, Description & Acronyms Units Sources Real Gross Domestic Product (GDP) Billions US B.E.A. All Federal Reserve Banks: Total Assets (AST) Millions H.4.1 F.A.R.B. Consumer Price Index for All Urban Consumers (CPI) Index US B.E.A. Ten-year Treasury Term Premium (10Y TP) Rates Adrian, 2013.
, BAA) Rates Moody's Ten-Year Treasury Constant Maturity Rate (10Y) Rates H.15 S.I.R. Ten-year Expected Average Short-Term Rates (10Y exp. ST rates) Rates Adrian et al. (2013) 10-Year Breakeven Inflation Rate (10Y infl) Rates Federal Reserve St. Louis Households and Nonprofit Organizations, Net Worth (HH NW) Billions Z.1 F.A.U.S. Nonfinancial Corporate Business
, Fed Financial Stress Index (STL stress) Index Federal Reserve St. Louis CBOE Volatility Index: VIX (CBOE VIX) Index CBOE Market Statistics Initialisms: B.E.A. = Bureau of Economic Analysis, F.A.R.B. = Factors Affecting Reserve Balances
Pricing the term structure with linear regressions', Journal of Financial Economics, vol.110, issue.1, pp.110-138, 2013. ,
Unconventional monetary policy and the great recession: Estimating the macroeconomic effects of a spread compression at the zero lower bound, 2012. ,
Opening remarks: monetary policy since the onset of the crisis, Proceedings: Economic Policy Symposium Jackson Hole, pp.1-22, 2012. ,
The financial accelerator in a quantitative business cycle framework', Handbook of macroeconomics 1, pp.1341-1393, 1999. ,
Underidentified svar models: A framework for combining short and longrun restrictions with sign-restrictions', Norges Bank working paper, 2013. ,
The response of interest rates to us and uk quantitative easing, The Economic Journal, vol.122, issue.564, pp.385-414, 2012. ,
The central-bank balance sheet as an instrument of monetarypolicy', Journal of Monetary Economics, vol.58, issue.1, pp.54-79, 2011. ,
Bank leverage and monetary policy's risk-taking channel: evidence from the united states, Journal of Finance, vol.72, issue.2, pp.613-654, 2017. ,
The financial market effects of the federal reserve's large-scale asset purchases, international Journal of central Banking, vol.7, issue.1, pp.3-43, 2011. ,
The effectiveness of unconventional monetary policy at the zero lower bound: A cross-country analysis, Journal of Money, Credit and Banking, vol.46, issue.4, pp.615-642, 2014. ,
A model of unconventional monetary policy, Journal of monetary Economics, vol.58, issue.1, pp.17-34, 2011. ,
Bayesian model averaging: a tutorial, pp.382-401, 1999. ,
Quantitative easing and excess reserves, 2019. ,
URL : https://hal.archives-ouvertes.fr/halshs-02053237
Credit cycles, Journal of political economy, vol.105, issue.2, pp.211-248, 1997. ,
Large time-varying parameter vars, Journal of Econometrics, vol.177, issue.2, pp.185-198, 2013. ,
A new index of financial conditions, European Economic Review, vol.71, pp.101-116, 2014. ,
, The effects of quantitative easing on interest rates: channels and implications for policy, 2011.
Online prediction under model uncertainty via dynamic model averaging: Application to a cold rolling mill, Technometrics, vol.52, issue.1, pp.52-66, 2010. ,
Structural vector autoregressions: Theory of identification and algorithms for inference, The Review of Economic Studies, vol.77, issue.2, pp.665-696, 2010. ,
A preferred-habitat model of the term structure of interest rates, 2009. ,
What are the macroeconomic effects of asset purchases?, Journal of Monetary Economics, vol.79, pp.81-93, 2016. ,
Methods of policy accommodation at the interest-rate lower bound, 2012. ,