Eric T. Swanson Mt Rainier
Welcome Research Curriculum Vitae Perturbation AIM Personal

Research Papers by Topic

Macro-Finance Models

“A Macroeconomic Model of Equities and Real, Nominal, and Defaultable Debt.”
(abstract)(full paper)(presentation at NBER Summer Institute)(shorter presentation at Bank of Canada/FRB San Francisco conference, San Francisco)

“Implications of Labor Market Frictions for Risk Aversion and Risk Premia.”
(abstract)(full paper)(presentation at SITE conference, Stanford)(shorter presentation at SED meetings, Seoul)

“Risk Aversion, Risk Premia, and the Labor Margin with Generalized Recursive Preferences.”
(abstract)(full paper)(presentation at Birkbeck College, London)(shorter presentation at Macro-Finance Society Workshop, Ohio State)

“Risk Aversion and the Labor Margin in Dynamic Equilibium Models,” published in The American Economic Review 102, June 2012, pp. 1663-1691.
(abstract)(full paper)(longer working paper version)(presentation at UC Berkeley)(shorter presentation at SCE meetings, San Francisco)

“The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks” (with Glenn Rudebusch), published in American Economic Journal: Macroeconomics 4, January 2012, pp. 105-43.
(abstract)(full paper)(working paper version)(presentation at Bank of Italy)(shorter presentation at AEA Meetings, Atlanta)

“Examining the Bond Premium Puzzle with a DSGE Model,” (with Glenn Rudebusch), published in Journal of Monetary Economics 55, October 2008, pp. 111-126.
(abstract)(full paper)(presentation at WFA Meeting, Hawaii)(computer code)

“Macroeconomic Implications of Changes in the Term Premium,” (with Glenn Rudebusch and Brian Sack), published in Federal Reserve Bank of St. Louis Economic Review 89, July/August 2007, pp. 241-269.
(abstract)(full paper)(FRB St. Louis conference presentation)(shorter presentation at AEA Meetings, Chicago)(Econbrowser 11/13/06)(Dow Jones 10/19/06)

“The Bond Yield ‘Conundrum’ from a Macro-Finance Perspective,” (with Glenn Rudebusch and Tao Wu), published in Monetary and Economic Studies (Special Edition) 24, December 2006, pp. 83-109.
(abstract)(full paper)(presentation slides)(Econbrowser 12/20/06)

“Inflation Targeting and the Anchoring of Inflation Expectations in the Western Hemisphere,” (with Refet Gürkaynak, Andrew Levin, and Andrew Marder), published in Frederic Mishkin and Klaus Schmidt-Hebbel (eds.), Series on Central Banking, Analysis and Economic Policies X: Monetary Policy under Inflation Targeting (Santiago, Chile: Banco Central de Chile), 2007, pp. 415-465.
(abstract)(full paper)(Bloomberg 4/3/07)

“The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models” (with Refet Gürkaynak and Brian Sack), published in The American Economic Review 95, March 2005, pp. 425-436.
(abstract) (full paper)(Econbrowser 7/12/07)(Forbes 11/22/05)(Reuters 2/22/05)(Financial Times 11/20/03)


Empirical Macro-Finance

“Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets.”
(abstract)(full paper)(presentation at the Chicago Fed)(shorter presentation at Federal Reserve Board conference, Washington DC)

“Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates” (with John Williams), published in The American Economic Review 104, October 2014, pp. 3154-3185.
(abstract)(full paper)(summary in VoxEU)(presentation at UC Davis)(shorter presentation at AEA Meetings, San Diego)(Econbrowser 2/15/12)(Reuters 2/14/12)

“Measuring the Effect of the Zero Lower Bound on Yields and Exchange Rates in the U.K. and Germany,” (with John Williams), published in Journal of International Economics 92, April 2014, pp. S2-S21 (lead article).
(abstract)(full paper)(presentation at Bank of England)(shorter presentation at Hong Kong Monetary Authority conference)

“Let’s Twist Again: A High-Frequency Event-Study Analysis of Operation Twist and Its Implications for QE2,” published in Brookings Papers on Economic Activity, Spring 2011, pp. 151-188.
(abstract)(full paper)(presentation at Stanford University)(The Economist 4/2/11)(Economist.com 3/18/11)(New York Times 9/10/11)(Boston Globe 9/21/11)(Econbrowser 1/23/11)(Dow Jones 4/25/11)(CNBC 8/5/11)(Fox Business 8/10/11)(CNN 8/19/11)(Wall Street Journal 9/15/11)(WSJ Editorial 9/21/11)(NPR 9/21/11)(Econbrowser 9/23/11)(FT Editorial 10/02/11)

“The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models” (with Refet Gürkaynak and Brian Sack), published in The American Economic Review 95, March 2005, pp. 425-436.
(abstract) (full paper)(Econbrowser 7/12/07)(Forbes 11/22/05)(Reuters 2/22/05)(Financial Times 11/20/03)

