citations (31)
Also in Proceedings, 2000 (2000) View citations (20)
See also Working Paper (2000)
2003
- 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 (53)
See also Working Paper (2003)
- 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
- NAIRU Uncertainty and Nonlinear Policy Rules
American Economic Review, 2001, 91, (2), 226-231 View citations (33)
See also Working Paper (2001)
Chapters
2016
- 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 (2)
See also Journal Article in Journal Economía Chilena (The Chilean Economy) (2016)
Working Paper (2015)
2013
- 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 (3)
See also Working Paper (2013)
2007
- 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 (12)
See also Journal Article in Economic Review (2007)
Working Paper (2006)
Software Items
2017
- 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)
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