Jens Henrik Eggert Christensen

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Identifer

Contact

Affiliations

• Federal Reserve Bank of San Francisco / Economic Research
  • EDIRC entry
  • location:

Research profile

author of:

• The Response of Interest Rates to US and UK Quantitative Easing
  Economic Journal, Royal Economic Society (2012)
  by Jens H. E. Christensen & Glenn D. Rudebusch
  (ReDIF-article, ecj:econjl:v:122:y:2012:i:564:p:f385-f414)
• An arbitrage-free generalized Nelson--Siegel term structure model
  Econometrics Journal, Royal Economic Society (2009)
  by Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch
  (ReDIF-article, ect:emjrnl:v:12:y:2009:i:3:p:c33-c64)
• The affine arbitrage-free class of Nelson-Siegel term structure models
  Journal of Econometrics, Elsevier (2011)
  by Christensen, Jens H.E. & Diebold, Francis X. & Rudebusch, Glenn D.
  (ReDIF-article, eee:econom:v:164:y:2011:i:1:p:4-20)
• Confidence sets for continuous-time rating transition probabilities
  Journal of Banking & Finance, Elsevier (2004)
  by Christensen, Jens H.E. & Hansen, Ernst & Lando, David
  (ReDIF-article, eee:jbfina:v:28:y:2004:i:11:p:2575-2602)
• When will the Fed end its zero rate policy?
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2014)
  by Jens H. E. Christensen
  (ReDIF-article, fip:fedfel:00006)
• Stress testing the Fed
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2014)
  by Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch
  (ReDIF-article, fip:fedfel:00010)
• Financial market outlook for inflation
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2014)
  by Michael D. Bauer & Jens H. E. Christensen
  (ReDIF-article, fip:fedfel:00016)
• Assessing expectations of monetary policy
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2014)
  by Jens H. E. Christensen & Simon H. Kwan
  (ReDIF-article, fip:fedfel:00028)
• Transmission of asset purchases: the role of reserves
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2015)
  by Jens H. E. Christensen & Signe Krogstrup
  (ReDIF-article, fip:fedfel:00060)
• Assessing supervisory scenarios for interest rate risk
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2015)
  by Jens H. E. Christensen & Jose A. Lopez
  (ReDIF-article, fip:fedfel:00069)
• Differing views on long-term inflation expectations
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2016)
  by Jens H. E. Christensen & Jose A. Lopez
  (ReDIF-article, fip:fedfel:00089)
• TIPS Liquidity and the Outlook for Inflation
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2016)
  by Martin M. Andreasen & Jens H. E. Christensen
  (ReDIF-article, fip:fedfel:00113)
• Do All New Treasuries Trade at a Premium?
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2017)
  by Jens H. E. Christensen & Jose A. Lopez & Patrick Shultz
  (ReDIF-article, fip:fedfel:00118)
• Measuring Interest Rate Risk in the Very Long Term
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2017)
  by Jens H. E. Christensen & Jose A. Lopez & Paul Mussche
  (ReDIF-article, fip:fedfel:00127)
• How Much Has Job Matching Efficiency Declined?
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2017)
  by Andreas Hornstein & Marianna Kudlyak
  (ReDIF-article, fip:fedfel:00132)
• New Evidence for a Lower New Normal in Interest Rates
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2017)
  by Jens H. E. Christensen & Glenn D. Rudebusch
  (ReDIF-article, fip:fedfel:00140)
• Do Adjustment Lags Matter for Inflation-Indexed Bonds?
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2018)
  by Jens H. E. Christensen
  (ReDIF-article, fip:fedfel:00159)
• Do Foreign Funds Matter for Emerging Market Bond Liquidity?
