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News and the Term Structure in General Equilibrium
16 references·7 citing·45 second hop
News and the Term Structure in General Equilibrium (2007)News and the Term Structure in General Eq…Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2010)Shocks and Frictions in US Bu…Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Nominal Rigidities and the Dy…A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2001)Nominal Rigidities and the Dy…Optimal monetary policy with staggered wage and price contracts (2000)Optimal monetary policy with …Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Monetary Policy Rules and Mac…A Simple Model of Herd Behavior (1992)A Simple Model of Herd Behavi…Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…The Term Structure as a Predictor of Real Economic Activity (1991)The Term Structure as a Predi…Production, growth and business cycles (1988)Production, growth and busine…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…Forecasting With Bayesian Vector Autoregressions—Five Years of Experience (1986)Forecasting With Bayesian Vec…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Staggered prices in a utility-maximizing framework (1983)Staggered prices in a utility…Time to Build and Aggregate Fluctuations (1982)Time to Build and Aggregate F…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …The expectational effects of news in business cycles: Evidence from forecast data (2019)The expectational effects of …Intersectoral Labor Immobility, Sectoral Comovement, and News Shocks (2018)Intersectoral Labor Immobilit…Anticipated versus unanticipated terms of trade shocks and the J -curve phenomenon (2017)Anticipated versus unanticipa…News Driven Business Cycles and data on asset prices in estimated DSGE models (2015)News Driven Business Cycles a…News Driven Business Cycles: Insights and Challenges (2013)News Driven Business Cycles: …Identifying News Shocks from SVARs (2012)Identifying News Shocks from …Financial Factors in Economic Fluctuations ∗ (Preliminary) (2009)Financial Factors in Economic…A Contribution to the Theory of Economic Growth (1956)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)On the mechanics of economic development (1988)Long-Run Policy Analysis and Long-Run Growth (1991)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)The Race between Man and Machine: Implications of Technology for Growth, Factor Shares, and Employment (2018)Discretion versus policy rules in practice (1993)Staggered Prices in a Utility-Maximizing Framework (1996)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)The General Theory of Employment, Interest, and Money (2018)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Inflation and Costs of Price Adjustment (1977)Aggregate Dynamics and Staggered Contracts (1980)Behavioral Macroeconomics and Macroeconomic Behavior (2002)Employment Fluctuations with Equilibrium Wage Stickiness (2005)Unemployment Fluctuations with Staggered Nash Wage Bargaining (2009)The General Theory of Employment, Interest and Money. (1936)Network externalities, competition, and compatibility (1985)Standardization, Compatibility, and Innovation (1985)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Investor Psychology and Asset Pricing (2001)Using Online Conversations to Study Word-of-Mouth Communication (2004)Macroeconomics and Reality (1980)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)The equity premium: A puzzle (1985)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Cointegration and Tests of Present Value Models (1987)Term Premia and Interest Rate Forecasts in Affine Models (2002)Bond Risk Premia (2005)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Inflation dynamics: A structural econometric analysis (1999)The Science of Monetary Policy: A New Keynesian Perspective (1999)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)The Role of Monetary Policy (1995)Estimation and Inference of Impulse Responses by Local Projections (2005)The Impact of Uncertainty Shocks (2009)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1983Staggered prices in a utility-maximizing framework7,892 cited
  • 1992A Simple Model of Herd Behavior6,511 cited
  • 1982Time to Build and Aggregate Fluctuations5,933 cited
  • 2005Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy5,868 cited
  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 2000Optimal monetary policy with staggered wage and price contracts2,281 cited
  • 1988Production, growth and business cycles2,193 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 1991The Term Structure as a Predictor of Real Economic Activity1,739 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 2010Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach1,507 cited
  • 2001Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy1,448 cited

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  • 1986Forecasting With Bayesian Vector Autoregressions—Five Years of Experience1,231 cited
  • Cited by

    • 2019The expectational effects of news in business cycles: Evidence from forecast data33 cited
    • 2009Financial Factors in Economic Fluctuations ∗ (Preliminary)22 cited
    • 2013News Driven Business Cycles: Insights and Challenges21 cited
    • 2018Intersectoral Labor Immobility, Sectoral Comovement, and News Shocks18 cited
    • 2017Anticipated versus unanticipated terms of trade shocks and the J -curve phenomenon17 cited
    • 2015News Driven Business Cycles and data on asset prices in estimated DSGE models17 cited
    • 2012Identifying News Shocks from SVARs13 cited