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Bond Pricing with a Time‐Varying Price of Risk in an Estimated Medium‐Scale Bayesian DSGE Model
16 references·16 citing·40 second hopsampled
Bond Pricing with a Time‐Varying Price of Risk in an Estimated Medium‐Scale Bayesian DSGE Model (2014)Bond Pricing with a Time‐Varying Price of…Risk Shocks (2013)Risk ShocksCredit Spreads and Business Cycle Fluctuations (2012)Credit Spreads and Business C…Presidential Address: Discount Rates (2011)Presidential Address: Discoun…The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models (2005)The Sensitivity of Long-Term …Bond Risk Premia (2005)Bond Risk PremiaAn 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…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Habit Persistence, Asset Returns, and the Business Cycle (2001)Habit Persistence, Asset Retu…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…The Science of Monetary Policy: A New Keynesian Perspective (1999)The Science of Monetary Polic…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Asset pricing in production economies (1998)Asset pricing in production e…Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…Implications of Security Market Data for Models of Dynamic Economies (1991)Implications of Security Mark…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…The origins and effects of macroeconomic uncertainty (2023)The origins and effects of ma…Discount Rates, Debt Maturity, and the Fiscal Theory (2023)Discount Rates, Debt Maturity…Back to the 1980s or Not? 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this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1999The Science of Monetary Policy: A New Keynesian Perspective4,927 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 2003An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area3,519 cited
  • 2011Presidential Address: Discount Rates2,222 cited
  • 2012Credit Spreads and Business Cycle Fluctuations2,209 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 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 Models1,581 cited
  • 2005Bond Risk Premia1,546 cited
  • 2013Risk Shocks1,342 cited
  • 1991Implications of Security Market Data for Models of Dynamic Economies1,182 cited
  • 1998Asset pricing in production economies1,083 cited
  • 2001Habit Persistence, Asset Returns, and the Business Cycle1,049 cited

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2005
The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models
1,004 cited

Cited by

  • 2015Competition, Markups and Predictable Returns98 cited
  • 2013Macroeconomic Drivers of Bond and Equity Risks51 cited
  • 2023The origins and effects of macroeconomic uncertainty40 cited
  • 2020Why Does the Fed Move Markets so Much? A Model of Monetary Policy and Time-Varying Risk Aversion35 cited
  • 2018The Origins and Effects of Macroeconomic Uncertainty34 cited
  • 2016International business cycles and risk sharing with uncertainty shocks and recursive preferences32 cited
  • 2020Bond risk premia in consumption‐based models28 cited
  • 2016Bond Risk Premia in Consumption-based Models28 cited
  • 2023Discount Rates, Debt Maturity, and the Fiscal Theory26 cited
  • 2021Risky Business Cycles22 cited
  • 2023Back to the 1980s or Not? The Drivers of Inflation and Real Risks in Treasury Bonds20 cited
  • 2015How Did We Get to Where We Are Now? Reflections on 50 Years of Macroeconomic and Financial Econometrics19 cited
  • 2022Does fiscal policy matter for stock-bond return correlation?17 cited
  • 2019DETECTING AND ANALYZING THE EFFECTS OF TIME‐VARYING PARAMETERS IN DSGE MODELS16 cited
  • 2016Equilibrium Yield Curves and the Interest Rate Lower Bound15 cited
  • 2023Back to the 1980s or Not? The Drivers of Inflation and Real Risks in Treasury Bonds15 cited