“Do Actions Speak Louder Than Words?  The Response of Asset Prices to Monetary Policy Actions and Statements” (with Refet Gürkaynak and Brian Sack), published in International Journal of Central Banking 1, May 2005, pp. 55-93 (premier issue).
(abstract)(full paper)(data appendix)(Globe & Mail 5/20/05)(CNN 5/19/05)

“Futures Prices as Risk-Adjusted Forecasts of Monetary Policy” (with Monika Piazzesi), published in Journal of Monetary Economics 55, May 2008, pp. 677-691.
(abstract)(full paper)(New York Times 11/4/07)(Econbrowser 10/31/06)

“Market-Based Measures of Monetary Policy Expectations” (with Refet Gürkaynak and Brian Sack), published in Journal of Business and Economic Statistics 25, April 2007, pp. 201-212.
(abstract)(full paper)

“Does Inflation Targeting Anchor Long-Run Inflation Expectations?  Evidence from Long-Term Bond Yields in the U.S., U.K., and Sweden,” (with Refet Gürkaynak and Andrew Levin), published in Journal of the European Economic Association 8, December 2010, pp. 1208-1242.
(abstract)(full paper)(presentation slides)(Econbrowser 9/20/07)(Bloomberg 8/11/06)(Reuters 8/11/06)

“Inflation Targeting and the Anchoring of Inflation Expectations in the Western Hemisphere,” (with Refet Gürkaynak, Andrew Levin, and Andrew Marder), published in Frederic Mishkin and Klaus Schmidt-Hebbel (eds.), Series on Central Banking, Analysis and Economic Policies X: Monetary Policy under Inflation Targeting (Santiago, Chile: Banco Central de Chile), 2007, pp. 415-465.
(abstract)(full paper)(Bloomberg 4/3/07)

“Convergence and Anchoring of Yield Curves in the Euro Area,” (with Michael Ehrmann, Marcel Fratzscher, and Refet Gürkaynak), published in Review of Economics and Statistics 93, February 2011, pp. 350-364.
(abstract)(full paper)(Atlanta presentation)

“Macroeconomic Implications of Changes in the Term Premium,” (with Glenn Rudebusch and Brian Sack), published in Federal Reserve Bank of St. Louis Economic Review 89, July/August 2007, pp. 241-269.
(abstract)(full paper)(FRB St. Louis conference presentation)(shorter presentation at AEA Meetings, Chicago)(Econbrowser 11/13/06)(Dow Jones 10/19/06)

“The Bond Yield ‘Conundrum’ from a Macro-Finance Perspective,” (with Glenn Rudebusch and Tao Wu), published in Monetary and Economic Studies (Special Edition) 24, December 2006, pp. 83-109.
(abstract)(full paper)(presentation slides)(Econbrowser 12/20/06)

“Have Increases in Federal Reserve Transparency Improved Private Sector Interest Rate Forecasts?” published in Journal of Money, Credit, and Banking 38, April 2006, pp. 791-819.
(abstract)(full paper)

“Do Federal Reserve Policy Surprises Reveal Superior Information About the Economy?” (with Jon Faust and Jonathan Wright), published in Contributions to Macroeconomics 4, 2004, article 10, Berkeley Electronic Press.
(abstract)(full paper)(New York Times 8/18/02)

“Econometric Estimation when the ‘True’ Model Forecasts or Errors Are Observed,” working paper, 2006.
(abstract)(full paper)

“Operation Twist and the Effect of Large-Scale Asset Purchases,” published as Federal Reserve Bank of San Francisco Economic Letter 20011-13.
(nontechnical survey article)

“Convergence of Long-Term Bond Yields in the Euro Area,” published as Federal Reserve Bank of San Francisco Economic Letter 2008-37.
(nontechnical survey article)

“What We Do and Don't Know About the Term Premium,” published as Federal Reserve Bank of San Francisco Economic Letter 2007-21.
(nontechnical survey article)

“Would an Inflation Target Help Anchor U.S. Inflation Expectations?” published as Federal Reserve Bank of San Francisco Economic Letter 2006-20.
(nontechnical survey article)


Perturbation Methods

“Higher-Order Perturbation Solutions to Dynamic, Discrete-Time Rational Expectations Models” (with Gary Anderson and Andrew Levin), revision requested by Journal of Economic Dynamics and Control.
(abstract)(full paper)(Perturbation AIM code & examples)

“A Macroeconomic Model of Equities and Real, Nominal, and Defaultable Debt.”
(abstract)(full paper)(presentation at the NBER Summer Institute)

“The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks” (with Glenn Rudebusch), published in American Economic Journal: Macroeconomics 4, January 2012, pp. 105-43.
(abstract)(full paper)(working paper version)(Bank of Italy presentation)(shorter presentation at AEA Meetings, Atlanta)

