Macroeconomic surprises involving employment and inflation—reflecting the Fed's attempts to achieve its dual mandate to promote full employment and price stability—increased in importance during the zero-lower-bound period. Also, market participants were more attentive to housing market...

Investors seek to hedge against interest rate risk by taking long or short positions on bonds ofdifferent maturities. We study changes in risk taking behavior in a low interest rateenvironment by estimating a market stochastic discount factor that is non-linear and thereforeconsistent with the...

Laubach and Williams (2003) employ a Kalman filter approach to jointly estimate the neutral real federal funds rate and trend output growth using an IS relationship and an output gap based inflation equation. They find a positive link between these two variables, but also much error surrounding...