Search Results
Working Paper
Mildly Explosive Dynamics in U.S. Fixed Income Markets
We use a recently developed right-tail variation of the Augmented Dickey-Fuller unit root test to identify and date-stamp periods of mildly explosive behavior in the weekly time series of seven U.S. fixed income yield spreads between September 2002 and January 2015. We find statistically significant evidence of such behavior in six of these spreads. Mild explosivity migrates from short-term funding markets to more volatile medium- and long-term markets during the Great Financial Crisis. For some markets, we statistically validate the conjecture, originally suggested by Gorton (2009a,b), that ...
Journal Article
The effects of large-scale asset purchases on TIPS inflation expectations
Large-scale asset purchases may have limited power to raise TIPS-implied inflation expectations?something that might appeal to policymakers fighting deflation.
Journal Article
Is the financial crisis over? a yield spread perspective
Our finding is consistent with some recent, substantial volatility in the U.S. corporate bond market and leaves open a possibility that additional, future shocks to default premia may have long-lived effects.
Journal Article
Taming the long-term spreads
Given the size of the underlying markets, cutting the cost of capital to firms and households by reducing the yields required on long-term corporate bonds and mortgages is a key policy objective.
Journal Article
The dollar U-turn
Journal Article
Is the bond market irrational?
Journal Article
No volatility, no forecasting power for the term spread
Journal Article
Bubbling (or just frothy) house prices?
Journal Article
Cross-country personal saving rates
Journal Article
Subjective probabilities: psychological theories and economic applications
Abbigail J. Chiodo, Massimo Guidolin, Michael T. Owyang, and Makoto Shimoji> Real-life decisionmakers are often forced to estimate the likelihood of uncertain future events. Usually, economists assume that these agents behave in a fully rational manner, employing statistical rules to assess probabilities, and that they maximize expected utility. Psychological studies, however, have shown that people do not tend to behave as rational models would predict. The authors review three rules of thumb taken from the psychology literature that people rely on when assessing the likelihood of uncertain ...