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Citations for "The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks"

by Glenn D. Rudebusch & Eric T. Swanson

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  1. Gianluca Benigno & Pierpaolo Benigno & Salvatore Nistico, 2011. "Second-Order Approximation of Dynamic Models with Time-Varying Risk," FMG Discussion Papers dp677, Financial Markets Group.
  2. Yunus Aksoy & Henrique S. Basso, 2012. "Liquidity, Term Spreads and Monetary Policy," CESifo Working Paper Series 3988, CESifo Group Munich.
  3. Michael Hatcher, 2013. "Indexed versus nominal government debt under inflation and price-level targeting," Working Papers 2013_11, Business School - Economics, University of Glasgow.
  4. Hatcher, Michael, 2013. "The Inflation Risk Premium on Government Debt in an Overlapping Generations Model," SIRE Discussion Papers 2013-81, Scottish Institute for Research in Economics (SIRE).
  5. Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.
  6. Maral Shamloo & Aytek Malkhozov, 2010. "Asset Prices in a News Driven Real Business Cycle Model," 2010 Meeting Papers 546, Society for Economic Dynamics.
  7. Kaszab, Lorant & Marsal, Ales, 2013. "Fiscal Policy and the Nominal Term Premium," Cardiff Economics Working Papers E2013/13, Cardiff University, Cardiff Business School, Economics Section.
  8. François Gourio, 2009. "Disasters Risk and Business Cycles," NBER Working Papers 15399, National Bureau of Economic Research, Inc.
  9. Harald Uhlig, 2010. "Easy EZ in DSGE," 2010 Meeting Papers 111, Society for Economic Dynamics.
  10. Andreasen, Martin, 2011. "An estimated DSGE model: explaining variation in term premia," Bank of England working papers 441, Bank of England.
  11. Andreasen, Martin M., 2012. "An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia," European Economic Review, Elsevier, vol. 56(8), pages 1656-1674.
  12. Fernández-Villaverde, Jesús & Koijen, Ralph & Rubio-Ramírez, Juan Francisco & van Binsbergen, Jules H., 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," CEPR Discussion Papers 7781, C.E.P.R. Discussion Papers.
  13. Gourio, François, 2011. "Credit Risk and Disaster Risk," CEPR Discussion Papers 8201, C.E.P.R. Discussion Papers.
  14. Andreasen, Martin M. & Fernández-Villaverde, Jesús & Rubio-Ramírez, Juan Francisco, 2013. "The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications," CEPR Discussion Papers 9442, C.E.P.R. Discussion Papers.
  15. Christoffel, Kai & Jaccard, Ivan & Kilponen, Juha, 2013. "Welfare and bond pricing implications of fiscal stabilization policies," Research Discussion Papers 32/2013, Bank of Finland.
  16. Hall, Jamie, 2012. "Consumption dynamics in general equilibrium," MPRA Paper 43933, University Library of Munich, Germany.
  17. Eric T. Swanson, 2013. "Implications of labor market frictions for risk aversion and risk premia," Working Paper Series 2013-30, Federal Reserve Bank of San Francisco.
  18. Christoffel, Kai & Jaccard, Ivan & Kilponen, Juha, 2011. "Government bond risk premia and the cyclicality of fiscal policy," Working Paper Series 1411, European Central Bank.
  19. Bidder, R.M. & Smith, M.E., 2012. "Robust animal spirits," Journal of Monetary Economics, Elsevier, vol. 59(8), pages 738-750.
  20. Philippe Mueller & Mikhail Chernov, 2008. "The Term Structure of Inflation Expectations," 2008 Meeting Papers 346, Society for Economic Dynamics.
  21. Lorenzo Menna & Patrizio Tirelli, 2014. "The Equity Premium in a DSGE Model with Limited Asset Market Participation," Working Papers 275, University of Milano-Bicocca, Department of Economics, revised Jun 2014.
  22. Francisco Ruge-Murcia, 2012. "Skewness Risk and Bond Prices," Cahiers de recherche 17-2012, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  23. John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2014. "Monetary Policy Drivers of Bond and Equity Risks," NBER Working Papers 20070, National Bureau of Economic Research, Inc.
  24. Refet S. G�rkaynak & Jonathan H. Wright, 2012. "Macroeconomics and the Term Structure," Journal of Economic Literature, American Economic Association, vol. 50(2), pages 331-67, June.
  25. M. Falagiarda & M. Marzo, 2012. "A DSGE model with Endogenous Term Structure," Working Papers wp830, Dipartimento Scienze Economiche, Universita' di Bologna.
  26. Ferre de Graeve & Maarten Dossche & Marina Emiris & Henri Sneessens & Raf Wouters, 2009. "Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model," CREA Discussion Paper Series 09-17, Center for Research in Economic Analysis, University of Luxembourg.
  27. Andrei Zlate & Federico Mandelman, 2013. "Offshoring, Low-skilled Immigration and Labor Market Polarization," 2013 Meeting Papers 1073, Society for Economic Dynamics.
  28. Jardet, Caroline & Monfort, Alain & Pegoraro, Fulvio, 2013. "No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 389-402.
  29. Lan, Hong & Meyer-Gohde, Alexander, 2012. "Existence and Uniqueness of Perturbation Solutions in DSGE Models," Dynare Working Papers 14, CEPREMAP.
  30. Jens H. E. Christensen & Glenn D. Rudebusch, 2012. "The Response of Interest Rates to US and UK Quantitative Easing," Economic Journal, Royal Economic Society, vol. 122(564), pages F385-F414, November.
  31. Kliem, Martin & Uhlig, Harald, 2013. "Bayesian estimation of a DSGE model with asset prices," Discussion Papers 37/2013, Deutsche Bundesbank, Research Centre.
  32. Challe, E. & Giannitsarou, C., 2011. "Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach," Working papers 330, Banque de France.
  33. Martin Andreasen, 2012. "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(3), pages 295-316, July.
  34. Tomas Havranek & Roman Horvath & Zuzana Irsova & Marek Rusnak, 2013. "Cross-Country Heterogeneity in Intertemporal Substitution," William Davidson Institute Working Papers Series wp1056, William Davidson Institute at the University of Michigan.
  35. Peter N. Ireland, 2014. "Monetary Policy, Bond Risk Premia, and the Economy," Boston College Working Papers in Economics 852, Boston College Department of Economics.
  36. Tomas Havranek, 2013. "Publication Bias in Measuring Intertemporal Substitution," Working Papers IES 2013/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2013.
  37. Ferman, Marcelo, 2011. "Switching Monetary Policy Regimes and the Nominal Term Structure," Dynare Working Papers 5, CEPREMAP.
  38. Paries, Matthieu Darraq & Faia, Ester & Palenzuela, Diego Rodriguez, 2013. "Bank and sovereign debt risk," SAFE Working Paper Series 7, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  39. Francisco Palomino & Alex Hsu, 2013. "What do Nominal Rigidities and Monetary Policy tell us about the Real Yield Curve?," 2013 Meeting Papers 50, Society for Economic Dynamics.
  40. Gregory R. Duffee, 2012. "Bond pricing and the macroeconomy," Economics Working Paper Archive 598, The Johns Hopkins University,Department of Economics.
  41. Oreste Tristani & Gianni Amisano, 2010. "A nonlinear DSGE model of the term structure with regime shifts," 2010 Meeting Papers 234, Society for Economic Dynamics.
  42. Gourio, François, 2012. "Macroeconomic implications of time-varying risk premia," Working Paper Series 1463, European Central Bank.