Jonathan H. Wright

Johns Hopkins University - Department of Economics

3400 Charles Street

Baltimore, MD 21218-2685

United States

SCHOLARLY PAPERS

55

DOWNLOADS
Rank 2,840

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Top 2,840

in Total Papers Downloads

16,540

SSRN CITATIONS
Rank 326

SSRN RANKINGS

Top 326

in Total Papers Citations

1,063

CROSSREF CITATIONS

1,612

Scholarly Papers (55)

1.

The Yield Curve and Predicting Recessions

Number of pages: 21 Posted: 03 May 2006
Jonathan H. Wright
Johns Hopkins University - Department of Economics
Downloads 2,293 (8,065)
Citation 46

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Interest rates, forecasting, GDP growth, term premiums, probit

2.

Preventing Deflation: Lessons from Japan's Experience in the 1990s

Number of pages: 64 Posted: 21 Jul 2003
National University of Ireland, Galway (NUIG) - Department of Economics, Peterson Institute, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Fudan University - Fanhai International School of Finance (FISF), Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 1,711 (12,917)
Citation 31

Abstract:

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Monetary policy, Taylor rule, fiscal policy

An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates

Number of pages: 27 Posted: 05 Oct 2005
Don H. Kim and Jonathan H. Wright
Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 1,044 (26,831)
Citation 170

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Forward rates, term-structure model, arbitrage-free pricing, term premiums

4.

The Information Content of Forward and Futures Prices: Market Expectations and the Price of Risk

Number of pages: 27 Posted: 02 Jul 2004
Sergey Chernenko, Krista Schwarz and Jonathan H. Wright
Purdue University - Department of Management, Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 901 (33,614)
Citation 27

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forward contracts, futures, forecast evaluation, risk premia, random walk

5.

Forecasting U.S. Inflation by Bayesian Model Averaging

Number of pages: 33 Posted: 22 Nov 2003
Jonathan H. Wright
Johns Hopkins University - Department of Economics
Downloads 805 (39,241)
Citation 23

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shrinkage, Phillips curve, model uncertainty, forecasting, inflation

6.

High Frequency Data, Frequency Domain Inference and Volatility Forecasting

IFDS Working Paper No. 649
Number of pages: 27 Posted: 10 Jul 2000
Tim Bollerslev and Jonathan H. Wright
Duke University - Finance and Johns Hopkins University - Department of Economics
Downloads 700 (47,380)
Citation 2

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Autoregression, spectrum, volatility forecasting,

7.

An Empirical Comparison of Bundesbank and ECB Monetary Policy Rules

Number of pages: 25 Posted: 22 Aug 2001
Jon Faust, John H. Rogers and Jonathan H. Wright
Board of Governors of the Federal Reserve System, Fudan University - Fanhai International School of Finance (FISF) and Johns Hopkins University - Department of Economics
Downloads 699 (47,499)
Citation 23

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Taylor Rule, monetary policy, European Central Bank, Bundesbank, inflation

8.

The High-Frequency Effects of U.S. Macroeconomic Data Releases on Prices and Trading Activity in the Global Interdealer Foreign Exchange Market

Number of pages: 42 Posted: 01 Dec 2004
Board of Governors of the Federal Reserve System, Purdue University - Department of Management, EBS Group Limited, EBS Group Limited, EBS and Johns Hopkins University - Department of Economics
Downloads 655 (51,750)
Citation 30

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Foreign exchange, trading volume, news announcements, high-frequency data, conditional mean, conditional volatility

9.

The U.S. Treasury Yield Curve: 1961 to the Present

Number of pages: 42 Posted: 25 Jul 2006
Refet S. Gürkaynak, Brian P. Sack and Jonathan H. Wright
Bilkent University - Department of Economics, Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and Johns Hopkins University - Department of Economics
Downloads 527 (68,212)
Citation 381

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Yield curve, forward rates, on-the-run premium, treasury market

10.

Long Memory in Emerging Market Stock Returns

Number of pages: 20 Posted: 17 Aug 2000
Jonathan H. Wright
Johns Hopkins University - Department of Economics
Downloads 509 (71,214)
Citation 3

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Long memory, stock returns, frequency domain, emerging markets

11.

Bayesian Model Averaging and Exchange Rate Forecasts

Number of pages: 32 Posted: 18 Nov 2003
Jonathan H. Wright
Johns Hopkins University - Department of Economics
Downloads 471 (78,235)
Citation 28

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shrinkage, model uncertainty, forecasting, exchange rates, bootstrap

12.

