Advanced Search
MyIDEAS: Login

Citations for "Examining the bond premium puzzle with a DSGE model"

by Rudebusch, Glenn D. & Swanson, Eric T.

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. Andreasen, Martin, 2011. "An estimated DSGE model: explaining variation in term premia," Bank of England working papers 441, Bank of England.
  2. Taeyoung Doh, 2009. "Yield curve in an estimated nonlinear macro model," Research Working Paper RWP 09-04, Federal Reserve Bank of Kansas City.
  3. Jonathan H. Wright, 2011. "Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset," American Economic Review, American Economic Association, vol. 101(4), pages 1514-34, June.
  4. 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.
  5. François Gourio, 2013. "Credit Risk and Disaster Risk," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 1-34, July.
  6. Christoffel, Kai & Jaccard, Ivan & Kilponen, Juha, 2011. "Government bond risk premia and the cyclicality of fiscal policy," Working Paper Series 1411, European Central Bank.
  7. De Graeve, Ferre & Dossche, Maarten & Emiris, Marina & Sneessens, Henri & Wouters, Raf, 2010. "Risk premiums and macroeconomic dynamics in a heterogeneous agent model," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1680-1699, September.
  8. Glenn D. Rudebusch & Eric T. Swanson, 2008. "The bond premium in a DSGE model with long-run real and nominal risks," Working Paper Research 143, National Bank of Belgium.
  9. Christopher Otrok & Andre Kurmann, 2011. "News Shocks and the Term Structure of Interest Rates: A Challenge for DSGE Models," 2011 Meeting Papers 426, Society for Economic Dynamics.
  10. repec:spo:wpecon:info:hdl:2441/eo6779thqgm5r489m363974qg is not listed on IDEAS
  11. Francois Gourio, 2012. "Disaster Risk and Business Cycles," American Economic Review, American Economic Association, vol. 102(6), pages 2734-66, October.
  12. Andrew Foerster & Juan Rubio-Ramírez & Daniel F. Waggoner & Tao Zha, 2014. "Perturbation Methods for Markov-Switching DSGE Models," NBER Working Papers 20390, National Bureau of Economic Research, Inc.
  13. Krause, Michael U. & Moyen, Stéphane, 2013. "Public debt and changing inflation targets," Discussion Papers 06/2013, Deutsche Bundesbank, Research Centre.
  14. Urban Jermann, 2013. "A Production-Based Model for the Term Structure," NBER Working Papers 18774, National Bureau of Economic Research, Inc.
  15. André Kurmann & Christopher Otrok, 2012. "News shocks and the slope of the term structure of interest rates," Working Papers 2012-011, Federal Reserve Bank of St. Louis.
  16. Philippe Mueller & Mikhail Chernov, 2008. "The Term Structure of Inflation Expectations," 2008 Meeting Papers 346, Society for Economic Dynamics.
  17. Hatcher, Michael C., 2011. "Comparing inflation and price-level targeting: A comprehensive review of the literature," Cardiff Economics Working Papers E2011/22, Cardiff University, Cardiff Business School, Economics Section.
  18. Hatcher, Michael, 2011. "Time-varying volatility, precautionary saving and monetary policy," Bank of England working papers 440, Bank of England.
  19. Gürkaynak, Refet S. & Wright, Jonathan, 2010. "Macroeconomics and the Term Structure," CEPR Discussion Papers 8018, C.E.P.R. Discussion Papers.
  20. Caroline JARDET & Alain MONFORT & Fulvio PEGORARO, 2011. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working Papers 2011-03, Centre de Recherche en Economie et Statistique.
  21. Paolo Zagaglia, 2011. "Forecasting Long-Term Interest Rates with a Dynamic General Equilibrium Model of the Euro Area: The Role of the Feedback," Working Paper Series 19_11, The Rimini Centre for Economic Analysis.
  22. Mehmet Pasaogullari & Simeon Tsonevy, 2011. "The term structure of inflation compensation in the nominal yield curve," Working Paper 1133, Federal Reserve Bank of Cleveland.
  23. Michael Hatcher, 2013. "The inflation risk premium on government debt in an overlapping generations model," Working Papers 2013_17, Business School - Economics, University of Glasgow.
