Back to search

Identifying VARS based on high frequency futures data

Data up to Jan 2025

Published2004
Citations246
References32

Total Citations Per Year

Abstract

References (32)

Macroeconomics and Reality

1980 • 12,249 citations

Time Series Analysis.

1995 • 11,935 citations

The Federal funds rate and the channels of monetary transmission

1992 • 2,837 citations

What are the effects of monetary policy on output? Results from an agnostic identification procedure

2005 • 2,156 citations

Output Fluctuations in the United States: What Has Changed Since the Early 1980's?

2000 • 2,026 citations

Monetary Policy Shocks: What Have We Learned and to What End?

1998 • 1,908 citations

Monetary policy surprises and interest rates: Evidence from the Fed funds futures market

2001 • 1,699 citations

Measuring Monetary Policy

1998 • 1,691 citations

Chapter 2 Monetary policy shocks: What have we learned and to what end?

1999 • 1,351 citations

The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds

1996 • 1,174 citations

What Does Monetary Policy Do?

1996 • 1,136 citations

GMM with Weak Identification

2000 • 806 citations

Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models

1997 • 573 citations

Sticky price and limited participation models of money: A comparison

1997 • 497 citations

The identification of monetary policy disturbances explaining the liquidity puzzle

1995 • 480 citations

The robustness of identified VAR conclusions about money

1998 • 439 citations

The Fed and Interest Rates—A High-Frequency Identification

2002 • 439 citations

Market-Based Measures of Monetary Policy Expectations

2007 • 358 citations

The Fed funds futures rate as a predictor of federal reserve policy

1996 • 289 citations

Inferring the rank of a matrix

1997 • 272 citations

New Techniques to Extract Market Expectations from Financial Instruments

1997 • 245 citations

Testing Long-Run Neutrality

1992 • 233 citations

Monetary Policy and Market Interest Rates

2001 • 210 citations

New techniques to extract market expectations from financial instruments

1997 • 201 citations

Comment on Glenn Rudebusch's "Do Measures of Monetary Policy in a Var Make Sense?"

1998 • 179 citations

The Cost Channel of Monetary Transmissions

2000 • 167 citations

Information from financial markets and VAR measures of monetary policy

1999 • 85 citations

Improving Federal-Funds Rate Forecasts in VAR Models Used for Policy Analysis

2001 • 62 citations

Effects of Monetary Policy

2001 • 50 citations

Do measures of monetary policy in a VAR make sense

1996 • 34 citations

Market-Based Measures of Monetary Policy Expectations

2002 • 17 citations

The Fed and Interest Rates: A High-Frequency Identification

2002 • 2 citations

Cited By (0)

Loading...