Bond Risk Premia and Realized Jump Risk

Journal of Banking and Finance, Forthcoming, FEDS Working Paper No. 2007-22, AFA 2009 San Francisco Meetings Paper
Number of pages: 33 Posted: 20 Mar 2008 Last Revised: 27 Jul 2009
Jonathan H. Wright and Hao Zhou
Johns Hopkins University - Department of Economics and SUSTech Business School
Downloads 466 (79,252)
Citation 2

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Unspanned Stochastic Volatility, Regime-Shift Term Structure, Bond Return Predictability, Expectations Hypothesis, Countercyclical Risk Premia, Realized Jump Risk

13.

Exchange Rate Forecasting: The Errors We've Really Made

Number of pages: 35 Posted: 04 Mar 2002
Jon Faust, John H. Rogers and Jonathan H. Wright
Board of Governors of the Federal Reserve System, Fudan University - Fanhai International School of Finance (FISF) and Johns Hopkins University - Department of Economics
Downloads 428 (87,653)
Citation 20

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monetary model, real time data, random walk

14.

The TIPS Yield Curve and Inflation Compensation

Number of pages: 42 Posted: 15 Jan 2009
Refet S. Gürkaynak, Brian P. Sack and Jonathan H. Wright
Bilkent University - Department of Economics, Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and Johns Hopkins University - Department of Economics
Downloads 388 (98,182)
Citation 72

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Yield curve, treasury market, inflation compensation, risk premia

15.

Trading Activity and Exchange Rates in High-Frequency EBS Data

Number of pages: 37 Posted: 27 Sep 2007
Alain Chaboud, Sergey Chernenko and Jonathan H. Wright
Board of Governors of the Federal Reserve System, Purdue University - Department of Management and Johns Hopkins University - Department of Economics
Downloads 340 (113,915)
Citation 5

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Trading volume, foreign exchange, high-frequency data, news announcements

16.

Uncovered Interest Parity: It Works, But Not for Long

Number of pages: 24 Posted: 24 Apr 2003
Alain Chaboud and Jonathan H. Wright
Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 339 (114,271)
Citation 17

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uncovered interest parity, high frequency data, exchange rates, risk premia

17.

The High-Frequency Response of Exchange Rates and Interest Rates to Macroeconomic Announcements

Number of pages: 47 Posted: 05 Dec 2003
Jon Faust, John H. Rogers, Shing-Yi Wang and Jonathan H. Wright
Board of Governors of the Federal Reserve System, Fudan University - Fanhai International School of Finance (FISF), Yale University - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 332 (116,971)
Citation 85

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data releases, exchange rates, uncovered interest parity, overshooting

18.

Forecasting Interest Rates with Shifting Endpoints

Journal of Applied Econometrics, 29, p693-712, Tinbergen Institute Discussion Paper 12-076/4
Number of pages: 78 Posted: 27 Jul 2012 Last Revised: 05 Aug 2014
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Vrije Universiteit Amsterdam - School of Business and Economics, Erasmus University Rotterdam and Johns Hopkins University - Department of Economics
Downloads 305 (128,039)
Citation 10

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Non-stationarity, survey forecasts, term structure of interest rates, forecasting, yield curve

19.

Forecasting Professional Forecasters

Number of pages: 47 Posted: 23 Feb 2006
Jonathan H. Wright and Eric Ghysels
Johns Hopkins University - Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 291 (134,591)
Citation 5

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Survey forecasts, mixed frequency data sampling, forecast evaluation, rational expectations, Kalman filter, Kalman smoother, news announcement

Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison

Number of pages: 72 Posted: 08 Apr 2014
John H. Rogers, Chiara Scotti and Jonathan H. Wright
Fudan University - Fanhai International School of Finance (FISF), Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 286 (136,367)
Citation 49

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Large scale asset purchases, quantitative easing, zero bound, term premium

21.

Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data

Number of pages: 35 Posted: 25 Apr 2005
U.S. Board of Governors of the Federal Reserve System - Division of International Finance, Board of Governors of the Federal Reserve System, Purdue University - Department of Management, EBS Group Limited, EBS Group Limited, EBS and Johns Hopkins University - Department of Economics
Downloads 282 (138,996)
Citation 33

Abstract:

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order flow, foreign exchange, high-frequency data, news announcements

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

Number of pages: 47 Posted: 17 Dec 2002
Jon Faust, John H. Rogers, Eric T. Swanson and Jonathan H. Wright
Board of Governors of the Federal Reserve System, Fudan University - Fanhai International School of Finance (FISF), University of California, Irvine - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 232 (168,384)

Abstract:

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High frequency data, identification, vector autoregression, exchange rates, monetary policy

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

Number of pages: 47 Posted: 27 Apr 2003 Last Revised: 25 Nov 2021
Jon Faust, John H. Rogers, Eric T. Swanson and Jonathan H. Wright
Board of Governors of the Federal Reserve System, Fudan University - Fanhai International School of Finance (FISF), University of California, Irvine - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 42 (532,379)
Citation 7

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23.

Unconventional Monetary Policy and International Risk Premia

Number of pages: 33 Posted: 01 Jul 2016 Last Revised: 21 Sep 2016
John H. Rogers, Chiara Scotti and Jonathan H. Wright
Fudan University - Fanhai International School of Finance (FISF), Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 213 (183,083)
Citation 27

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24.

Log-Periodogram Estimation of Long Memory Volatility Dependencies with Conditionally Heavy Tailed Returns

Number of pages: 32 Posted: 08 Nov 2000
Jonathan H. Wright
Johns Hopkins University - Department of Economics
Downloads 193 (200,403)
Citation 3

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Semiparametric Methods, Fractional Integration, Stochastic Volatility, Stock Returns, Heavy Tails.

25.
Downloads 183 (210,185)
Citation 33

Cracking the Conundrum

Number of pages: 37 Posted: 29 Nov 2007
David K. Backus and Jonathan H. Wright
NYU Stern School of Business (deceased) and Johns Hopkins University - Department of Economics
Downloads 98 (341,331)

Abstract:

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Yield curve, forward rates, volatility, term premium, affine models, monetary policy

Cracking the Conundrum

Number of pages: 36 Posted: 18 Sep 2007 Last Revised: 02 Sep 2021
David K. Backus and Jonathan H. Wright
NYU Stern School of Business (deceased) and Johns Hopkins University - Department of Economics
Downloads 51 (490,505)
Citation 1

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Cracking the Conundrum

NYU Working Paper No. 2451/26052
Number of pages: 35 Posted: 13 Oct 2008
David K. Backus and Jonathan H. Wright
NYU Stern School of Business (deceased) and Johns Hopkins University - Department of Economics
Downloads 34 (575,601)
Citation 2

Abstract:

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yield curve, forward rates, volatility, term premium, affine models, monetary policy

26.

News and Noise in G-7 GDP Announcements

Number of pages: 24 Posted: 05 Jan 2001
Jon Faust, John H. Rogers and Jonathan H. Wright
Board of Governors of the Federal Reserve System, Fudan University - Fanhai International School of Finance (FISF) and Johns Hopkins University - Department of Economics
Downloads 170 (223,837)
Citation 13

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Vintage Data, Preliminary Data, Final Data, Revision, GDP

27.

Detecting Lack of Identification in GMM

Number of pages: 34 Posted: 22 Nov 2000
Jonathan H. Wright
Johns Hopkins University - Department of Economics
Downloads 166 (228,411)
Citation 3

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Generalized Method of Moments, Identification, Asset Pricing, Instrumental Variables

28.

A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments

Journal of Business and Economic Statistics, Vol. 20, No. 4, 2002
Number of pages: 52 Posted: 09 Jan 2011
James H. Stock, Jonathan H. Wright and Motohiro Yogo
Harvard University - Department of Economics, Johns Hopkins University - Department of Economics and Princeton University - Department of Economics
Downloads 159 (236,894)
Citation 163

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Instrument relevance, Instrumental variables, Similar tests

29.

Identifying Vars Based on High Frequency Futures Data

Number of pages: 44 Posted: 27 Apr 2002
Jon Faust, Eric T. Swanson and Jonathan H. Wright
Board of Governors of the Federal Reserve System, University of California, Irvine - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 144 (256,892)
Citation 67

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partial identification, monetary policy, vector autoregressions

30.

Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates

Number of pages: 123 Posted: 31 Mar 2017
Samuel Gregory Hanson, David O. Lucca and Jonathan H. Wright
Harvard University - Business School (HBS), Federal Reserve Banks - Federal Reserve Bank of New York and Johns Hopkins University - Department of Economics
Downloads 138 (265,771)

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monetary policy transmission, conundrum, interest rates

31.