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2018)
  by Jens H. E. Christensen & Eric Fischer & Patrick Shultz
  (ReDIF-article, fip:fedfel:00167)
• The Slope of the Yield Curve and the Near-Term Outlook
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2018)
  by Jens H. E. Christensen
  (ReDIF-article, fip:fedfel:00174)
• The Risk of Returning to the Zero Lower Bound
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2019)
  by Jens H. E. Christensen
  (ReDIF-article, fip:fedfel:00194)
• Negative Interest Rates and Inflation Expectations in Japan
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2019)
  by Jens H. E. Christensen & Mark M. Spiegel
  (ReDIF-article, fip:fedfel:00202)
• Yield Curve Responses to Introducing Negative Policy Rates
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2019)
  by Jens H. E. Christensen
  (ReDIF-article, fip:fedfel:00207)
• Coronavirus and the Risk of Deflation
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2020)
  by Jens H. E. Christensen & James M. Gamble & Simon Zhu
  (ReDIF-article, fip:fedfel:87948)
• Emerging Bond Markets and COVID-19: Evidence from Mexico
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2020)
  by Jens H. E. Christensen & Eric Fischer & Patrick Shultz
  (ReDIF-article, fip:fedfel:88600)
• Exploring the Safety Premium of Safe Assets
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2021)
  by Jens H. E. Christensen & Nikola Mirkov
  (ReDIF-article, fip:fedfel:91528)
• What Would It Cost to Issue 50-year Treasury Bonds?
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2021)
  by Jens H. E. Christensen & Jose A. Lopez & Paul Mussche
  (ReDIF-article, fip:fedfel:93332)
• The Increase in Inflation Compensation: What’s Up?
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2022)
  by Jens H. E. Christensen
  (ReDIF-article, fip:fedfel:94460)
• COVID-19 Fiscal Expansion and Inflation Expectations in Japan
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2022)
  by Jens H. E. Christensen & Mark M. Spiegel
  (ReDIF-article, fip:fedfel:94546)
• Are Inflation Expectations Well Anchored in Mexico?
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2023)
  by Remy Beauregard & Jens H. E. Christensen & Eric Fischer & Simon Zhu
  (ReDIF-article, fip:fedfel:95484)
• Internal risk models and the estimation of default probabilities
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2007)
  by Jens H. E. Christensen
  (ReDIF-article, fip:fedfel:y:2007:i:sep28:n:2007-29)
• Treasury bond yields and long-run inflation expectations
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2008)
  by Jens H. E. Christensen
  (ReDIF-article, fip:fedfel:y:2008:i:aug15:n:2008-25)
• The corporate bond credit spread puzzle
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2008)
  by Jens H. E. Christensen
  (ReDIF-article, fip:fedfel:y:2008:i:mar14:n:2008-10)
• Have the Fed liquidity facilities had an effect on Libor?
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2009)
  by Jens H. E. Christensen
  (ReDIF-article, fip:fedfel:y:2009:i:aug10:n:2009-25)
• Inflation expectations and the risk of deflation
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2009)
  by Jens H. E. Christensen
  (ReDIF-article, fip:fedfel:y:2009:i:nov2:n:2009-34)
• TIPS and the risk of deflation
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2010)
  by Jens H. E. Christensen
  (ReDIF-article, fip:fedfel:y:2010:i:oct25:n:2010-32)
• Has the Treasury benefited from issuing TIPS?
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2011)
  by Jens H. E. Christensen & James M. Gillan
  (ReDIF-article, fip:fedfel:y:2011:i:apr18:n:2011-12)
• TIPS liquidity, breakeven inflation, and inflation expectations
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2011)
  by Jens H. E. Christensen & James M. Gillan
  (ReDIF-article, fip:fedfel:y:2011:i:june20:n:2011-19)
• Do Fed TIPS purchases affect market liquidity?
  FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2012)
  by Jens H. E. Christensen & James M. Gillan
  (ReDIF-article, fip:fedfel:y:2012:i:mar5:n:2012-07)
• Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields
  Proceedings, Federal Reserve Bank of San Francisco (2009)
  by Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch
  (ReDIF-article, fip:fedfpr:y:2009:i:jan:x:4)
• The affine arbitrage-free class of Nelson-Siegel term structure models
  Working Paper Series, Federal Reserve Bank of San Francisco (2007)
  by Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch
  (ReDIF-paper, fip:fedfwp:2007-20)
• An arbitrage-free generalized Nelson-Siegel term structure model
  Working Paper Series, Federal Reserve Bank of San Francisco (2008)
  by Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch
  (ReDIF-paper, fip:fedfwp:2008-07)
• Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields
  Working Paper Series, Federal Reserve Bank of San Francisco (2008)
  by Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch
  (ReDIF-paper, fip:fedfwp:2008-34)
• Do central bank liquidity facilities affect interbank lending rates?
  Working Paper Series, Federal Reserve Bank of San Francisco (2009)
  by Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch
  (ReDIF-paper, fip:fedfwp:2009-13)
• Extracting deflation probability forecasts from Treasury yields
  Working Paper Series, Federal Reserve Bank of San Francisco (2011)
  by Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch
  (ReDIF-paper, fip:fedfwp:2011-10)
• A model-independent maximum range for the liquidity correction of TIPS yields
  Working Paper Series, Federal Reserve Bank of San Francisco (2011)
  by Jens H. E. Christensen & James M. Gillan
  (ReDIF-paper, fip:fedfwp:2011-16)
• The response of interest rates to U.S. and U.K. quantitative easing
  Working Paper Series, Federal Reserve Bank of San Francisco (2012)
  by Jens H. E. Christensen & Glenn D. Rudebusch
  (ReDIF-paper, fip:fedfwp:2012-06)
• Pricing deflation risk with U.S. Treasury yields
  Working Paper Series, Federal Reserve Bank of San Francisco (2012)
  by Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch
  (ReDIF-paper, fip:fedfwp:2012-07)
• Estimating Shadow-Rate Term Structure Models with Near-Zero Yields
  Working Paper Series, Federal Reserve Bank of San Francisco (2013)
  by Jens H. E. Christensen & Glenn D. Rudebusch
  (ReDIF-paper, fip:fedfwp:2013-07)
• Does Quantitative Easing Affect Market Liquidity?
  Working Paper Series, Federal Reserve Bank of San Francisco (2013)
  by Jens H. E. Christensen & James M. Gillan
  (ReDIF-paper, fip:fedfwp:2013-26)
• A Regime-Switching Model of the Yield Curve at the Zero Bound
  Working Paper Series, Federal Reserve Bank of San Francisco (2013)
  by Jens H. E. Christensen
  (ReDIF-paper, fip:fedfwp:2013-34)
• A Probability-Based Stress Test of Federal Reserve Assets and Income
  Working Paper Series, Federal Reserve Bank of San Francisco (2013)
  by Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch
  (ReDIF-paper, fip:fedfwp:2013-38)
• Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?
  Working Paper Series, Federal Reserve Bank of San Francisco (2013)
  by Jens H. E. Christensen & Glenn D. Rudebusch
  (ReDIF-paper, fip:fedfwp:2013-39)
• Can Spanned Term Structure Factors Drive Stochastic Yield Volatility?
  Working Paper Series, Federal Reserve Bank of San Francisco (2014)
  by Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch
  (ReDIF-paper, fip:fedfwp:2014-03)
• Transmission of Quantitative Easing: The Role of Central Bank Reserves
  Working Paper Series, Federal Reserve Bank of San Francisco (2014)
  by Jens H. E. Christensen & Signe Krogstrup
  (ReDIF-paper, fip:fedfwp:2014-18)
• A Portfolio Model of Quantitative Easing
  Working Paper Series, Federal Reserve Bank of San Francisco (2016)
  by Jens H. E. Christensen & Signe Krogstrup
  (ReDIF-paper, fip:fedfwp:2016-12)
• A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt
  Working Paper Series, Federal Reserve Bank of San Francisco (2018)
  by Jens H. E. Christensen & Glenn D. Rudebusch
  (ReDIF-paper, fip:fedfwp:2017-07)
• Is There an On-the-Run Premium in TIPS?
