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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
Judging instrument relevance in instrumental variables estimation
Hall, Alastair R.; Wilcox, David W.; Rudebusch, Glenn D. (1994)
Finance and Economics Discussion Series , Paper 94-3

Working Paper
Examining alternative econometric specifications of the disequilibrium model: an empirical study with labor market data
Rudebusch, Glenn D. (1986)
Working Paper Series / Economic Activity Section , Paper 64

Journal Article
What caused the decline in long-term yields?
Rudebusch, Glenn D.; Bauer, Michael D. (2013)
Long-term U.S. government bond yields have trended down for more than two decades, but identifying the source of this decline is difficult. A new methodology suggests that reductions in long-run expectations of inflation and inflation-adjusted interest rates have played a significant role in the secular decline in yields. In contrast, standard statistical finance methods appear to overemphasize the effects of lower risk premiums and reduced uncertainty about future inflation.
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

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

Working Paper
Trends and random walks in macroeconomic time series: a re-examination
Rudebusch, Glenn D. (1990)
Finance and Economics Discussion Series , Paper 139

Working Paper
Modeling bond yields in finance and macroeconomics
Piazzesi, Monika; Diebold, Francis X.; Rudebusch, Glenn D. (2005)
From a macroeconomic perspective, the short-term interest rate is a policy instrument under the direct control of the central bank. From a finance perspective, long rates are risk-adjusted averages of expected future short rates. Thus, as illustrated by much recent research, a joint macro-finance modeling strategy will provide the most comprehensive understanding of the term structure of interest rates. We discuss various questions that arise in this research, and we also present a new examination of the relationship between two prominent dynamic, latent factor models in this literature: the ...
Working Paper Series , Paper 2005-04

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

Working Paper
Do measures of monetary policy in a VAR make sense?
Rudebusch, Glenn D. (1996)
No. In many VARs, monetary policy shocks are identified with the least squares residuals from a regression of the federal funds rate on an assortment of variables. Such regressions appear to be structurally fragile and are at odds with other evidence on the nature of the Fed's reaction function; furthermore, the residuals from these regressions have little correlation with funds rate shocks that are derived from forward-looking financial markets.
Working Papers in Applied Economic Theory , Paper 96-05

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