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Bond Risk Premia, Macroeconomic Fundamentals and the Exchange Rate
16 references·16 citing·42 second hopsampled
Bond Risk Premia, Macroeconomic Fundamentals and the Exchange Rate (2009)Bond Risk Premia, Macroeconomic Fundament…Risk Aversion, Wealth, and Background Risk (2008)Risk Aversion, Wealth, and Ba…Bank profitability and the business cycle (2008)Bank profitability and the bu…What does the yield curve tell us about GDP growth? (2005)What does the yield curve tel…The macroeconomy and the yield curve: a dynamic latent factor approach (2005)The macroeconomy and the yiel…Bond Risk Premia (2005)Bond Risk PremiaA no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…Expectation puzzles, time-varying risk premia, and affine models of the term structure (2002)Expectation puzzles, time-var…Monetary policy rules in practice (1998)Monetary policy rules in prac…The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates (1995)Some Empirical Evidence on th…Perspectives on PPP and Long-Run Real Exchange Rates (1994)Perspectives on PPP and Long-…Discretion versus policy rules in practice (1993)Discretion versus policy rule…Forward and spot exchange rates (1984)Forward and spot exchange rat…Macroeconomics and Reality (1980)Macroeconomics and RealityExpectations and Exchange Rate Dynamics (1976)Expectations and Exchange Rat…Quantile Aggregation of Density Forecasts (2017)Quantile Aggregation of Densi…Sovereign debt and reserves with liquidity and productivity crises (2016)Sovereign debt and reserves w…The management of interest rate risk during the crisis: Evidence from Italian banks (2015)The management of interest ra…INEQUALITY AND TRUST: NEW EVIDENCE FROM PANEL DATA (2015)INEQUALITY AND TRUST: NEW EVI…Time Series Models with an EGB2 Conditional Distribution (2014)Time Series Models with an EG…The Impact of Local Minimum Wages on Employment: Evidence from Italy in the 1950s (2014)The Impact of Local Minimum W…The cost of firms’ debt financing and the global financial crisis (2014)The cost of firms’ debt finan…Public Expenditure Distribution, Voting, and Growth (2014)Public Expenditure Distributi…Information Acquisition and Learning from Prices Over the Business Cycle (2014)Information Acquisition and L…Financial Indicators and Density Forecasts for US Output and Inflation (2014)Financial Indicators and Dens…Bank Bonds: Size, Systemic Relevance and the Sovereign (2014)Bank Bonds: Size, Systemic Re…The Italian financial cycle: 1861–2011 (2013)The Italian financial cycle: …Forecasting Aggregate Demand: Analytical Comparison of Top-Down and Bottom-Up Approaches in a Multivariate Exponential Smoothing Framework (2013)Forecasting Aggregate Demand:…Economic Insecurity and Fertility Intentions: The Case of I taly (2013)Economic Insecurity and Ferti…Family Background, Self-Confidence and Economic Outcomes (2012)Family Background, Self-Confi…Innovation and Productivity in SMEs - Empirical Evidence for Italy (2009)Innovation and Productivity i…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)Empirical exchange rate models of the seventies (1983)The federal funds rate and the channels of monetary transmission (1989)Large Bayesian vector auto regressions (2009)Capital Flows and the Risk-Taking Channel of Monetary Policy (2013)Cross-Border Banking and Global Liquidity (2014)The Pricing of Options and Corporate Liabilities (1973)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)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)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Investor Psychology and Asset Pricing (2001)Exchange Rates and Fundamentals (2005)Carry Trades and Currency Crashes (2008)A consumption-based model of the term structure of interest rates☆ (2005)Macro Factors in Bond Risk Premia (2009)The Econometrics of Financial Markets (2012)An Intertemporal Capital Asset Pricing Model (1973)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Expected Stock Returns and Variance Risk Premia (2009)How Sovereign Is Sovereign Credit Risk? (2011)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Convergence Across States and Regions (1991)The Purchasing Power Parity Puzzle (1996)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)
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References

  • 1980Macroeconomics and Reality12,826 cited
  • 1993Discretion versus policy rules in practice9,059 cited
  • 1976Expectations and Exchange Rate Dynamics4,704 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1998Monetary policy rules in practice2,206 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 2005Bond Risk Premia1,546 cited
  • 1995Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates1,127 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 2008Risk Aversion, Wealth, and Background Risk1,054 cited
  • 2005The macroeconomy and the yield curve: a dynamic latent factor approach967 cited
  • 2005What does the yield curve tell us about GDP growth?815 cited
  • 2008Bank profitability and the business cycle801 cited
  • 2002Expectation puzzles, time-varying risk premia, and affine models of the term structure754 cited
  • 1994Perspectives on PPP and Long-Run Real Exchange Rates

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Cited by

  • 2009Innovation and Productivity in SMEs - Empirical Evidence for Italy327 cited
  • 2015INEQUALITY AND TRUST: NEW EVIDENCE FROM PANEL DATA210 cited
  • 2013The Italian financial cycle: 1861–2011188 cited
  • 2014The cost of firms’ debt financing and the global financial crisis170 cited
  • 2012Family Background, Self-Confidence and Economic Outcomes166 cited
  • 2014Public Expenditure Distribution, Voting, and Growth163 cited
  • 2015The management of interest rate risk during the crisis: Evidence from Italian banks160 cited
  • 2014Bank Bonds: Size, Systemic Relevance and the Sovereign149 cited
  • 2016Sovereign debt and reserves with liquidity and productivity crises133 cited
  • 2014Time Series Models with an EGB2 Conditional Distribution130 cited
  • 2014Information Acquisition and Learning from Prices Over the Business Cycle129 cited
  • 2014The Impact of Local Minimum Wages on Employment: Evidence from Italy in the 1950s124 cited
  • 2013Economic Insecurity and Fertility Intentions: The Case of I taly118 cited
  • 2017Quantile Aggregation of Density Forecasts107 cited
  • 2013Forecasting Aggregate Demand: Analytical Comparison of Top-Down and Bottom-Up Approaches in a Multivariate Exponential Smoothing Framework104 cited
  • 2014Financial Indicators and Density Forecasts for US Output and Inflation93 cited