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Jens Henrik Eggert Christensen
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Year
The affine arbitrage-free class of Nelson–Siegel term structure models
JHE Christensen, FX Diebold, GD Rudebusch
Journal of Econometrics 164 (1), 4-20, 2011
7572011
The response of interest rates to US and UK quantitative easing
JHE Christensen, GD Rudebusch
The Economic Journal 122 (564), F385-F414, 2012
5692012
Inflation expectations and risk premiums in an arbitrage‐free model of nominal and real bond yields
JHE Christensen, JA Lopez, GD Rudebusch
Journal of Money, Credit and Banking 42, 143-178, 2010
2862010
An arbitrage‐free generalized Nelson–Siegel term structure model
JHE Christensen, FX Diebold, GD Rudebusch
The Econometrics Journal 12 (3), C33-C64, 2009
2722009
Estimating shadow-rate term structure models with near-zero yields
JHE Christensen, GD Rudebusch
Journal of Financial Econometrics 13 (2), 226-259, 2015
2452015
Do central bank liquidity facilities affect interbank lending rates?
JHE Christensen, JA Lopez, GD Rudebusch
Journal of Business & Economic Statistics 32 (1), 136-151, 2014
2142014
Confidence sets for continuous-time rating transition probabilities
JHE Christensen, E Hansen, D Lando
Journal of Banking & Finance 28 (11), 2575-2602, 2004
2062004
Modeling yields at the zero lower bound: Are shadow rates the solution?
JHE Christensen, GD Rudebusch
Dynamic Factor Models 35, 75-125, 2016
1612016
Does quantitative easing affect market liquidity?
JHE Christensen, JM Gillan
Journal of Banking & Finance 134, 106349, 2022
1532022
Transmission of quantitative easing: The role of central bank reserves
JHE Christensen, S Krogstrup
The Economic Journal 129 (617), 249-272, 2019
1472019
A new normal for interest rates? Evidence from inflation-indexed debt
JHE Christensen, GD Rudebusch
Review of Economics and Statistics 101 (5), 933-949, 2019
1072019
A probability-based stress test of Federal Reserve assets and income
JHE Christensen, JA Lopez, GD Rudebusch
Journal of Monetary Economics 73, 26-43, 2015
922015
The TIPS liquidity premium
MM Andreasen, JHE Christensen, S Riddell
Review of Finance 25 (6), 1639-1675, 2021
862021
A portfolio model of quantitative easing
JHE Christensen, S Krogstrup
Peterson Institute for International Economics Working Paper, 2016
622016
Term structure analysis with big data: one-step estimation using bond prices
MM Andreasen, JHE Christensen, GD Rudebusch
Journal of Econometrics 212 (1), 26-46, 2019
502019
Extracting deflation probability forecasts from treasury yields
JHE Christensen, JA Lopez, GD Rudebusch
31st issue (November 2012) of the International Journal of Central Banking, 2018
502018
Inflation of polymer melts into elliptic and circular cylinders
HK Rasmussen, JH Christensen, S Gøttsche
Journal of non-newtonian fluid mechanics 93 (2-3), 245-263, 2000
452000
Could the US Treasury benefit from issuing more TIPS?
JHE Christensen, JM Gillan
Federal Reserve Bank of San Francisco, 2012
402012
Pricing deflation risk with US Treasury yields
JHE Christensen, JA Lopez, GD Rudebusch
Review of Finance 20 (3), 1107-1152, 2016
392016
A regime-switching model of the yield curve at the zero bound
JHE Christensen
Federal Reserve Bank of San Francisco, 2013
342013
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Articles 1–20