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Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models
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Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models (2007)Arbitrage-Free Bond Pricing with Dynamic …Consumption Strikes Back? Measuring Long‐Run Risk (2008)Consumption Strikes Back? Mea…A Macro‐Finance Model of the Term Structure, Monetary Policy and the Economy (2008)A Macro‐Finance Model of the …Equilibrium Yield Curves (2006)Equilibrium Yield CurvesBond Yields and the Federal Reserve (2005)Bond Yields and the Federal R…A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…Affine Term Structure Models and the Forward Premium Anomaly (2001)Affine Term Structure Models …Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Monetary Policy Rules and Mac…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables (1999)A No-Arbitrage Vector Autoreg…Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory (1998)Monetary Policy Rules and Mac…Monetary policy and the term structure of nominal interest rates: Evidence and theory (1998)Monetary policy and the term …The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank (1997)The predictive power of the t…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior (1995)By Force of Habit: A Consumpt…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …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)Investor Psychology and Asset Pricing (2001)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)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)Dynamic Asset Pricing Theory. (1993)The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk (2007)Do Peso Problems Explain the Returns to the Carry Trade? (2010)A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets (2012)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure (2010)Market Expectations in the Cross‐Section of Present Values (2013)Disaster on the horizon: The price effect of sea level rise (2019)Staggered Prices in a Utility-Maximizing Framework (1996)Inflation dynamics: A structural econometric analysis (1999)Inflation targeting as a monetary policy rule (1999)The Science of Monetary Policy: A New Keynesian Perspective (1999)Monetary Policy and Asset Price Volatility (2000)Monetary Policy and Exchange Rate Volatility in a Small Open Economy (2002)Discretion versus policy rules in practice (1993)A consumption-based model of the term structure of interest rates☆ (2005)Bond Risk Premia (2005)Macro Factors in Bond Risk Premia (2009)The Econometrics of Financial Markets (2012)Asymmetric Volatility and Risk in Equity Markets (2000)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)
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References

  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 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
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 1995By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior1,527 cited
  • 1998Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory1,166 cited
  • 2008Consumption Strikes Back? Measuring Long‐Run Risk753 cited
  • 2001Affine Term Structure Models and the Forward Premium Anomaly594 cited
  • 2005Bond Yields and the Federal Reserve557 cited
  • 2008A Macro‐Finance Model of the Term Structure, Monetary Policy and the Economy556 cited
  • 1999A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables543 cited
  • 1997The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank

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537 cited
  • 2006Equilibrium Yield Curves306 cited
  • 1998Monetary policy and the term structure of nominal interest rates: Evidence and theory291 cited
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