Exact Confidence Intervals for Impulse Responses in a Gaussian Vector Autoregression

Number of pages: 22 Posted: 22 Nov 2000
Jonathan H. Wright
Johns Hopkins University - Department of Economics
Downloads 103 (328,027)
Citation 1

Abstract:

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Confidence Intervals, Vector Autoregressions, Impulse Responses, Bootstrap

32.

Rounding and the Impact of News: A Simple Test of Market Rationality

Number of pages: 16 Posted: 21 Mar 2007
Meredith J. Beechey and Jonathan H. Wright
Monetary Policy Division, Sveriges Riksbank and Johns Hopkins University - Department of Economics
Downloads 101 (332,268)

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News Announcements, Rounding, Market Efficiency, Rational Inattention

Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach

Number of pages: 52 Posted: 08 Jan 2013
Jon Faust, Simon Gilchrist, Jonathan H. Wright and Egon Zakrajsek
Board of Governors of the Federal Reserve System, National Bureau of Economic Research (NBER), Johns Hopkins University - Department of Economics and Bank for International Settlements (BIS)
Downloads 62 (446,796)
Citation 9

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Forecasting, real-time data, Bayesian Model Averaging, credit spreads

Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach

Number of pages: 41 Posted: 31 Jan 2011 Last Revised: 13 Sep 2021
Jon Faust, Simon Gilchrist, Jonathan H. Wright and Egon Zakrajsek
Board of Governors of the Federal Reserve System, National Bureau of Economic Research (NBER), Johns Hopkins University - Department of Economics and Bank for International Settlements (BIS)
Downloads 35 (569,882)
Citation 13

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34.

Testing the Null of Identification in GMM

Number of pages: 43 Posted: 04 Oct 2002
Jonathan H. Wright
Johns Hopkins University - Department of Economics
Downloads 95 (345,626)

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Identification, Robust Confidence Sets, Weak Instruments, Generalized Method of Moments

35.

A Simple Approach to Robust Inference in a Cointegrating System

Number of pages: 25 Posted: 07 Dec 2000
Jonathan H. Wright
Johns Hopkins University - Department of Economics
Downloads 93 (350,313)

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Cointegration, Local to Unit Roots, Robustness, Instrumental Variables

Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises

Number of pages: 52 Posted: 31 Oct 2018
Bilkent University - Department of Economics, Bilkent University - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 66 (432,421)

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event study, bondmarkets, high-frequency data, identification

Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises

Number of pages: 43 Posted: 17 Sep 2018 Last Revised: 08 Nov 2021
Bilkent University - Department of Economics, Bilkent University - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 11 (746,702)

Abstract:

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Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises

Number of pages: 63 Posted: 17 Sep 2018 Last Revised: 04 Oct 2019
Bilkent University - Department of Economics, Bilkent University - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 0
Citation 4
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Bond Markets, event study, high-frequency data, identification

37.

The Economics of Options-Implied Inflation Probability Density Functions

Number of pages: 43 Posted: 29 Jun 2012 Last Revised: 24 Sep 2021
Yuriy Kitsul and Jonathan H. Wright
Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 76 (395,446)
Citation 2

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38.
Downloads 59 (444,173)

Jumps in Bond Yields at Known Times

Number of pages: 48 Posted: 09 Dec 2014
Don H. Kim and Jonathan H. Wright
Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 46 (513,064)

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Term structure models, bond yields, jumps, news announcements, bond risk premia

Jumps in Bond Yields at Known Times

Number of pages: 35 Posted: 01 Dec 2014 Last Revised: 05 Aug 2021
Don H. Kim and Jonathan H. Wright
Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 13 (729,553)

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39.

Predicting Sharp Depreciations in Industrial Country Exchange Rates

Number of pages: 33 Posted: 26 Feb 2007
Jonathan H. Wright and Joseph Gagnon
Johns Hopkins University - Department of Economics and Peterson Institute
Downloads 58 (455,172)
Citation 2

Abstract:

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current account, forecasting

40.

What Does Monetary Policy Do to Long-Term Interest Rates at the Zero Lower Bound?

Number of pages: 37 Posted: 20 Jun 2011 Last Revised: 15 Nov 2021
Jonathan H. Wright
Johns Hopkins University - Department of Economics
Downloads 54 (470,282)
Citation 32

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41.

Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling

Number of pages: 45 Posted: 02 Oct 2013 Last Revised: 14 Mar 2021
Serena Ng and Jonathan H. Wright
Columbia Business School - Economics Department and Johns Hopkins University - Department of Economics
Downloads 53 (474,183)
Citation 6

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42.

Efficient Prediction of Excess Returns

Number of pages: 50 Posted: 16 Jul 2008 Last Revised: 24 Sep 2021
Jon Faust and Jonathan H. Wright
Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 51 (482,301)

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43.

Evaluating Real-Time VAR Forecasts with an Informative Democratic Prior

Number of pages: 33 Posted: 10 Jun 2010
Jonathan H. Wright
Johns Hopkins University - Department of Economics
Downloads 44 (512,511)
Citation 15

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44.

Weather-Adjusting Employment Data

Number of pages: 26 Posted: 19 Aug 2015
Michael D. Boldin and Jonathan H. Wright
Wharton Research Data Services and Johns Hopkins University - Department of Economics
Downloads 41 (526,445)
Citation 5

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Weather, employment data, seasonal adjustment, MIDAS

45.

Asymptotics for GMM Estimators with Weak Instruments

Number of pages: 43 Posted: 16 Jul 2000 Last Revised: 19 Jul 2010
James H. Stock and Jonathan H. Wright
Harvard University - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 37 (546,301)

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46.

Comparing Greenbook and Reduced Form Forecasts Using a Large Realtime Dataset

Number of pages: 51 Posted: 14 Sep 2007 Last Revised: 11 Aug 2021
Jon Faust and Jonathan H. Wright
Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 30 (584,505)
Citation 19

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47.

The Federal Reserve's Current Framework for Monetary Policy: A Review and Assessment

Number of pages: 69 Posted: 26 Jun 2019 Last Revised: 24 Sep 2021
Janice Eberly, James H. Stock and Jonathan H. Wright
Northwestern University, Harvard University - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 23 (629,848)
Citation 6

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48.

Macroeconomics and the Term Structure

Number of pages: 68 Posted: 14 Nov 2010
Refet S. Gürkaynak and Jonathan H. Wright
Bilkent University - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 14 (695,232)
Citation 16
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affine models, expectations hypothesis, financial crisis, inflation, interest rates, segmented markets, Term structure

49.

Event-Day Options

Number of pages: 29 Posted: 04 Jan 2021 Last Revised: 18 Nov 2021
Jonathan H. Wright
Johns Hopkins University - Department of Economics
Downloads 6 (758,418)
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50.

Seasonal Adjustment of NIPA Data

Number of pages: 23 Posted: 22 Aug 2018 Last Revised: 11 Jul 2021
Jonathan H. Wright
Johns Hopkins University - Department of Economics
Downloads 5 (766,079)

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51.

Refining Set-Identification in VARs Through Independence

Number of pages: 47 Posted: 21 Sep 2021
Thorsten Drautzburg and Jonathan H. Wright
Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Johns Hopkins University - Department of Economics
Downloads 4 (773,744)

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vector-autoregression, sign restrictions, set-identification, weak identification, non-convex confidence set, independent shock

52.

Identification and Inference Using Event Studies

Number of pages: 31 Posted: 19 Mar 2013
Refet S. Gürkaynak and Jonathan H. Wright
Bilkent University - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 4 (773,744)
Citation 11
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Bond Markets, Event Study, High-Frequency Data, Identification, TAF

53.

Refining Set-Identification in VARs Through Independence

Number of pages: 47 Posted: 07 Oct 2021 Last Revised: 18 Nov 2021
Thorsten Drautzburg and Jonathan H. Wright
Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Johns Hopkins University - Department of Economics
Downloads 3 (781,696)
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54.

Forward-Looking Estimates of Interest-Rate Distributions

Annual Review of Financial Economics, Vol. 9, pp. 333-351, 2017
Posted: 03 Jan 2018
Jonathan H. Wright
Johns Hopkins University - Department of Economics

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55.

Identification and Inference Using Event Studies

The Manchester School, Vol. 81, pp. 48-65, 2013
Number of pages: 18 Posted: 14 Aug 2013
Refet S. Gürkaynak and Jonathan H. Wright
Bilkent University and Johns Hopkins University - Department of Economics
Downloads 0 (819,890)
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