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Risk Premia at the ZLB: a macroeconomic interpretation
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Cited by:
- Jung, Kuk Mo & Pyun, Ju Hyun, 2023. "A long-run approach to money, unemployment, and equity prices," Economic Modelling, Elsevier, vol. 125(C).
- Alexandre Corhay & Thilo Kind & Howard Kung & Gonzalo Morales, 2021. "Discount Rates, Debt Maturity, and the Fiscal Theory," Staff Working Papers 21-58, Bank of Canada.
- Pflueger, Carolin & Rinaldi, Gianluca, 2022. "Why does the Fed move markets so much? A model of monetary policy and time-varying risk aversion," Journal of Financial Economics, Elsevier, vol. 146(1), pages 71-89.
- François Gourio & Phuong Ngo, 2024. "Downward Nominal Rigidities and Bond Premia," Working Paper Series WP 2024-09, Federal Reserve Bank of Chicago.
- Robert A. Connolly & Chris Stivers & Licheng Sun, 2022. "Stock returns and inflation shocks in weaker economic times," Financial Management, Financial Management Association International, vol. 51(3), pages 827-867, September.
- Marx, Magali & Mojon, Benoît & Velde, François R., 2021.
"Why have interest rates fallen far below the return on capital?,"
Journal of Monetary Economics, Elsevier, vol. 124(S), pages 57-76.
- M. Marx & B. Mojon & F. Velde, 2017. "Why Have Interest Rates Fallen far Below the Return on Capital," Working papers 630, Banque de France.
- Magali Marx & Benoit Mojon & Francois R. Velde, 2018. "Why Have Interest Rates Fallen Far Below the Return on Capital," Working Paper Series WP-2018-1, Federal Reserve Bank of Chicago.
- Magali Marx & Benoit Mojon & François R. Velde, 2019. "Why have interest rates fallen far below the return on capital," BIS Working Papers 794, Bank for International Settlements.
- Ricardo Lagos & Shengxing Zhang, 2019.
"A Monetary Model of Bilateral Over-the-Counter Markets,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 205-227, July.
- Ricardo Lagos & Shengxing Zhang, 2018. "A Monetary Model of Bilateral Over-the-Counter Markets," NBER Working Papers 25239, National Bureau of Economic Research, Inc.
- Boons, Martijn & Duarte, Fernando & de Roon, Frans & Szymanowska, Marta, 2020.
"Time-varying inflation risk and stock returns,"
Journal of Financial Economics, Elsevier, vol. 136(2), pages 444-470.
- Martijn Boons & Frans de Roon & Fernando M. Duarte & Marta Szymanowska, 2013. "Time-Varying Inflation Risk and Stock Returns," Staff Reports 621, Federal Reserve Bank of New York.
- Marcello Pericoli & Marco Taboga, 2022.
"Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models [Pricing the Term Structure with Linear Regressions],"
Journal of Financial Econometrics, Oxford University Press, vol. 20(5), pages 807-838.
- Marcello Pericoli & Marco Taboga, 2018. "Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models," Temi di discussione (Economic working papers) 1189, Bank of Italy, Economic Research and International Relations Area.
- Deepa D. Datta & Benjamin K. Johannsen & Hannah Kwon & Robert J. Vigfusson, 2021.
"Oil, Equities, and the Zero Lower Bound,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 13(2), pages 214-253, April.
- Deepa Datta & Benjamin K Johannsen & Hannah Kwon & Robert J Vigfusson, 2017. "Oil, equities, and the zero lower bound," BIS Working Papers 617, Bank for International Settlements.
- Deepa Dhume Datta & Benjamin K. Johannsen & Hannah Kwon & Robert J. Vigfusson, 2018. "Oil, Equities, and the Zero Lower Bound," Finance and Economics Discussion Series 2018-058, Board of Governors of the Federal Reserve System (U.S.).
- Mitsuru Katagiri, 2018. "Equilibrium Yield Curve, the Phillips Curve, and Monetary Policy," IMF Working Papers 2018/242, International Monetary Fund.
- Taisuke Nakata & Hiroatsu Tanaka, 2020. "Equilibrium Yield Curves and the Interest Rate Lower Bound," CARF F-Series CARF-F-482, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Gadi Barlevy, 2022. "On Speculative Frenzies and Stabilization Policy," Working Paper Series WP 2022-35, Federal Reserve Bank of Chicago.
- Abraham Lioui & Andrea Tarelli, 2023. "Money Illusion and TIPS Demand," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(1), pages 171-214, February.
- Lorenzo Bretscher & Alex Hsu & Andrea Tamoni, 2017. "Level and Volatility Shocks to Fiscal Policy: Term Structure Implications," 2017 Meeting Papers 258, Society for Economic Dynamics.
- Andrea Ajello & Nina Boyarchenko & François Gourio & Andrea Tambalotti, 2022.
"Financial Stability Considerations for Monetary Policy: Theoretical Mechanisms,"
Finance and Economics Discussion Series
2022-005, Board of Governors of the Federal Reserve System (U.S.).
- Andrea Ajello & Nina Boyarchenko & François Gourio & Andrea Tambalotti, 2022. "Financial Stability Considerations for Monetary Policy: Theoretical Mechanisms," Staff Reports 1002, Federal Reserve Bank of New York.
