IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!)

Citations for "Habit Formation and Macroeconomic Models of the Term Structure of Interest Rates"

by Andrea Buraschi & Alexei Jiltsov

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. Adrien Verdelhan, 2010. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Journal of Finance, American Finance Association, vol. 65(1), pages 123-146, 02.
  2. 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.
  3. Dahlquist, Magnus & Hasseltoft, Henrik, 2013. "International Bond Risk Premia," Journal of International Economics, Elsevier, vol. 90(1), pages 17-32.
  4. Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2010. "Macro expectations, aggregate uncertainty, and expected term premia," ZEW Discussion Papers 10-064, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  5. Tom Engsted & Stuart Hyde & Stig V. Møller, 2007. "Habit Formation, Surplus Consumption and Return Predictability: International Evidence," CREATES Research Papers 2007-31, Department of Economics and Business Economics, Aarhus University.
  6. Bekaert, Geert & Engstrom, Eric & Grenadier, Steven R., 2010. "Stock and bond returns with Moody Investors," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 867-894, December.
  7. Dimitri Vayanos & Jean-Luc Vila, 2009. "A preferred-habitat model of the term structure of interest rates," LSE Research Online Documents on Economics 29308, London School of Economics and Political Science, LSE Library.
  8. Curatola, Giuliano, 2015. "Loss aversion, habit formation and the term structures of equity and interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 103-122.
  9. Lettau, Martin & Wachter, Jessica A., 2011. "The term structures of equity and interest rates," Journal of Financial Economics, Elsevier, vol. 101(1), pages 90-113, July.
  10. Gómez Manuel A., 2010. "Endogenous Growth, Habit Formation and Convergence Speed," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-32, January.
  11. Andrew Ang & Jean Boivin & Sen Dong & Rudy Loo-Kung, 2009. "Monetary Policy Shifts and the Term Structure," NBER Working Papers 15270, National Bureau of Economic Research, Inc.
  12. 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.
  13. Bekaert, Geert & Engstrom, Eric & Xing, Yuhang, 2009. "Risk, uncertainty, and asset prices," Journal of Financial Economics, Elsevier, vol. 91(1), pages 59-82, January.
  14. John Y. Campbell & Adi Sunderam & Luis M. Viceira, 2009. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," NBER Working Papers 14701, National Bureau of Economic Research, Inc.
  15. Hassan Shareef & Santhakumar Shijin, 2016. "Expectations Hypothesis and Term Structure of Interest Rates: An Evidence from Emerging Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(2), pages 137-152, June.
  16. Hasler, Michael & Marfè, Roberto, 2016. "Disaster recovery and the term structure of dividend strips," Journal of Financial Economics, Elsevier, vol. 122(1), pages 116-134.
  17. Du, Du, 2011. "General equilibrium pricing of options with habit formation and event risks," Journal of Financial Economics, Elsevier, vol. 99(2), pages 400-426, February.
  18. Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.
  19. Vikas Agarwal & Eser Arisoy & Narayan Y Naik, 2015. "Volatility of Aggregate Volatility and Hedge Fund Returns," Post-Print hal-01412976, HAL.
  20. Andreas Stathopoulos, 2012. "Portfolio Home Bias and External Habit Formation," 2012 Meeting Papers 502, Society for Economic Dynamics.
  21. Zhu, Xiaoneng & Rahman, Shahidur, 2015. "A regime-switching Nelson–Siegel term structure model of the macroeconomy," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 1-17.
  22. Johdo, Wataru, 2009. "Habit persistence and stagnation," Economic Modelling, Elsevier, vol. 26(5), pages 1110-1114, September.
  23. Hyde, Stuart & Sherif, Mohamed, 2010. "Consumption asset pricing and the term structure," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(1), pages 99-109, February.
  24. Michael D. Bauer & Glenn D. Rudebusch, 2015. "Resolving the Spanning Puzzle in Macro-Finance Term Structure Models," CESifo Working Paper Series 5187, CESifo Group Munich.
  25. Zhu, Xiaoneng, 2015. "Out-of-sample bond risk premium predictions: A global common factor," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 155-173.
  26. Qiang Dai & Olesya V. Grishchenko, 2011. "An empirical investigation of consumption-based asset pricing models with stochastic habit formation," Finance and Economics Discussion Series 2011-47, Board of Governors of the Federal Reserve System (U.S.).
  27. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2016. "Macro Risks and the Term Structure of Interest Rates," NBER Working Papers 22839, National Bureau of Economic Research, Inc.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.