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Term Premium Dynamics and the Taylor Rule
16 references·0 citing·37 second hop
Term Premium Dynamics and the Taylor Rule (2009)Term Premium Dynamics and the Taylor RuleNo-Arbitrage Taylor Rules (2007)No-Arbitrage Taylor RulesArbitrage-Free Bond Pricing with Dynamic Macroeconomic Models (2007)Arbitrage-Free Bond Pricing w…New-Keynesian Macroeconomics and the Term Structure (2005)New-Keynesian Macroeconomics …A consumption-based model of the term structure of interest rates☆ (2005)A consumption-based model of …Term Structure Dynamics in Theory and Reality (2003)Term Structure Dynamics in Th…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…Expectation puzzles, time-varying risk premia, and affine models of the term structure (2002)Expectation puzzles, time-var…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…By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior (1995)By Force of Habit: A Consumpt…Discretion versus policy rules in practice (1993)Discretion versus policy rule…Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…Asset Prices under Habit Formation and Catching up with the Joneses (1990)Asset Prices under Habit Form…Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)Rules, discretion and reputation in a model of monetary policy (1983)Robustness properties of a rule for monetary policy (1988)Estimation and Inference of Impulse Responses by Local Projections (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Oil and the Macroeconomy since World War II (1983)Staggered Prices in a Utility-Maximizing Framework (1996)Monetary policy rules in practice (1998)Inflation dynamics: A structural econometric analysis (1999)The Science of Monetary Policy: A New Keynesian Perspective (1999)Monetary Policy and Exchange Rate Volatility in a Small Open Economy (2005)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Cointegration and Tests of Present Value Models (1987)The Information in Long-Maturity Forward Rates (1987)ARCH modeling in finance (1992)Dynamic Asset Pricing Theory. (1993)Introductory Econometrics for Finance (2008)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)Forecasting the Term Structure of Government Bond Yields (2003)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Staggered prices in a utility-maximizing framework (1983)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Prospect Theory and Asset Prices (2001)Understanding Risk and Return (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Bond Risk Premia (2005)Macro Factors in Bond Risk Premia (2009)
this work references cited by second hop

References

  • 1993Discretion versus policy rules in practice9,059 cited
  • 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
  • 1990Asset Prices under Habit Formation and Catching up with the Joneses2,021 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
  • 1995By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior1,579 cited
  • 1998Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory1,195 cited
  • 2002Expectation puzzles, time-varying risk premia, and affine models of the term structure754 cited
  • 2005A consumption-based model of the term structure of interest rates☆693 cited
  • 1999A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables543 cited
  • 2003Term Structure Dynamics in Theory and Reality367 cited
  • 2007No-Arbitrage Taylor Rules252 cited
  • 2005

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New-Keynesian Macroeconomics and the Term Structure
115 cited
  • 2007Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models72 cited
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