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Journal Article
Macroeconomic implications of changes in the term premium
Sack, Brian P.; Swanson, Eric T.; Rudebusch, Glenn D. (2007-07)
Linearized New Keynesian models and empirical no-arbitrage macro-finance models offer little insight regarding the implications of changes in bond term premiums for economic activity. This paper investigates these implications using both a structural model and a reduced-form framework. The authors show that there is no structural relationship running from the term premium to economic activity, but a reduced-form empirical analysis does suggest that a decline in the term premium has typically been associated with stimulus to real economic activity, which contradicts earlier results in the ...
Review , Volume 89 , Issue Jul , Pages 241-270

Journal Article
Climate Change and the Federal Reserve
Rudebusch, Glenn D. (2019)
Climate change describes the current trend toward higher average global temperatures and accompanying environmental shifts such as rising sea levels and more severe storms, floods, droughts, and heat waves. In coming decades, climate change?and efforts to limit that change and adapt to it?will have increasingly important effects on the U.S. economy. These effects and their associated risks are relevant considerations for the Federal Reserve in fulfilling its mandate for macroeconomic and financial stability.
FRBSF Economic Letter

Working Paper
Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?
Christensen, Jens H. E.; Rudebusch, Glenn D. (2013-12-17)
Recent U.S. Treasury yields have been constrained to some extent by the zero lower bound (ZLB) on nominal interest rates. In modeling these yields, we compare the performance of a standard affine Gaussian dynamic term structure model (DTSM), which ignores the ZLB, and a shadow-rate DTSM, which respects the ZLB. We find that the standard affine model is likely to exhibit declines in fit and forecast performance with very low interest rates. In contrast, the shadow-rate model mitigates ZLB problems significantly and we document superior performance for this model class in the most recent period.
Working Paper Series , Paper 2013-39

Journal Article
The Fed's exit strategy for monetary policy
Rudebusch, Glenn D. (2010)
As the financial crisis has receded, the Federal Reserve has scaled back its extraordinary provision of liquidity. Eventually, the Fed will remove all remaining monetary stimulus by raising the federal funds rate and shrinking its balance sheet. The timing of such renormalizations depends crucially on evolving economic conditions.
FRBSF Economic Letter

Journal Article
Shorter recessions and longer expansions
Diebold, Francis X.; Rudebusch, Glenn D. (1991-11)
Business Review , Issue Nov , Pages 13-20

Journal Article
New estimates of the recent growth in potential output
Rudebusch, Glenn D. (1995)
FRBSF Economic Letter

Journal Article
The Fed's monetary policy response to the current crisis
Rudebusch, Glenn D. (2009)
The Federal Reserve is employing all available tools to promote economic recovery and price stability by lowering borrowing costs and boosting credit availability. In particular, after lowering the federal funds rate to essentially zero, the Fed has turned to unconventional policy tools to help accomplish its goals.
FRBSF Economic Letter

Journal Article
Asset prices, exchange rates, and monetary policy
Rudebusch, Glenn D. (2001)
This Economic Letter summarizes the papers presented at the conference "Asset Prices, Exchange Rates, and Monetary Policy" held at Stanford University on March 2-3, 2001, under the joint sponsorship of the Federal Reserve Bank of San Francisco and the Stanford Institute for Economic Policy Research
FRBSF Economic Letter

Journal Article
U.S. inflation targeting: pro and con
Walsh, Carl E.; Rudebusch, Glenn D. (1998)
FRBSF Economic Letter

Working Paper
The signaling channel for Federal Reserve bond purchases
Bauer, Michael D.; Rudebusch, Glenn D. (2011)
Previous research has emphasized the portfolio balance effects of Federal Reserve bond purchases, in which a reduced bond supply lowers term premia. In contrast, we find that such purchases have important signaling effects that lower expected future short term interest rates. Our evidence comes from dynamic term structure models that decompose declines in yields following Fed announcements into changes in risk premia and expected short rates. To overcome problems in measuring term premia, we consider unbiased model estimation and restricted risk price estimation. We also characterize the ...
Working Paper Series , Paper 2011-21

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