- Mohsan Bilal, 2017. "Zeroing in: Asset Pricing at the Zero Lower Bound," 2017 Meeting Papers 377, Society for Economic Dynamics.
- Peter Hördahl & Oreste Tristani, 2019.
"Modelling yields at the lower bound through regime shifts,"
BIS Working Papers
813, Bank for International Settlements.
- Hördahl, Peter & Tristani, Oreste, 2019. "Modelling yields at the lower bound through regime shifts," Working Paper Series 2320, European Central Bank.
- Maksim Isakin & Phuong V. Ngo, 2020. "Variance Decomposition Analysis for Nonlinear Economic Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(6), pages 1362-1374, December.
- Marco Bassetto & Wei Cui, 2018. "The Fiscal Theory of the Price Level in an Environment of Low Interest Rates," 2018 Meeting Papers 574, Society for Economic Dynamics.
- Bassetto, Marco & Cui, Wei, 2018.
"The fiscal theory of the price level in a world of low interest rates,"
Journal of Economic Dynamics and Control, Elsevier, vol. 89(C), pages 5-22.
- Bassetto, Marco & Cui, Wei, 2017. "The fiscal theory of the price level in a world of low interest rates," LSE Research Online Documents on Economics 84951, London School of Economics and Political Science, LSE Library.
- Marco Bassetto & Wei Cui, 2017. "The Fiscal Theory of the Price Level in a World of Low Interest Rates," Working Paper Series WP-2017-25, Federal Reserve Bank of Chicago.
- Marco Bassetto & Wei Cui, 2017. "The Fiscal Theory of the Price Level in a World of Low Interest Rates," Discussion Papers 1731, Centre for Macroeconomics (CFM).
- Erica X.N. Li & Tao Zha & Ji Zhang & Hao Zhou, 2020. "Stock-Bond Return Correlation, Bond Risk Premium Fundamentals, and Fiscal-Monetary Policy Regime," FRB Atlanta Working Paper 2020-19, Federal Reserve Bank of Atlanta.
- Hiroatsu Tanaka, 2022. "Equilibrium Yield Curves with Imperfect Information," Finance and Economics Discussion Series 2022-086, Board of Governors of the Federal Reserve System (U.S.).
- Qianying Chen & Mitsuru Katagiri & Jay Surti, 2018. "Banking in a Steady State of Low Growth and Interest Rates," IMF Working Papers 2018/192, International Monetary Fund.
- Stefano Neri & Giuseppe Ferrero, 2017. "Monetary policy in a low interest rate environment," Questioni di Economia e Finanza (Occasional Papers) 392, Bank of Italy, Economic Research and International Relations Area.
- Li, Erica X.N. & Zha, Tao & Zhang, Ji & Zhou, Hao, 2022.
"Does fiscal policy matter for stock-bond return correlation?,"
Journal of Monetary Economics, Elsevier, vol. 128(C), pages 20-34.
- Erica X.N. Li & Tao Zha & Ji Zhang & Hao Zhou, 2020. "Does Fiscal Policy Matter for Stock-Bond Return Correlation?," NBER Working Papers 27861, National Bureau of Economic Research, Inc.
- Jaccard, Ivan, 2024. "Monetary asymmetries without (and with) price stickiness," Working Paper Series 2928, European Central Bank.
- Mitsuru Katagiri, 2022. "Equilibrium Yield Curve, the Phillips Curve, and Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(8), pages 2235-2272, December.
- Taisuke Nakata & Hiroatsu Tanaka, 2016. "Equilibrium Yield Curves and the Interest Rate Lower Bound," Finance and Economics Discussion Series 2016-085, Board of Governors of the Federal Reserve System (U.S.).
- Ermolov, Andrey, 2022. "Time-varying risk of nominal bonds: How important are macroeconomic shocks?," Journal of Financial Economics, Elsevier, vol. 145(1), pages 1-28.
- Pier dup Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2015.
"Nominal Rigidities and the Term Structures of Equity and Bond Returns,"
Finance and Economics Discussion Series
2015-64, Board of Governors of the Federal Reserve System (U.S.).
- Pierlauro Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2023. "Nominal Rigidities and the Term Structures of Equity and Bond Returns," Working Papers 23-11, Federal Reserve Bank of Cleveland.
- Kuk Mo Jung & Ju Hyun Pyun, 2020. "A Long-Run Approach to Money, Unemployment and Equity Prices," Working Papers 2001, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
- Alberto Di Iorio & Marco Fanari, 2020. "Break-even inflation rates: the Italian case," Questioni di Economia e Finanza (Occasional Papers) 578, Bank of Italy, Economic Research and International Relations Area.
- Vadim Elenev & Tim Landvoigt & Patrick J. Shultz & Stijn Van Nieuwerburgh, 2021.
"Can Monetary Policy Create Fiscal Capacity?,"
NBER Working Papers
29129, National Bureau of Economic Research, Inc.
- Van Nieuwerburgh, Stijn & Elenev, Vadim & Landvoigt, Tim & Shultz, Patrick, 2021. "Can Monetary Policy Create Fiscal Capacity?," CEPR Discussion Papers 16414, C.E.P.R. Discussion Papers.
- Corhay, Alexandre & Kind, Thilo & Kung, Howard & Morales, Gonzalo, 2021. "Discount rates, debt maturity, and the fiscal theory," SAFE Working Paper Series 323, Leibniz Institute for Financial Research SAFE.