Michael D Bauer

Biographic Data

ID3605766
NAMEMichael D Bauer
GIVEN NAMESMichael D
FAMILY NAMEBauer
SIGNATUREBAUER M D
AFFILIATIONSFederal Reserve Bank of San Francisco
ORCID0000-0002-2711-816X
VERIFIEDYes
TOTAL WORKS8
TOTAL CITATIONS3
AUTHOR COUNT8
EDITOR COUNT0
FIRST PUBLICATION YEAR2012
LATEST PUBLICATION YEAR2024
H-INDEX1

  • Titelseiten

    Open AccessCarl Becker, Stefan Heidemann et al.ARTICLEDer Islam2024

  • Titelseiten

    Open AccessCarl Becker, Stefan Heidemann et al.ARTICLEDer Islam2023

  • Titelseiten

    Open AccessCarl Becker, Stefan Heidemann et al.ARTICLEDer Islam2023

  • The Rising Cost of Climate Change

    Michael D Bauer, Glenn D RudebuschARTICLEThe Review of Economics and…2023

    Social discount rates (SDRs) are crucial for evaluating the costs of climate change. We show that the fundamental anchor for market-based SDRs is the equilibrium or steady-state real interest rate. Empirical interest rate models that allow for shifts in this equilibrium real rate find that it has declined notably since the 1990s, and this decline implies that the entire term structure of SDRs has shifted lower as well. Accounting for this new nor…

  • Risk Appetite and the Risk-Taking Channel of Monetary Policy

    Open AccessMichael D Bauer, Ben S Bernanke et al.ARTICLEThe Journal of Economic…2023Cited by: 1References: 5

    Monetary policy affects financial markets and the broader economy in part by changing the risk appetite of investors. This article provides new evidence for this so-called risk-taking channel of monetary policy by revisiting and extending event-study analysis of Federal Open Market Committee announcements. We document significant effects of unexpected monetary policy changes on risk indicators drawn from equity, fixed-income, credit, and foreign …

  • Market-Based Monetary Policy Uncertainty

    Open AccessMichael D Bauer, Aeimit Lakdawala et al.ARTICLEThe Economic Journal2021Cited by: 2

    Uncertainty about future policy rates plays a crucial role for the transmission of monetary policy to financial markets. We demonstrate this using event studies of FOMC announcements and a new model-free uncertainty measure based on derivatives. Over the ‘FOMC uncertainty cycle’ announcements systematically resolve uncertainty, which then gradually ramps up again. Changes in monetary policy uncertainty around FOMC announcements—often due to forwa…

  • Restrictions on Risk Prices in Dynamic Term Structure Models

    Michael D BauerARTICLEJournal of Business and Economic…2018

    Restrictions on the risk-pricing in dynamic term structure models (DTSMs) tighten the link between cross-sectional and time-series variation of interest rates, and make absence of arbitrage useful for inference about expectations. This article presents a new econometric framework for estimation of affine Gaussian DTSMs under restrictions on risk prices, which addresses the issues of a large model space and of model uncertainty using a Bayesian ap…

  • Correcting Estimation Bias in Dynamic Term Structure Models

    Michael D Bauer, Glenn D Rudebusch et al.ARTICLEJournal of Business and Economic…2012

    The affine dynamic term structure model (DTSM) is the canonical empirical finance representation of the yield curve. However, the possibility that DTSM estimates may be distorted by small-sample bias has been largely ignored. We show that conventional estimates of DTSMcoefficients are indeed severely biased, andthis bias results in misleading estimates of expected future short-term interest rates and of long-maturity term premia. We provide a var…