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Discussion of "options-implied probability density functions for real interest rates"

Swanson, Eric T. - In: International journal of central banking : IJCB 12 (2016) 3, pp. 151-159

Persistent link: https://www.econbiz.de/10011577892

Identifying VARS based on high frequency futures data

Faust, Jon; Swanson, Eric T.; Wright, Jonathan H. - In: Journal of Monetary Economics 51 (2004) 6, pp. 1107-1131

Persistent link: https://www.econbiz.de/10005131744

Identifying the effects of monetary policy shocks on exchange rates using high frequency data

Faust, Jon; Rogers, John H.; Swanson, Eric T.; Wright, … - 2003

Persistent link: https://www.econbiz.de/10001756611

Identifying the effects of monetary policy shocks on exchange rates using high frequency data

Faust, Jon; Rogers, John H.; Swanson, Eric T.; Wright, … - 2002

Persistent link: https://www.econbiz.de/10001715318

Identifying VARs based on high frequency futures data

Faust, Jon; Swanson, Eric T.; Wright, Jonathan H. - 2002

Persistent link: https://www.econbiz.de/10001657391

Identifying the effects of monetary policy shocks on exchange rates using high frequency data

Faust, Jon; Rogers, John H.; Swanson, Eric T.; Wright, … - In: Journal of the European Economic Association 1 (2003) 5, pp. 1031-1057

Persistent link: https://www.econbiz.de/10001824463

Identifying VARS based on high frequency futures data

Faust, Jon; Swanson, Eric T.; Wright, Jonathan H. - In: Journal of monetary economics 51 (2004) 6, pp. 1107-1131

Persistent link: https://www.econbiz.de/10002222223

Do Federal Reserve policy surprises reveal superior information about economy?

Faust, Jon (contributor); Swanson, Eric T. (contributor); … - In: Contributions to macroeconomics 4 (2004) 1

Persistent link: https://www.econbiz.de/10002388587

Identifying Vars Based on High Frequency Futures Data

Faust, Jon; Swanson, Eric T.; Wright, Jonathan H. - 2003

Using the prices of federal funds futures contracts, we measure the impact of the surprise component of Federal Reserve policy decisions on the expected future trajectory of interest rates. We show how this information can be used to identify the effects of a monetary policy shock in a standard...

Persistent link: https://www.econbiz.de/10014118307

Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data

Faust, Jon; Rogers, John H.; Swanson, Eric T.; Wright, … - 2021

This paper proposes a new approach to identifying the effects of monetary policy shocks in an international vector autoregression. Using high-frequency data on the prices of Fed Funds futures contracts, we measure the impact of the surprise component of the FOMC-day Federal Reserve policy...

Persistent link: https://www.econbiz.de/10013320364