Glenn Rudebusch

Federal Reserve Bank of San Francisco
Economic Research, MS 1130
101 Market Street
San Francisco, CA 94105-9967
Tel: 415-974-3173

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: Federal Reserve Bank of San Francisco

NBER Working Papers and Publications

November 2008An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
with Jens H.E. Christensen, Francis X. Diebold: w14463

Published: Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2009. "An arbitrage-free generalized Nelson--Siegel term structure model," Econometrics Journal, Royal Economic Society, vol. 12(3), pages C33-C64, November. citation courtesy of

September 2008Revealing the Secrets of the Temple: The Value of Publishing Central Bank Interest Rate Projections
with John C. Williams
in Asset Prices and Monetary Policy, John Y. Campbell, editor
November 2007The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models
with Jens H. E. Christensen, Francis X. Diebold: w13611

Published: Christensen, Jens H.E. & Diebold, Francis X. & Rudebusch, Glenn D., 2011. "The affine arbitrage-free class of Nelson-Siegel term structure models," Journal of Econometrics, Elsevier, vol. 164(1), pages 4-20, September. citation courtesy of

October 2006Revealing the Secrets of the Temple: The Value of Publishing Central Bank Interest Rate Projections
with John C. Williams: w12638
January 2005Modeling Bond Yields in Finance and Macroeconomics
with Francis X. Diebold, Monika Piazzesi: w11089

Published: Diebold, Francis X., Monika Piazzesi and Glenn D. Rudebusch. "Modeling Bonds Yields In Finance And Macroeconomics," American Economic Review, 2005, v95(2,May), 415-420. citation courtesy of

July 2004The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach
with Francis X. Diebold, S. Boragan Aruoba: w10616

Published: Diebold, Francis S., Glenn D. Rudebusch and S. Borag'an Aruoba. "The Macroeconomy And The Yield Curve: A Dynamic Latent Factor Approach," Journal of Econometrics, 2006, v131(1-2,Mar-Apr), 309-338. citation courtesy of

June 1999Eurosystem Monetary Targeting: Lessons from U.S. Data
with Lars E.O. Svensson: w7179

Published: Rudebusch, Glenn D. and Lars E. O. Svensson. "Eurosystem Monetary Targeting: Lessons From U.S. Data," European Economic Review, 2002, v46(3,Mar), 417-442. citation courtesy of

January 1999Policy Rules for Inflation Targeting
with Lars E.O. Svensson
in Monetary Policy Rules, John B. Taylor, editor
April 1998Policy Rules for Inflation Targeting
with Lars E. O. Svensson: w6512


  • Glenn D. Rudebusch & Lars E. O. Svensson, 1998. "Policy rules for inflation targeting," Proceedings, Federal Reserve Bank of San Francisco, issue Mar. citation courtesy of
  • Monetary Policy Rules, Taylor, John B., ed., Chicago: University of Chicago Press, 1999.

February 1994Measuring Business Cycles: A Modern Perspective
with Francis X. Diebold: w4643

Published: Review of Economics and Statistics, vol., LXXVIII, no. 1, February 1996, pp . 67-77 citation courtesy of

January 1993Further Evidence on Business-Cycle Duration Dependence
with Francis X. Diebold, Daniel Sichel
in Business Cycles, Indicators, and Forecasting, James H. Stock and Mark W. Watson, editors
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