“Examining the Bond Premium Puzzle with a DSGE Model,” (with Glenn Rudebusch), published in Journal of Monetary Economics 55, October 2008, pp. 111-126.
(abstract)(full paper)(WFA presentation, Hawaii)(computer code)

“Risk Aversion and the Labor Margin in Dynamic Equilibium Models,” published in The American Economic Review 102, June 2012, pp. 1663-1691.
(abstract)(full paper)(longer working paper version)(UC Berkeley presentation)(shorter presentation at SCE meetings, San Francisco)

“Risk Aversion, Risk Premia, and the Labor Margin with Generalized Recursive Preferences.”
(abstract)(full paper)(presentation at Macro-Finance Society Workshop, Ohio State)

“Implications of Labor Market Frictions for Risk Aversion and Risk Premia.”
(abstract)(full paper)(presentation at SITE conference, Stanford)(shorter presentation at SED meetings, Seoul)

“Macroeconomic Implications of Changes in the Term Premium,” (with Glenn Rudebusch and Brian Sack), published in Federal Reserve Bank of St. Louis Economic Review 89, July/August 2007, pp. 241-269.
(abstract)(full paper)(FRB St. Louis conference presentation)(shorter presentation at AEA Meetings, Chicago)(Econbrowser 11/13/06)(Dow Jones 10/19/06)


VARs, Dynamic Factor Models, and FAVARs

“Monetary Policy Effectiveness in China: Evidence from a FAVAR Model,” (with John Fernald and Mark Spiegel), published in Journal of International Money and Finance 49, December 2014, pp. 83-103.
(abstract)(full paper)

“Identifying VARs Based on High-Frequency Futures Data” (with Jon Faust and Jonathan Wright), published in Journal of Monetary Economics 51, September 2004, pp. 1107-1131.
(abstract)(full paper)

“Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High-Frequency Data” (with Jon Faust, John Rogers, and Jonathan Wright), published in Journal of the European Economic Association 1, September 2003, pp. 1031-1057.
(abstract)(full paper)

“Do Federal Reserve Policy Surprises Reveal Superior Information About the Economy?” (with Jon Faust and Jonathan Wright), published in Contributions to Macroeconomics 4, 2004, article 10, Berkeley Electronic Press.
(abstract)(full paper)(New York Times 8/18/02)


Optimal Monetary Policy

“Optimal Time-Consistent Monetary Policy in the New Keynesian Model with Repeated Simultaneous Play” (with Gauti Eggertsson), working paper, 2008.
(abstract)(full paper)(NBER Summer Institute presentation)(shorter presentation at SCE Meetings, Paris)

“Bayesian Optimal Policy in the Presence of Regime Change and Local Parameter Uncertainty,” working paper, 2006.
(abstract)(full paper)

“Signal Extraction and Non-Certainty-Equivalence in Optimal Monetary Policy Rules,” published in Macroeconomic Dynamics 8, January 2004, pp. 27-50.
(abstract)(full paper)

“Optimal Nonlinear Policy:  Signal Extraction with a Non-Normal Prior,” published in Journal of Economic Dynamics and Control 30, February 2006, pp. 185-203.
(abstract)(full paper)

“NAIRU Uncertainty and Nonlinear Policy Rules” (with Laurence Meyer and Volker Wieland), published in The American Economic Review 91, May 2001, pp. 226-231.
(abstract)(full paper)


Sectoral Shifts and Macroeconomic Fluctuations

“Measuring the Cyclicality of Real Wages: How Important is the Firm's Point of View?” published in Review of Economics and Statistics 86, February 2004, pp. 362-377.
(abstract)(full paper)

“The Relative Price and Relative Productivity Channels for Aggregate Fluctuations,” published in Contributions to Macroeconomics 6, 2006, article 10.
(abstract)(full paper)


Real Wage Cyclicality

“Measuring the Cyclicality of Real Wages: How Important is the Firm's Point of View?” published in Review of Economics and Statistics 86, February 2004, pp. 362-377.
(abstract)(full paper)

“Real Wage Cyclicality in the PSID,” published in Scottish Journal of Political Economy 54, November 2007, pp. 617-647 (special issue on wage cyclicality).
(abstract)(full paper)


Non-Economics Publications

“Out-of-Ecliptic Tests of the Inverse Correlation Between Solar Wind Speed and Coronal Expansion Factor” (with Neil Sheeley and Yi-Ming Wang), published in Journal of Geophysical Research 96, August 1, 1991, pp. 13,861-13,868.
(full paper)

“MPTP and MPTP Analogs Induced Cell Death in Cultured Rat Hepatocytes Involving the Formation of Pyridinium Metabolites” (with Yogendra Singh, Edward Sokolski, R. Krishnan Kutty, and Gopal Krishna), published in Toxicology and Applied Pharmacology 96, 1988, pp. 347-359.
(full paper)

Working Papers
Published Papers
Research Papers by Topic
Conference Discussions
Citations in Academic Journals
Citations in the Popular Press
Citations by Policymakers