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Examining the Bond Premium Puzzle with a DSGE Model
16 references·16 citing·41 second hopsampled
Examining the Bond Premium Puzzle with a DSGE Model (2008)Examining the Bond Premium Puzzle with a …Real Wage Rigidities and the New Keynesian Model (2007)Real Wage Rigidities and the …INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)INTEREST AND PRICES: FOUNDATI…A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2001)Nominal Rigidities and the Dy…Habit Persistence, Asset Returns, and the Business Cycle (2001)Habit Persistence, Asset Retu…Optimal monetary policy with staggered wage and price contracts (2000)Optimal monetary policy with …By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Asset pricing in production economies (1998)Asset pricing in production e…Staggered Prices in a Utility-Maximizing Framework (1996)Staggered Prices in a Utility…Asset Pricing with Heterogeneous Consumers (1996)Asset Pricing with Heterogene…By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior (1995)By Force of Habit: A Consumpt…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …The equity premium: A puzzle (1985)The equity premium: A puzzleIndivisible labor and the business cycle (1985)Indivisible labor and the bus…Staggered prices in a utility-maximizing framework (1983)Staggered prices in a utility…Aggregate Dynamics and Staggered Contracts (1980)Aggregate Dynamics and Stagge…Estimating DSGE models with zero interest rate policy (2017)Estimating DSGE models with z…Public Debt and Changing Inflation Targets (2016)Public Debt and Changing Infl…Merging simulation and projection approaches to solve high-dimensional problems with an application to a new Keynesian model (2015)Merging simulation and projec…Nominal rigidities, asset returns, and monetary policy (2014)Nominal rigidities, asset ret…Yield Curve Modeling and Forecasting (2013)Yield Curve Modeling and Fore…Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach (2012)Yield Curve Modeling and Fore…The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks (2012)The Bond Premium in a DSGE Mo…Risk Aversion and the Labor Margin in Dynamic Equilibrium Models (2012)Risk Aversion and the Labor M…Liquidity, Term Spreads and Monetary Policy (2012)Liquidity, Term Spreads and M…Inflation ambiguity and the term structure of U.S. Government bonds (2012)Inflation ambiguity and the t…An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia (2012)An estimated DSGE model: Expl…MACRO‐FINANCE MODELS OF INTEREST RATES AND THE ECONOMY (2010)MACRO‐FINANCE MODELS OF INTER…The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks (2009)The Bond Premium in a DSGE Mo…Extracting inflation expectations and inflation risk premia from the term structure: A joint model of the UK nominal and real yield curves (2009)Extracting inflation expectat…A structural decomposition of the US yield curve (2009)A structural decomposition of…Explaining Asset Prices with External Habits and Wage Rigidities in a DSGE Model (2007)Explaining Asset Prices with …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)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)Discretion versus policy rules in practice (1993)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)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)The General Theory of Employment, Interest, and Money (2018)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Inflation and Costs of Price Adjustment (1977)Behavioral Macroeconomics and Macroeconomic Behavior (2002)Employment Fluctuations with Equilibrium Wage Stickiness (2005)Unemployment Fluctuations with Staggered Nash Wage Bargaining (2009)Some International Evidence on Output-Inflation Tradeoffs. (1973)Technical Change and the Aggregate Production Function (1957)Time to Build and Aggregate Fluctuations (1982)Recursive Methods in Economic Dynamics (1989)Job Turnover and Policy Evaluation: A General Equilibrium Analysis (1993)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)A Unified Framework for Monetary Theory and Policy Analysis (2005)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)An Intertemporal Capital Asset Pricing Model (1973)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)An equilibrium characterization of the term structure (1977)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)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)The Science of Monetary Policy: A New Keynesian Perspective (1999)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)
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References

  • 1983Staggered prices in a utility-maximizing framework7,892 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 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
  • 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
  • 1980Aggregate Dynamics and Staggered Contracts2,464 cited
  • 2000Optimal monetary policy with staggered wage and price contracts2,281 cited
  • 1985Indivisible labor and the business cycle2,011 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 1995By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior1,527 cited
  • 2001Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy1,448 cited
  • 1996Asset Pricing with Heterogeneous Consumers1,197 cited
  • 2007Real Wage Rigidities and the New Keynesian Model1,128 cited
  • 1998Asset pricing in production economies

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1,083 cited
  • 2001Habit Persistence, Asset Returns, and the Business Cycle1,049 cited
  • Cited by

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    • 2009Extracting inflation expectations and inflation risk premia from the term structure: A joint model of the UK nominal and real yield curves124 cited
    • 2009A structural decomposition of the US yield curve104 cited
    • 2015Merging simulation and projection approaches to solve high-dimensional problems with an application to a new Keynesian model94 cited
    • 2012Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach91 cited
    • 2017Estimating DSGE models with zero interest rate policy86 cited
    • 2012An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia75 cited
    • 2012Inflation ambiguity and the term structure of U.S. Government bonds75 cited
    • 2014Nominal rigidities, asset returns, and monetary policy71 cited
    • 2013Yield Curve Modeling and Forecasting66 cited
    • 2016Public Debt and Changing Inflation Targets64 cited
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