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The U.S. Public Debt Valuation Puzzle
16 references·3 citing·50 second hop
The U.S. Public Debt Valuation Puzzle (2019)The U.S. Public Debt Valuation PuzzleVariable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Variable Rare Disasters: An E…The Aggregate Demand for Treasury Debt (2012)The Aggregate Demand for Trea…The Determinants of Stock and Bond Return Comovements (2010)The Determinants of Stock and…The Flight‐to‐Liquidity Premium in U.S. Treasury Bond Prices (2004)The Flight‐to‐Liquidity Premi…A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…The Behavior of U. S. Public Debt and Deficits (1998)The Behavior of U. S. Public …Rational Asset Pricing Bubbles (1997)Rational Asset Pricing BubblesA YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Understanding Risk and Return (1993)Understanding Risk and ReturnThe Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …On the Possibility of Speculation under Rational Expectations (1982)On the Possibility of Specula…Information, trade and common knowledge (1982)Information, trade and common…Bubbles, Rational Expectations and Financial Markets (1982)Bubbles, Rational Expectation…The Present-Value Relation: Tests Based on Implied Variance Bounds (1981)The Present-Value Relation: T…An Exact Consumption-Loan Model of Interest with or without the Social Contrivance of Money (1958)An Exact Consumption-Loan Mod…Presidential Address: Macrofinance and Resilience (2024)Presidential Address: Macrofi…The Macroeconomic Implications of US Market Power in Safe Assets (2022)The Macroeconomic Implication…A Goldilocks Theory of Fiscal Deficits (2022)A Goldilocks Theory of Fiscal…Agreeing to Disagree (1976)The Private and Social Value of Information and the Reward to Inventive Activity (1978)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Herd Behavior and Investment (1988)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Asset Prices in an Exchange Economy (1978)Efficient Capital Markets: II (1991)Mental Accounting, Loss Aversion, and Individual Stock Returns (2001)The Dog That Did Not Bark: A Defense of Return Predictability (2007)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)On the Determination of the Public Debt (1979)The American Business Cycle (1986)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Are stationarity and cointegration restrictions really necessary for the intertemporal budget constraint? (2006)Fiscal Fatigue, Fiscal Space and Debt Sustainability in Advanced Economies (2013)Public debt and growth: Heterogeneity and non-linearity (2015)Are Government Bonds Net Wealth? (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Modeling Term Structures of Defaultable Bonds (1999)A Macroprudential Approach to Financial Regulation (2011)Monetary Policy as Financial Stability Regulation (2012)The Deposits Channel of Monetary Policy* (2017)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)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The arbitrage theory of capital asset pricing (1976)Macroeconomics and Reality (1980)The Conditional CAPM and the Cross-Section of Expected Returns (1996)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)… and the Cross-Section of Expected Returns (2015)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)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)Stochastic Differential Equations and Diffusion Processes (1983)Term Premia and Interest Rate Forecasts in Affine Models (2002)Basel Committee On Banking Supervision (2010)Social Security, Induced Retirement, and Aggregate Capital Accumulation (1974)Noise Trader Risk in Financial Markets (1990)Asset pricing with liquidity risk (2005)
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References

  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1958An Exact Consumption-Loan Model of Interest with or without the Social Contrivance of Money3,538 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1993Understanding Risk and Return1,797 cited
  • 1982Information, trade and common knowledge1,738 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 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
  • 1998The Behavior of U. S. Public Debt and Deficits1,579 cited
  • 1981The Present-Value Relation: Tests Based on Implied Variance Bounds1,364 cited
  • 1982Bubbles, Rational Expectations and Financial Markets1,130 cited
  • 2012Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *1,059 cited
  • 1982On the Possibility of Speculation under Rational Expectations959 cited
  • 1997Rational Asset Pricing Bubbles566 cited
  • 2004The Flight‐to‐Liquidity Premium in U.S. Treasury Bond Prices561 cited

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  • 2010The Determinants of Stock and Bond Return Comovements533 cited
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    • 2022A Goldilocks Theory of Fiscal Deficits75 cited
    • 2024Presidential Address: Macrofinance and Resilience26 cited
    • 2022The Macroeconomic Implications of US Market Power in Safe Assets26 cited