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Can We Use High-Frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!

https://doi.org/10.2139/ssrn.4471384
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/j.jeconom.2020.05.014openalex-snapshot
Inference in Structural Vector Autoregressions identified with an external instrument
inferredcites →https://doi.org/10.1016/j.jimonfin.2011.06.014openalex-snapshot
Monetary policy and the exchange rate: Evaluation of VAR models
inferredcites →https://doi.org/10.1016/j.jmoneco.2021.07.009openalex-snapshot
Monetary policy surprises and their transmission through term premia and expected interest rates
inferredcites →https://doi.org/10.1016/s0304-3932(01)00055-1openalex-snapshot
Monetary policy surprises and interest rates: Evidence from the Fed funds futures market
inferredcites →https://doi.org/10.1080/07350015.2012.693855openalex-snapshot
Correcting Estimation Bias in Dynamic Term Structure Models
inferredcites →https://doi.org/10.1093/acrefore/9780190625979.013.621openalex-snapshot
Shocks, Information, and Structural VARs
inferredcites →https://doi.org/10.1093/jjfinec/nbq019openalex-snapshot
Yield Curve and Volatility: Lessons from Eurodollar Futures and Options
inferredcites →https://doi.org/10.1093/qje/qjy004openalex-snapshot
High Frequency Identification of Monetary Non-Neutrality: The Information Effect
inferredcites →https://doi.org/10.1093/rfs/hhq128openalex-snapshot
A New Perspective on Gaussian Dynamic Term Structure Models
inferredcites →https://doi.org/10.1111/1475-4932.12039openalex-snapshot
Terms of Trade Shocks: What Are They and What Do They Do?
inferredcites →https://doi.org/10.1111/1475-4932.12539openalex-snapshot
A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting
inferredcites →https://doi.org/10.1111/1540-6261.00426openalex-snapshot
Term Premia and Interest Rate Forecasts in Affine Models
inferredcites →https://doi.org/10.1111/ecoj.12593openalex-snapshot
Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments
inferredcites →https://doi.org/10.1111/j.1467-842x.1988.tb00484.xopenalex-snapshot
BIAS IN THE ESTIMATION OF MULTIVARIATE AUTOREGRESSIONS
inferredcites →https://doi.org/10.1111/j.1475-4932.2008.00510.xopenalex-snapshot
A Bayesian Vector Autoregressive Model with Informative Steady‐state Priors for the Australian Economy*
inferredcites →https://doi.org/10.1257/0002828053828446openalex-snapshot
The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models
inferredcites →https://doi.org/10.1257/aer.103.4.1212openalex-snapshot
The Dynamic Effects of Personal and Corporate Income Tax Changes in the United States
inferredcites →https://doi.org/10.1257/aer.20162011openalex-snapshot
The Dynamic Effects of Personal and Corporate Income Tax Changes in the United States: Comment
inferredcites →https://doi.org/10.1257/mac.20130329openalex-snapshot
Monetary Policy Surprises, Credit Costs, and Economic Activity
inferredcites →https://doi.org/10.1257/mac.20170294openalex-snapshot
Monetary Policy, Real Activity, and Credit Spreads: Evidence from Bayesian Proxy SVARs
inferredcites →https://doi.org/10.1257/mac.20180090openalex-snapshot
Deconstructing Monetary Policy Surprises: The Role of Information Shocks
inferredcites →https://doi.org/10.17016/feds.2004.66openalex-snapshot
Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements
inferredcites →https://doi.org/10.17016/feds.2005.48openalex-snapshot
Term Structure Estimation with Survey Data on Interest Rate Forecasts
inferredcites →https://doi.org/10.2139/ssrn.2534455openalex-snapshot
Evaluating the Robustness of UK Term Structure Decompositions Using Linear Regression Methods
inferredcites →https://doi.org/10.2139/ssrn.3882309openalex-snapshot
Revisiting the macroeconomic effects of monetary policy shocks
inferredcites →https://doi.org/10.2139/ssrn.4130487openalex-snapshot
Monetary Policy Transmission During QE Times: Role of Expectations and Term Premia Channels
inferredcites →https://doi.org/10.2307/2171753openalex-snapshot
Instrumental Variables Regression with Weak Instruments
inferredcites →https://doi.org/10.3386/w29939openalex-snapshot
A Reassessment of Monetary Policy Surprises and High-Frequency Identification
inferredcites →https://doi.org/10.3386/w29971openalex-snapshot
The Narrow Channel of Quantitative Easing: Evidence from YCC Down Under
inferredcites →https://doi.org/10.3386/w9866openalex-snapshot
A New Measure of Monetary Shocks: Derivation and Implications
inferredcites →https://doi.org/10.47688/rdp2022-09openalex-snapshot
Estimating the Effects of Monetary Policy in Australia Using Sign-restricted Structural Vector Autoregressions

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Do Monetary Policy and Economic Conditions Impact Innovation? Evidence from Australian Administrative Data
inferred← citeshttps://doi.org/10.2139/ssrn.5124393openalex-snapshot
Do Monetary Policy and Economic Conditions Impact Innovation? Evidence from Australian Administrative Data
inferred← citeshttps://doi.org/10.2139/ssrn.6742863openalex-snapshot
Policy-Induced Phase Locking and the Dual Breach Principle: A Multi-Dimensional Framework for Synchronized Crisis Risk in Advanced Economies, with Application to Australia 2026-2036
inferred← citeshttps://doi.org/10.2139/ssrn.6857104openalex-snapshot
Term Premia in China Sovereign Bonds
inferred← citeshttps://doi.org/10.47688/rdp2023-09openalex-snapshot
Does Monetary Policy Affect Non-mining Business Investment in Australia? Evidence from BLADE
inferred← citeshttps://doi.org/10.47688/rdp2024-01openalex-snapshot
Do Monetary Policy and Economic Conditions Impact Innovation? Evidence from Australian Administrative Data
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