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LONG‐RUN RISKS IN THE TERM STRUCTURE OF INTEREST RATES: ESTIMATION
16 references·2 citing·49 second hop
LONG‐RUN RISKS IN THE TERM STRUCTURE OF INTEREST RATES: ESTIMATION (2012)LONG‐RUN RISKS IN THE TERM STRUCTURE OF I…Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Risk Premiums in Dynamic Term…Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset (2011)Term Premia and Inflation Unc…Macro Factors in Bond Risk Premia (2009)Macro Factors in Bond Risk Pr…The Time-Varying Volatility of Macroeconomic Fluctuations (2008)The Time-Varying Volatility o…Were There Regime Switches in U.S. Monetary Policy? (2006)Were There Regime Switches in…NBER Macroeconomics Annual 2005 (2006)NBER Macroeconomics Annual 20…Has Monetary Policy Become More Effective? (2006)Has Monetary Policy Become Mo…Financial Markets and the Real Economy (2005)Financial Markets and the Rea…A consumption-based model of the term structure of interest rates☆ (2005)A consumption-based model of …Has the Business Cycle Changed and Why? (2002)Has the Business Cycle Change…Has the Business Cycle Changed and Why? (2002)Has the Business Cycle Change…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Macroeconomic Bond Risks at the Zero Lower Bound (2016)Macroeconomic Bond Risks at t…An Equilibrium Term Structure Model with Recursive Preferences (2010)An Equilibrium Term Structure…Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)5 Stochastic volatility (1996)Range‐Based Estimation of Stochastic Volatility Models (2002)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Introductory Econometrics for Finance (2008)The equity premium: A puzzle (1985)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)The Dynamic Effects of Neutral and Investment‐Specific Technology Shocks (2006)Risk Matters: The Real Effects of Volatility Shocks (2011)Disaster Risk and Business Cycles (2012)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Cointegration and Tests of Present Value Models (1987)The Information in Long-Maturity Forward Rates (1987)Term Premia and Interest Rate Forecasts in Affine Models (2002)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Bond Risk Premia (2005)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Determining the Number of Factors in Approximate Factor Models (2002)Common Risk Factors in Currency Markets (2011)Pricing the term structure with linear regressions (2013)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Econometric policy evaluation: A critique (1976)Discretion versus policy rules in practice (1993)The Taylor Rule and Optimal Monetary Policy (2001)Inflation-Gap Persistence in the US (2009)The Quarterly Journal of Economics (2024)Institutional causes, macroeconomic symptoms: volatility, crises and growth (2003)Why Has U.S. Inflation Become Harder to Forecast? (2007)Credit Spreads and Business Cycle Fluctuations (2012)Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference (2009)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2010)Macroeconomic Shocks and Their Propagation (2016)
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References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 2006Were There Regime Switches in U.S. Monetary Policy?1,607 cited
  • 2002Has the Business Cycle Changed and Why?1,515 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 2009Macro Factors in Bond Risk Premia1,043 cited
  • 2008The Time-Varying Volatility of Macroeconomic Fluctuations844 cited
  • 2006Has Monetary Policy Become More Effective?768 cited
  • 2006NBER Macroeconomics Annual 2005718 cited
  • 2005A consumption-based model of the term structure of interest rates☆693 cited
  • 2013Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks587 cited
  • 2005Financial Markets and the Real Economy572 cited
  • 2002Has the Business Cycle Changed and Why?561 cited

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2011
Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset
504 cited

Cited by

  • 2010An Equilibrium Term Structure Model with Recursive Preferences25 cited
  • 2016Macroeconomic Bond Risks at the Zero Lower Bound9 cited