Jonathan H. Wright
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Event‐Day Options Open
This paper considers new options on Treasury futures than expire each Wednesday and Friday. I examine the variances implied by these options as of the night before expiration, and compare the variances just before FOMC days and employment …
View article: Nonlinear Phillips Curves
Nonlinear Phillips Curves Open
The slope of the Phillips curve flattened around the turn of the century. The slope, however, is also kinked (nonlinear) such that it is steeper in a tight labor market than in a more normal one. The magnitude of this kink means that the f…
Comment on “The long and variable lags of monetary policy: Evidence from disaggregated price indices” by S. Borağan Aruoba and Thomas Drechsel Open
The vast majority of the literature on the effects of monetary policy shocks has considered their impacts on aggregate variables, including aggregate prices. The paper by Borağan Aruoba and Thomas Drechsel studies the impacts of monetary p…
Introduction to the Research Handbook of Financial Markets Open
This introduction sets the background to the Handbook of Financial Markets; a volume of 22 chapters on the state of different financial markets. It gives a discussion of the historical background to financial markets and the linkages betwe…
View article: Breaks in the Phillips Curve: Evidence from Panel Data
Breaks in the Phillips Curve: Evidence from Panel Data Open
We revisit time-variation in the Phillips curve, applying new Bayesian panel methods with breakpoints to US and European Union disaggregate data. Our approach allows us to accurately estimate both the number and timing of breaks in the Phi…
Market Effects of Central Bank Credit Markets Support Programs in Europe Open
Using responses of credit default swap indexes to ECB monetary policy announcements, we isolate a novel credit policy component of monetary policy surprises. We examine how such unconventional monetary policy surprises affect investor perc…
Replication Data for: 'Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates' Open
The data and programs replicate tables and figures from "Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates", by Hanson, Lucca, and Wright. Please see the readme file for additional details.
Event-day Options Open
This paper considers new options on Treasury and stock futures than expire each Wednesday and Friday.I examine the volatilities implied by these options as of the night before expiration, and compare the volatilies just before FOMC days an…
Event-Day Options Open
This paper considers new options on Treasury and stock futures than expire each Wednesday and Friday. I examine the volatilities implied by these options as of the night before expiration, and compare the volatilies just before FOMC days a…
Effects of Zr-hydride distribution of irradiated Zircaloy-2 cladding in RIA-simulating pellet-clad mechanical interaction testing Open
A series of simulated reactivity-initiated accident (RIA) tests on irradiated fully recrystallized boiling water reactor Zircaloy-2 cladding has been performed by means of the expansion-due-to-compression (EDC) test method. The EDC method …
Interest rate conundrums in the twenty-first century Open
A large literature argues that long-term interest rates appear to react far more to high-frequency (for example, daily or monthly) movements in short-term interest rates than is predicted by the standard expectations hypothesis. We find th…
Forecasting With Model Uncertainty: Representations and Risk Reduction Open
We consider forecasting with uncertainty about the choice of predictor variables. The researcher wants to select a model, estimate the parameters, and use the parameter estimates for forecasting. We investigate the distributional propertie…
Jumps in Bond Yields at Known Times Open
We construct a no-arbitrage term structure model with jumps in the entire state vector at deterministic times but of random magnitudes. Jump risk premia are allowed for. We show that the model implies a closed-form representation of yields…
Unconventional Monetary Policy and International Risk Premia Open
We assess the relationship between monetary policy, foreign exchange risk premia and term premia at the zero lower bound. We estimate a structural VAR including U.S. and foreign interest rates and exchange rates, and identify monetary poli…
Jumps in Bond Yields at Known Times Open
We construct a no-arbitrage term structure model with jumps in the entire state vector at deterministic times but of random magnitudes. Jump risk premia are allowed for. We show that the model implies a closed-form representation of yields…