Publications

Dynamic Hierarchical Factor Models
With Serena Ng and Simon Potter
Review of Economics and Statistics, Forthcoming
See also ››
Federal Reserve Bank of New York Staff Reports 412 , Revised July 2011
Data Appendix

Pricing the Term Structure with Linear Regressions
With Tobias Adrian and Richard K. Crump
Journal of Financial Economics, Forthcoming
See also >>
Federal Reserve Bank of New York Staff Reports, Revised May 2012

The Persistent Effects of a False News Shock
With Carlos Carvalho and Nick Klagge
Journal of Empirical Finance, Vol. 18 No.4, September 2011 
See also >>
Federal Reserve Bank of New York Staff Reports, 374, Revised January 2011

Term Structure Surprises: The Predictive Content of Curvature, Level, and Slope 
Journal of Applied Econometrics, Vol. 27 No.4, June/July 2012

Macro Risk Premium and Intermediary Balance Sheet Quantities 
With Tobias Adrian and Hyun Song Shin
IMF Economic Review, Vol. 58, July 2010

A Hierarchical Factor Analysis of US Housing MarketDynamics  
With Serena Ng
Econometrics Journal, Vol. 14, February 2011
40 pages / 330 kb

Why Is the Market Share of Adjustable-Rate Mortgages So Low?
With James Vickery and Diego Aragon
Federal Reserve Bank of New York Current Issues in Economics and Finance, Volume 16, Number 8, December 2010

Sectoral Price Data and Models of Price Setting  
With Bartosz Mackowiak and Mirko Wiederholt
Journal of Monetary Economics, Vol. 56, October 2009

Forecasting the Yield Curve in a Data-Rich Environment: A No-Arbitrage Factor-Augmented VAR Approach 
Journal of Econometrics, Vol. 146 No. 1, September 2008

Towards a Monthly Business Cycle Chronology for the Euro Area
With Harald Uhlig
Journal of Business Cycle Measurement and Analysis, 2(1), May 2005, 340

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.