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An econometric model of the yield curve with macroeconomic jump effects

Piazzesi, Monika - 2001

Persistent link: https://www.econbiz.de/10001577653

Bond yields and the federal reserve

Piazzesi, Monika - In: Journal of political economy 113 (2005) 2, pp. 311-344

Persistent link: https://www.econbiz.de/10002798585

Should the monetary policy rule be different in a financial crisis?

Piazzesi, Monika - In: Journal of economic dynamics & control 49 (2014), pp. 18-20

Persistent link: https://www.econbiz.de/10010486617

The Fed and interest rates - a high frequency identification

Cochrane, John H.; Piazzesi, Monika - In: The American economic review 92 (2002) 2, pp. 90-95

Persistent link: https://www.econbiz.de/10001705717

The Fed and interest rates : a high-frequency identification

Cochrane, John H.; Piazzesi, Monika - 2002

Persistent link: https://www.econbiz.de/10001656759

The Fed and Interest Rates : A High-Frequency Identification

Cochrane, John H.; Piazzesi, Monika - 2021

We measure monetary policy shocks as changes in the Fed funds target rate that surprise bond markets in daily data. These shock series avoid the omitted variable, time-varying parameter, and orthogonalization problem of monthly VARs, and do not impose the expectations hypothesis. We find...

Persistent link: https://www.econbiz.de/10013245301