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Bond Pricing and the Macroeconomy
16 references·5 citing·36 second hop
Bond Pricing and the Macroeconomy (2013)Bond Pricing and the MacroeconomyA no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Discretion versus policy rules in practice (1993)Discretion versus policy rule…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…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…The federal funds rate and the channels of monetary transmission (1989)The federal funds rate and th…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks (2021)An International Dynamic Term…Staying at zero with affine processes: An application to term structure modelling (2017)Staying at zero with affine p…The Term Structure of Returns: Facts and Theory (2015)The Term Structure of Returns…Forecasting interest rates with shifting endpoints (2013)Forecasting interest rates wi…Determinants of Bond Risk Premia (2010)Determinants of Bond Risk Pre…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)The Pricing of Options and Corporate Liabilities (1973)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)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)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Expected stock returns and volatility (1987)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Rules, discretion and reputation in a model of monetary policy (1983)The Science of Monetary Policy: A New Keynesian Perspective (1999)Estimation and Inference of Impulse Responses by Local Projections (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Optimum consumption and portfolio rules in a continuous-time model (1971)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)Theory of rational option pricing (2005)The Determinants of Credit Spread Changes (2001)Credit Spreads and Business Cycle Fluctuations (2012)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)What Do a Million Observations on Banks Say About the Transmission of Monetary Policy? (2000)
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References

  • 1993Discretion versus policy rules in practice9,059 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 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
  • 1989The federal funds rate and the channels of monetary transmission2,833 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1991Common Factors Affecting Bond Returns1,796 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
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models

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1,581 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • Cited by

    • 2017Staying at zero with affine processes: An application to term structure modelling59 cited
    • 2013Forecasting interest rates with shifting endpoints58 cited
    • 2010Determinants of Bond Risk Premia33 cited
    • 2015The Term Structure of Returns: Facts and Theory32 cited
    • 2021An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks30 cited