  24. Gildas Lamé, 2013. "Was there a "Greenspan conundrum" in the Euro Area ?," Working Papers 2013-07, Centre de Recherche en Economie et Statistique.
  25. Jermann, Urban J., 2013. "A production-based model for the term structure," Journal of Financial Economics, Elsevier, vol. 109(2), pages 293-306.
  26. Glenn D. Rudebusch, 2010. "Macro-finance models of interest rates and the economy," Working Paper Series 2010-01, Federal Reserve Bank of San Francisco.
  27. Eric Swanson, 2010. "Risk Aversion, the Labor Margin, and Asset Pricing in DSGE Models," 2010 Meeting Papers 138, Society for Economic Dynamics.
  28. Christoffel, Kai & Jaccard, Ivan & Kilponen, Juha, 2013. "Welfare and bond pricing implications of fiscal stabilization policies," Research Discussion Papers 32/2013, Bank of Finland.
  29. Eric Swanson, 2013. "Implications of Labor Market Frictions for Risk Aversion and Risk Premia," 2013 Meeting Papers 1137, Society for Economic Dynamics.
  30. Marian Vavra, 2013. "Testing for linear and Markov switching DSGE models," Working and Discussion Papers WP 3/2013, Research Department, National Bank of Slovakia.
  31. De Graeve, Ferre & Emiris, Marina & Wouters, Raf, 2009. "A structural decomposition of the US yield curve," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 545-559, May.
  32. De Paoli, Bianca & Zabczyk, Pawel, 2011. "Cyclical risk aversion, precautionary saving and monetary policy," Bank of England working papers 418, Bank of England.
  33. Oreste Tristani & Gianni Amisano, 2010. "A nonlinear DSGE model of the term structure with regime shifts," 2010 Meeting Papers 234, Society for Economic Dynamics.
  34. Marian Vavra, 2013. "Testing for non-linearity in multivariate stochastic processes," Working and Discussion Papers WP 2/2013, Research Department, National Bank of Slovakia.
  35. Marlène Isore, 2012. "Essays in macro-finance," Sciences Po publications info:hdl:2441/eo6779thqgm, Sciences Po.
  36. 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.
  37. Felix Geiger, 2009. "International Interest-Rate Risk Premia in Affine Term Structure Models," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 316/2009, Department of Economics, University of Hohenheim, Germany.
  38. Kliem, Martin & Uhlig, Harald, 2013. "Bayesian estimation of a DSGE model with asset prices," Discussion Papers 37/2013, Deutsche Bundesbank, Research Centre.
  39. Ivan Jaccard, 2007. "Asset Pricing, Habit Memory, and the Labor Market," Swiss Finance Institute Research Paper Series 07-23, Swiss Finance Institute, revised Nov 2007.
  40. Hatcher, Michael C., 2011. "Inflation versus price-level targeting and the zero lower bound: Stochastic simulations from the Smets-Wouters US model," Cardiff Economics Working Papers E2011/24, Cardiff University, Cardiff Business School, Economics Section.
  41. Eric Swanson & Glenn Rudebusch, 2008. "Long-Run Inflation Risk and the Postwar Term Premium," 2008 Meeting Papers 988, Society for Economic Dynamics.
  42. Ulrich, Maxim, 2013. "Inflation ambiguity and the term structure of U.S. Government bonds," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 295-309.
  43. Mirko Abbritti & Salvatore Dell'Erba & Antonio Moreno & Sergio Sola, 2013. "Global Factors in the Term Structure of Interest Rates," IMF Working Papers 13/223, International Monetary Fund.
  44. Martin Møller Andreasen, 2008. "Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model," CREATES Research Papers 2008-43, School of Economics and Management, University of Aarhus.
  45. Francisco Palomino, 2012. "Bond Risk Premiums and Optimal Monetary Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(1), pages 19-40, January.
  46. M. Falagiarda & M. Marzo, 2012. "A DSGE model with Endogenous Term Structure," Working Papers wp830, Dipartimento Scienze Economiche, Universita' di Bologna.
  47. Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.
  48. Zagaglia, Paolo, 2009. "Forecasting with a DSGE Model of the term Structure of Interest Rates: The Role of the Feedback," Research Papers in Economics 2009:14, Stockholm University, Department of Economics.