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New-Keynesian Macroeconomics and the Term Structure
16 references·16 citing·40 second hopsampled
New-Keynesian Macroeconomics and the Term Structure (2005)New-Keynesian Macroeconomics and the Term…Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Nominal Rigidities and the Dy…Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Measuring the Effects of Mone…INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)INTEREST AND PRICES: FOUNDATI…An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)An Estimated Dynamic Stochast…A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…The Science of Monetary Policy: A New Keynesian Perspective (1999)The Science of Monetary Polic…Inflation dynamics: A structural econometric analysis (1999)Inflation dynamics: A structu…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Predicting U.S. Recessions: Financial Variables as Leading Indicators (1998)Predicting U.S. Recessions: F…Staggered Prices in a Utility-Maximizing Framework (1996)Staggered Prices in a Utility…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…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…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…A Skeptical View of the Impact of the Fed’s Balance Sheet (2018)A Skeptical View of the Impac…Risk, Uncertainty and Monetary Policy (2012)Risk, Uncertainty and Monetar…Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach (2011)Stock Prices and Monetary Pol…Risk, Uncertainty and Monetary Policy (2011)Risk, Uncertainty and Monetar…On the effects of rare disasters and uncertainty shocks for risk premia in non-linear DSGE models (2011)On the effects of rare disast…Macroeconomic Regimes (2011)Macroeconomic RegimesIdentification and Estimation of Gaussian Affine Term Structure Models (2011)Identification and Estimation…Risk, Uncertainty and Monetary Policy (2010)Risk, Uncertainty and Monetar…The term structure of policy rules (2009)The term structure of policy …The Yield Curve and Macroeconomic Dynamics* (2008)The Yield Curve and Macroecon…A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure (2008)A No-Arbitrage Analysis of Ma…Macroeconomic Implications of Changes in the Term Premium (2007)Macroeconomic Implications of…Cracking the Conundrum (2007)Cracking the ConundrumArbitrage-Free Bond Pricing with Dynamic Macroeconomic Models (2007)Arbitrage-Free Bond Pricing w…Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk (2006)Discrete-Time Dynamic Term St…Hegedüs István r. tag emlékezete (1932)Hegedüs István r. tag emlékez…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)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)Econometric policy evaluation: A critique (1976)Rules, discretion and reputation in a model of monetary policy (1983)Monetary Policy and Exchange Rate Volatility in a Small Open Economy (2005)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Housing Market Spillovers: Evidence from an Estimated DSGE Model (2010)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)The Role of Monetary Policy (1995)Estimation and Inference of Impulse Responses by Local Projections (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)The Impact of Uncertainty Shocks (2009)Time to Build and Aggregate Fluctuations (1982)Discretion versus policy rules in practice (1993)House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle (2005)Understanding the Effects of Government Spending on Consumption (2007)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1983Staggered prices in a utility-maximizing framework7,892 cited
  • 2005Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy5,868 cited
  • 2005INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY5,508 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1999The Science of Monetary Policy: A New Keynesian Perspective4,927 cited
  • 1996Staggered Prices in a Utility-Maximizing Framework4,369 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 2003An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area3,519 cited
  • 1999Inflation dynamics: A structural econometric analysis3,088 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach1,852 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables

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1,687 cited
  • 1998Predicting U.S. Recessions: Financial Variables as Leading Indicators1,180 cited
  • Cited by

    • 2012Risk, Uncertainty and Monetary Policy119 cited
    • 2007Cracking the Conundrum114 cited
    • 2018A Skeptical View of the Impact of the Fed’s Balance Sheet109 cited
    • 2008The Yield Curve and Macroeconomic Dynamics*104 cited
    • 2011On the effects of rare disasters and uncertainty shocks for risk premia in non-linear DSGE models98 cited
    • 2011Risk, Uncertainty and Monetary Policy91 cited
    • 2007Macroeconomic Implications of Changes in the Term Premium89 cited
    • 2010Risk, Uncertainty and Monetary Policy81 cited
    • 2008A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure73 cited
    • 2007Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models72 cited
    • 2011Macroeconomic Regimes70 cited
    • 1932Hegedüs István r. tag emlékezete67 cited
    • 2009The term structure of policy rules63 cited
    • 2011Identification and Estimation of Gaussian Affine Term Structure Models59 cited
    • 2011Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach55 cited
    • 2006Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk55 cited