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The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences
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References

  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 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
  • 1998Numerical Methods in Economics2,587 cited
  • 2004Interest and Prices2,583 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
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  • 1991Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis1,703 cited
  • 1989A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration1,641 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models

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1,581 cited
  • 1988Intertemporal Substitution in Consumption1,567 cited
  • Cited by

    • 2017Risk aversion, risk premia, and the labor margin with generalized recursive preferences59 cited
    • 2021Why Does Risk Matter More in Recessions than in Expansions?9 cited