Board of Governors of the Federal Reserve System

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• The Fed - Evidence Uncovered: Long-Term Interest Rates, Monetary Policy, and the Expectations Theory

  bond markets in the determination of long and short interest rates. Using

  URL: https://www.federalreserve.gov/econres/ifdp/evidence-uncovered-long-term-interest-rates-monetary-policy-and-the-expectations-theory.htm
  



• The Fed - Net Foreign Assets and Imperfect Pass-through: The Consumption Real Exchange Rate Anomaly

  bond holdings that allows us to incorporate the dynamics of NFA into the

  URL: https://www.federalreserve.gov/econres/ifdp/net-foreign-assets-and-imperfect-pass-through-the-consumption-real-exchange-rate-anomaly.htm
  



• The Fed - Equilibrium Yield Curves with Imperfect Information

  bond yields and term premia using a novel equilibrium term structure model

  URL: https://www.federalreserve.gov/econres/feds/equilibrium-yield-curves-with-imperfect-information.htm
  



• The Fed - Are Long-Run Inflation Expectations Anchored More Firmly in the Euro Area than in the United States?

  bond spreads--which gauge compensation for expected inflation and inflation

  URL: https://www.federalreserve.gov/econres/feds/are-long-run-inflation-expectations-anchored-more-firmly-in-the-euro-area-than-in-the-united-states.htm
  



• The Fed - Jump-Diffusion Processes and Affine Term Structure Models: Additional Closed-Form Approximate Solutions, Distributional Assumptions for Jumps, and Parameter Estimates

  bond prices implied by jump-diffusion processes, one must find a numerical

  URL: https://www.federalreserve.gov/econres/feds/jump-diffusion-processes-and-affine-term-structure-models-additional-closed-form-approximate-solutions-distributional-assum.htm
  



• The Fed - The Timing of Debt Issuance and Rating Migrations: Theory and Evidence

  bond issuance and Moody's ratings, and controlling for firm and issue-specific

  URL: https://www.federalreserve.gov/econres/feds/the-timing-of-debt-issuance-and-rating-migrations-theory-and-evidence.htm
  



• The Fed - The Fragility of Discretionary Liquidity Provision--Lessons from the Collapse of the Auction Rate Securities Market

  bond pricing PDF: Full Paper Disclaimer: The economic research that is

  URL: https://www.federalreserve.gov/econres/feds/the-fragility-of-discretionary-liquidity-provision-lessons-from-the-collapse-of-the-auction-rate-securities-market.htm
  



• The Fed - Implied Interest Rate Skew, Term Premiums, and the "Conundrum"

  bond yields over expected short rates. Indeed, evidence suggests that

  URL: https://www.federalreserve.gov/econres/feds/implied-interest-rate-skew-term-premiums-and-the-quotconundrumquot.htm
  



• FRB: Beige Book - New York

  buying frenzy." Similarly, a major Manhattan realtor describes the market

  URL: https://www.federalreserve.gov/fomc/beigebook/1999/19990811/2.htm
  



• The Fed - Statement by Governor Brainard, May 6, 2021

  bond markets are also seeing elevated risk appetite, and the spreads of

  URL: https://www.federalreserve.gov/publications/brainard-statement-20210506.htm
  

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