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A consumption-based model of the term structure of interest rates

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Wachter, Jessica A.
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File URL: http://www.sciencedirect.com/science/article/B6VBX-4H0S77J-1/2/dc6f1b2ae7e40c981895e652b9247d09
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 79 (2006)
Issue (Month): 2 (February)
Pages: 365-399
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Handle: RePEc:eee:jfinec:v:79:y:2006:i:2:p:365-399

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  2. Alexander L. Wolman, 2006. "Bond price premiums," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 317-336. [Downloadable!]
  3. Adrien Verdelhan, 2006. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Boston University - Department of Economics - Macroeconomics Working Papers Series WP2006-047, Boston University - Department of Economics. [Downloadable!]
  4. Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2007. "Investor Information, Long-Run Risk, and the Duration of Risky Cash-Flows," NBER Working Papers 12912, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  5. Hanno Lustig, . "The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models," UCLA Economics Online Papers 420, UCLA Department of Economics. [Downloadable!]
  6. Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2007. "Ambiguity Aversion and the Term Structure of Interest Rates," University of St. Gallen Department of Economics working paper series 2007 2007-29, Department of Economics, University of St. Gallen. [Downloadable!]
  7. Glenn D. Rudebusch & Brian P. Sack & Eric T. Swanson, 2007. "Macroeconomic implications of changes in the term premium," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 241-270. [Downloadable!]
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  8. Xavier Gabaix, 2008. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," NBER Working Papers 13724, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  9. Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2007. "The determinants of stock and bond return comovements," Research series 200711-27, National Bank of Belgium. [Downloadable!]
  10. Monika Piazzesi & Martin Schneider, 2008. "Bond positions, expectations, and the yield curve," Working Paper 2008-02, Federal Reserve Bank of Atlanta. [Downloadable!]
  11. Hasseltoft, Henrik, 2007. "The Long-run Risk Model: Dynamics and Cyclicality of Interest Rates," SIFR Research Report Series 58, Swedish Institute for Financial Research. [Downloadable!]
  12. Manuel Gómez, 2007. "Equilibrium Efficiency in the Ramsey Model with Habit Formation," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(2), pages 1410-1410. [Downloadable!] (restricted)
  13. Jonathan H. Wright, 2008. "Term premiums and inflation uncertainty: empirical evidence from an international panel dataset," Finance and Economics Discussion Series 2008-25, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  14. Møller, Stig Vinther, 2008. "Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns," Finance Research Group Working Papers F-2008-04, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
  15. Glenn D. Rudebusch & Eric T. Swanson, 2007. "Examining the bond premium puzzle with a DSGE model," Working Paper Series 2007-25, Federal Reserve Bank of San Francisco. [Downloadable!]
  16. Christophe Chamley, 2006. "Complementarities in information acquisition with short-term trades," Boston University - Department of Economics - Working Papers Series WP2006-042, Boston University - Department of Economics. [Downloadable!]
  17. Monic Jiayin Sun, 2007. "Disclosing Multiple Product Attributes," Boston University - Department of Economics - Working Papers Series WP2007-031, Boston University - Department of Economics. [Downloadable!]
  18. Wei Xiong & Hongjun Yan, 2006. "Heterogeneous Expectations and Bond Markets," NBER Working Papers 12781, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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