  Working Paper Series, Federal Reserve Bank of San Francisco (2017)
  by Jens H. E. Christensen & Jose A. Lopez & Patrick Shultz
  (ReDIF-paper, fip:fedfwp:2017-10)
• The TIPS Liquidity Premium
  Working Paper Series, Federal Reserve Bank of San Francisco (2020)
  by Martin M. Andreasen & Jens H. E. Christensen & Simon Riddell
  (ReDIF-paper, fip:fedfwp:2017-11)
• Term Structure Analysis with Big Data
  Working Paper Series, Federal Reserve Bank of San Francisco (2017)
  by Martin M. Andreasen & Jens H. E. Christensen & Glenn D. Rudebusch
  (ReDIF-paper, fip:fedfwp:2017-21)
• Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement
  Working Paper Series, Federal Reserve Bank of San Francisco (2019)
  by Jens H. E. Christensen & Jose A. Lopez & Paul Mussche
  (ReDIF-paper, fip:fedfwp:2018-09)
• Bond Flows and Liquidity: Do Foreigners Matter?
  Working Paper Series, Federal Reserve Bank of San Francisco (2019)
  by Jens H. E. Christensen & Eric Fischer & Patrick Shultz
  (ReDIF-paper, fip:fedfwp:2019-08)
• Assessing Abenomics: Evidence from Inflation-Indexed Japanese Government Bonds
  Working Paper Series, Federal Reserve Bank of San Francisco (2019)
  by Jens H. E. Christensen & Mark M. Spiegel
  (ReDIF-paper, fip:fedfwp:2019-15)
• The Safety Premium of Safe Assets
  Working Paper Series, Federal Reserve Bank of San Francisco (2021)
  by Jens H. E. Christensen & Nikola Mirkov
  (ReDIF-paper, fip:fedfwp:2019-28)
• Accounting for Low Long-Term Interest Rates: Evidence from Canada
  Working Paper Series, Federal Reserve Bank of San Francisco (2020)
  by Jens H. E. Christensen & Glenn D. Rudebusch & Patrick Shultz
  (ReDIF-paper, fip:fedfwp:89093)
• Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico
  Working Paper Series, Federal Reserve Bank of San Francisco (2021)
  by Remy Beauregard & Jens H. E. Christensen & Eric Fischer & Simon Zhu
  (ReDIF-paper, fip:fedfwp:90161)
• International Evidence on Extending Sovereign Debt Maturities
  Working Paper Series, Federal Reserve Bank of San Francisco (2021)
  by Jens H. E. Christensen & Jose A. Lopez & Paul Mussche
  (ReDIF-paper, fip:fedfwp:92921)
• Central Bank Credibility During COVID-19: Evidence from Japan
  Working Paper Series, Federal Reserve Bank of San Francisco (2021)
  by Jens H. E. Christensen & Mark M. Spiegel
  (ReDIF-paper, fip:fedfwp:93581)
• The Benefit of Inflation-Indexed Debt: Evidence from an Emerging Bond Market
  Working Paper Series, Federal Reserve Bank of San Francisco (2023)
  by Cristhian Hernando Ruiz Cardozo & Jens H. E. Christensen
  (ReDIF-paper, fip:fedfwp:95617)
• Quantitative Easing and Safe Asset Scarcity: Evidence from International Bond Safety Premia
  Working Paper Series, Federal Reserve Bank of San Francisco (2023)
  by Jens H. E. Christensen & Nikola Mirkov & Xin Zhang
  (ReDIF-paper, fip:fedfwp:96602)
• Passive Quantitative Easing: Bond Supply Effects through a Halt to Debt Issuance
  Working Paper Series, Federal Reserve Bank of San Francisco (2023)
  by Jens H. E. Christensen & Simon Thinggaard Hetland
  (ReDIF-paper, fip:fedfwp:96604)
• Market-Based Estimates of the Natural Real Rate: Evidence from Latin American Bond Markets
  Working Paper Series, Federal Reserve Bank of San Francisco (2023)
  by Luis Ceballos & Jens H. E. Christensen & Damian Romero
  (ReDIF-paper, fip:fedfwp:97578)
• A Post-Pandemic New Normal for Interest Rates in Emerging Bond Markets? Evidence from Chile
  Working Paper Series, Federal Reserve Bank of San Francisco (2024)
  by Luis Ceballos & Jens H. E. Christensen & Damian Romero
