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Fiscal policy driven bond risk premia
16 references·3 citing·40 second hop
Fiscal policy driven bond risk premia (2020)Fiscal policy driven bond risk premiaPolitical uncertainty and risk premia (2013)Political uncertainty and ris…Uncertainty about Government Policy and Stock Prices (2012)Uncertainty about Government …When Is the Government Spending Multiplier Large? (2011)When Is the Government Spendi…Understanding the Effects of Government Spending on Consumption (2007)Understanding the Effects of …Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Shocks and Frictions in US Bu…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…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…Staggered Prices in a Utility-Maximizing Framework (1996)Staggered Prices in a Utility…On the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Staggered prices in a utility-maximizing framework (1983)Staggered prices in a utility…Are Government Bonds Net Wealth? (1974)Are Government Bonds Net Weal…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The Real Response to Uncertainty Shocks: The Risk Premium Channel (2022)The Real Response to Uncertai…Volatility in International Sovereign Bond Markets: The Role of Government Policy Responses to the COVID-19 Pandemic (2020)Volatility in International S…Public finance management system in modern conditions (2020)Public finance management sys…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)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Inflation and Costs of Price Adjustment (1977)Aggregate Dynamics and Staggered Contracts (1980)Behavioral Macroeconomics and Macroeconomic Behavior (2002)Employment Fluctuations with Equilibrium Wage Stickiness (2005)Unemployment Fluctuations with Staggered Nash Wage Bargaining (2009)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)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)Inflation dynamics: A structural econometric analysis (1999)The Science of Monetary Policy: A New Keynesian Perspective (1999)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Discretion versus policy rules in practice (1993)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)A model of unconventional monetary policy (2010)Financial Intermediation and Credit Policy in Business Cycle Analysis (2010)Protection For Sale (1992)Distributive Politics and Economic Growth (1994)Policy Uncertainty and Corporate Investment (2015)The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)Carbon Tail Risk (2018)An Economic Theory of Democracy. (1958)The Impact of Uncertainty Shocks (2009)On the private provision of public goods (1986)Giving with Impure Altruism: Applications to Charity and Ricardian Equivalence (1989)Nobel Lecture: The Economic Way of Looking at Behavior (1993)
this work references cited by second hop

References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1983Staggered prices in a utility-maximizing framework7,892 cited
  • 1974Are Government Bonds Net Wealth?5,990 cited
  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
  • 2007Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach4,628 cited
  • 1996Staggered Prices in a Utility-Maximizing Framework4,369 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
  • 2013Political uncertainty and risk premia2,375 cited
  • 2012Uncertainty about Government Policy and Stock Prices2,327 cited
  • 2007Understanding the Effects of Government Spending on Consumption1,923 cited
  • 2011When Is the Government Spending Multiplier Large?1,839 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
  • 1992On the Estimation of Beta-Pricing Models

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1,615 cited
  • 2005Bond Risk Premia1,546 cited
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    • 2020Public finance management system in modern conditions19 cited