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Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
16 references·16 citing·34 second hopsampled
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Risk Premiums in Dynamic Term Structure M…The Aggregate Demand for Treasury Debt (2012)The Aggregate Demand for Trea…Why Has U.S. Inflation Become Harder to Forecast? (2007)Why Has U.S. Inflation Become…INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)INTEREST AND PRICES: FOUNDATI…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…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Has the Business Cycle Changed and Why? (2002)Has the Business Cycle Change…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…Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Monetary Policy Rules and Mac…The Science of Monetary Policy: A New Keynesian Perspective (1999)The Science of Monetary Polic…Monetary Policy Rules (1999)Monetary Policy RulesBy 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…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Asset Prices under Habit Formation and Catching up with the Joneses (1990)Asset Prices under Habit Form…Interest Rates under Falling Stars (2020)Interest Rates under Falling …Bond Risk Premiums with Machine Learning (2020)Bond Risk Premiums with Machi…Short-Rate Expectations and Unexpected Returns in Treasury Bonds (2018)Short-Rate Expectations and U…The cross-section and time series of stock and bond returns (2017)The cross-section and time se…Robust Bond Risk Premia (2017)Robust Bond Risk PremiaMONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS (2017)MONETARY POLICY UNCERTAINTY A…Monetary Policy Expectations at the Zero Lower Bound (2016)Monetary Policy Expectations …Decomposing real and nominal yield curves (2016)Decomposing real and nominal …Forecasting Inflation (2013)Forecasting InflationCountercyclical currency risk premia (2013)Countercyclical currency risk…The Term Structure of Interbank Risk (2012)The Term Structure of Interba…The term structure of inflation expectations (2012)The term structure of inflati…Correcting Estimation Bias in Dynamic Term Structure Models (2012)Correcting Estimation Bias in…Predictability of Returns and Cash Flows (2011)Predictability of Returns and…Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields (2010)Term Structure Models and the…A New Perspective on Gaussian Dynamic Term Structure Models (2010)A New Perspective on Gaussian…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)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)Staggered Prices in a Utility-Maximizing Framework (1996)Inflation dynamics: A structural econometric analysis (1999)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Trend Inflation, Indexation, and Inflation Persistence in the New Keynesian Phillips Curve (2008)Risk Matters: The Real Effects of Volatility Shocks (2011)Government Spending Multipliers in Good Times and in Bad: Evidence from US Historical Data (2017)Stochastic Differential Equations and Diffusion Processes (1983)Basel Committee On Banking Supervision (2010)Discretion versus policy rules in practice (1993)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Investor Psychology and Asset Pricing (2001)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)The Determinants of Credit Spread Changes (2001)Credit Spreads and Business Cycle Fluctuations (2012)Investor Psychology and Security Market Under‐ and Overreactions (1998)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 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
  • 1999The Science of Monetary Policy: A New Keynesian Perspective4,927 cited
  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1990Asset Prices under Habit Formation and Catching up with the Joneses2,021 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 2007Why Has U.S. Inflation Become Harder to Forecast?1,719 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 1999Monetary Policy Rules1,705 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 2012The Aggregate Demand for Treasury Debt1,591 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 2005Bond Risk Premia1,546 cited

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2002
Has the Business Cycle Changed and Why?
1,515 cited

Cited by

  • 2010A New Perspective on Gaussian Dynamic Term Structure Models544 cited
  • 2013Forecasting Inflation449 cited
  • 2020Bond Risk Premiums with Machine Learning416 cited
  • 2013Countercyclical currency risk premia360 cited
  • 2010Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields281 cited
  • 2012The term structure of inflation expectations255 cited
  • 2012Correcting Estimation Bias in Dynamic Term Structure Models230 cited
  • 2018Short-Rate Expectations and Unexpected Returns in Treasury Bonds224 cited
  • 2020Interest Rates under Falling Stars209 cited
  • 2011Predictability of Returns and Cash Flows199 cited
  • 2012The Term Structure of Interbank Risk193 cited
  • 2016Monetary Policy Expectations at the Zero Lower Bound176 cited
  • 2017Robust Bond Risk Premia175 cited
  • 2017The cross-section and time series of stock and bond returns171 cited
  • 2017MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS169 cited
  • 2016Decomposing real and nominal yield curves167 cited