  (ReDIF-paper, fip:fedfwp:97796)
• The Natural Rate of Interest in the Euro Area: Evidence from Inflation-Indexed Bonds
  Working Paper Series, Federal Reserve Bank of San Francisco (2024)
  by Jens H. E. Christensen & Sarah Mouabbi
  (ReDIF-paper, fip:fedfwp:97927)
• Inflation Expectations, Liquidity Premia and Global Spillovers in Japanese Bond Markets
  Working Paper Series, Federal Reserve Bank of San Francisco (2024)
  by Jens H. E. Christensen & Mark M. Spiegel
  (ReDIF-paper, fip:fedfwp:98059)
• Quantitative Easing, Bond Risk Premia and the Exchange Rate in a Small Open Economy
  Working Paper Series, Federal Reserve Bank of San Francisco (2024)
  by Jens H. E. Christensen & Xin Zhang
  (ReDIF-paper, fip:fedfwp:98075)
• Quantitative Easing, Bond Risk Premia and the Exchange Rate in a Small Open Economy
  Working Paper Series, Federal Reserve Bank of San Francisco (2024)
  by Jens H. E. Christensen & Xin Zhang
  (ReDIF-paper, fip:fedfwp:98076)
• Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico
  Staff Reports, Federal Reserve Bank of New York (2021)
  by Remy Beauregard & Jens H. E. Christensen & Eric Fischer & Simon Zhu
  (ReDIF-paper, fip:fednsr:90325)
• A Portfolio Model of Quantitative Easing
  Working Paper Series, Peterson Institute for International Economics (2016)
  by Jens H. E. Christensen & Signe Krogstrup
  (ReDIF-paper, iie:wpaper:wp16-7)
• Extracting Deflation Probability Forecasts from Treasury Yields
  International Journal of Central Banking, International Journal of Central Banking (2012)
  by Jens H.E. Christensen & Jose A. Lopez & Glenn D. Rudebusch
  (ReDIF-article, ijc:ijcjou:y:2012:q:4:a:2)
• Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields
  Journal of Money, Credit and Banking, Blackwell Publishing (2010)
  by Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch
  (ReDIF-article, mcb:jmoncb:v:42:y:2010:i:s1:p:143-178)
• The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models
  NBER Working Papers, National Bureau of Economic Research, Inc (2007)
  by Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch
  (ReDIF-paper, nbr:nberwo:13611)
• An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
  NBER Working Papers, National Bureau of Economic Research, Inc (2008)
  by Jens H.E. Christensen & Francis X. Diebold & Glenn D. Rudebusch
  (ReDIF-paper, nbr:nberwo:14463)
• The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models
  PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2007)
  by Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch
  (ReDIF-paper, pen:papers:07-029)
• An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
  PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2008)
  by Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch
  (ReDIF-paper, pen:papers:08-030)
• Transmission of Quantitative Easing: The Role of Central Bank Reserves
  Working Papers, Swiss National Bank (2015)
  by Jens H. E. Christensen & Signe Krogstrup
  (ReDIF-paper, snb:snbwpa:2015-06)
• A Portfolio Model of Quantitative Easing
  Working Papers, Swiss National Bank (2016)
  by Jens H. E. Christensen & Signe Krogstrup
  (ReDIF-paper, snb:snbwpa:2016-19)
• The safety premium of safe assets
  Working Papers, Swiss National Bank (2021)
  by Jens H. E. Christensen & Nikola Mirkov
  (ReDIF-paper, snb:snbwpa:2021-02)
• Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?
  Journal of Business & Economic Statistics, Taylor & Francis Journals (2014)
  by Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch
  (ReDIF-article, taf:jnlbes:v:32:y:2014:i:1:p:136-151)