Working Papers

Pricing the Term Structure with Linear Regressions
With Tobias Adrian
Federal Reserve Bank of New York Staff Reports, 340, August 2008

Dynamic Hierarchical Factor Models  
With Serena Ng and Simon Potter working paper
37 pages / 633 kb

Conditional Asset Pricing with a Large Information Set working paper

Term Structure Surprises: The Predictive Content of Curvature, Level, and Slope working paper

Work in Progress

Sectoral Price Data and Models of Price Setting
With Bartosz Mackowiak and Mirko Wiederholt

Emanuel Moench's CV

The views expressed in the papers listed on this page are those of the author(s) and do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System.