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Citations for "A consumption-based model of the term structure of interest rates"

by Wachter, Jessica A.

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  1. Stijn Van Nieuwerburgh & Hanno Lustig, 2007. "The Wealth-Consumption Ratio: A Litmus Test for Consumption-Based Asset Pricing Models," 2007 Meeting Papers 398, Society for Economic Dynamics.
  2. 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.
  3. Yu, Jianfeng & Yuan, Yu, 2011. "Investor sentiment and the mean-variance relation," Journal of Financial Economics, Elsevier, vol. 100(2), pages 367-381, May.
  4. Mauricio Larraín & Fernando Parro, 2006. "The Information Contained in Forward Rates Movements in Chile," Working Papers Central Bank of Chile 386, Central Bank of Chile.
  5. Oreste Tristani & Gianni Amisano, 2010. "A nonlinear DSGE model of the term structure with regime shifts," 2010 Meeting Papers 234, Society for Economic Dynamics.
  6. Carolina Achury & Sylwia Hubar & Christos Koulovatianos, 2011. "Online Appendix to "Saving Rates and Portfolio Choice with Subsistence Consumption"," Technical Appendices 10-11, Review of Economic Dynamics.
  7. Yongli Zhang, 2010. "Fluctuations of Real Interest Rates and Business Cycles," Annals of Economics and Finance, Society for AEF, vol. 11(1), pages 185-208, May.
  8. Carolin E. Pflueger & Luis M. Viceira, 2011. "Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity," Harvard Business School Working Papers 11-094, Harvard Business School, revised Sep 2013.
  9. Cevdet Aydemir, A., 2008. "Risk sharing and counter-cyclical variation in market correlations," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3084-3112, October.
  10. Jermann, Urban J., 2013. "A production-based model for the term structure," Journal of Financial Economics, Elsevier, vol. 109(2), pages 293-306.
  11. 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.
  12. Andrew Atkeson & Patrick J. Kehoe, 2009. "On the Need for a New Approach to Analyzing Monetary Policy," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 389-425 National Bureau of Economic Research, Inc.
  13. Ivan Shaliastovich & Ravi Bansal, 2012. "A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets," 2012 Meeting Papers 778, Society for Economic Dynamics.
  14. John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 40(1 (Spring), pages 79-138.
  15. Vayanos, Dimitri & Vila, Jean-Luc, 2009. "A Preferred-Habitat Model of the Term Structure of Interest Rates," CEPR Discussion Papers 7547, C.E.P.R. Discussion Papers.
  16. Lars Ljungqvist & Harald Uhlig, 2009. "Optimal Endowment Destruction under Campbell-Cochrane Habit Formation," NBER Working Papers 14772, National Bureau of Economic Research, Inc.
  17. Zhou, Y., 2014. "Essays on habit formation and inflation hedging," Other publications TiSEM 4886da12-1b84-4fd9-aa07-3, Tilburg University, School of Economics and Management.
  18. Bianca De Paoli, Alasdair Scott, Olaf Weeken, 2007. "Asset pricing implications for a New Keynesian model," Money Macro and Finance (MMF) Research Group Conference 2006 156, Money Macro and Finance Research Group.
  19. Jessica Wachter & Martin Lettau, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," 2005 Meeting Papers 302, Society for Economic Dynamics.
  20. 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.
  21. Xavier Gabaix, 2012. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," The Quarterly Journal of Economics, Oxford University Press, vol. 127(2), pages 645-700.
  22. Monika Piazzesi & Martin Schneider, 2008. "Bond positions, expectations, and the yield curve," Working Paper 2008-02, Federal Reserve Bank of Atlanta.
  23. Wei Xiong & Hongjun Yan, 2006. "Heterogeneous Expectations and Bond Markets," NBER Working Papers 12781, National Bureau of Economic Research, Inc.
  24. 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.
  25. Luis Viceira & Carolin Pflueger & John Campbell, 2014. "Monetary Policy Drivers of Bond and Equity Risks," 2014 Meeting Papers 137, Society for Economic Dynamics.
  26. John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
  27. repec:pra:mprapa:11597 is not listed on IDEAS
  28. André Kurmann & Christopher Otrok, 2010. "News Shocks and the Slope of the Term Structure of Interest Rates," Cahiers de recherche 1005, CIRPEE.
  29. René Garcia & Richard Luger, 2012. "Risk aversion, intertemporal substitution, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 1013-1036, 09.
  30. Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2006. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 5951, C.E.P.R. Discussion Papers.
  31. 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.).
  32. Sydney Ludvigson & Xiaohong Chen, 2004. "Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models," 2004 Meeting Papers 692, Society for Economic Dynamics.
  33. Wachter, Jessica A., 2005. "Solving models with external habit," Finance Research Letters, Elsevier, vol. 2(4), pages 210-226, December.
  34. Alexander L. Wolman, 2006. "Bond price premiums," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 317-336.
  35. Pierre Perron & Tatsuma Wada, 2005. "Let’s Take a Break: Trends and Cycles in US Real GDP," Boston University - Department of Economics - Working Papers Series wp2009-006, Boston University - Department of Economics, revised Feb 2009.
  36. David Backus & Mikhail Chernov & Stanley E. Zin, 2011. "Sources of Entropy in Representative Agent Models," NBER Working Papers 17219, National Bureau of Economic Research, Inc.
  37. Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2007. "The determinants of stock and bond return comovements," Working Paper Research 119, National Bank of Belgium.
  38. Andreas Stathopoulos & Andrea Vedolin & Philippe Mueller, 2012. "International Correlation Risk," 2012 Meeting Papers 818, Society for Economic Dynamics.
  39. Peter Christoffersen & Du Du & Redouane Elkamhi, 2013. "Rare Disasters and Credit Market Puzzles," CREATES Research Papers 2013-45, School of Economics and Management, University of Aarhus.
  40. Douch, Mohamed & Bouaddi, Mohammed, 2010. "EQUITY Premium Puzzle in a Data-Rich Environment," MPRA Paper 29440, University Library of Munich, Germany.
  41. Christian Bach, 2011. "Conservatism in Corporate Valuation," CREATES Research Papers 2011-32, School of Economics and Management, University of Aarhus.
  42. Olena Chyruk & Luca Benzoni & Andrea Ajello, 2012. "Core and `Crust': Consumer Prices and the Term Structure of Interest Rates," 2012 Meeting Papers 922, Society for Economic Dynamics.
  43. Chen, Andrew Y., 2014. "Precautionary Volatility and Asset Prices," Finance and Economics Discussion Series 2014-59, Board of Governors of the Federal Reserve System (U.S.).
  44. Elisa Faraglia & Albert Marcet & Andrew Scott, 2011. "In Search of a Theory of Debt Management," CEP Discussion Papers dp1083, Centre for Economic Performance, LSE.
  45. Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.
  46. Matteo Modena, 2008. "An Empirical Analysis of the Curvature Factor of the Term Structure of Interest Rates," Working Papers 2008_35, Business School - Economics, University of Glasgow.
  47. Howard Kung, 2014. "Macroeconomic linkages between monetary policy and the term structure of interest rates," 2014 Meeting Papers 560, Society for Economic Dynamics.
  48. Auer, Benjamin R., 2013. "Can habit formation under complete market integration explain the cross-section of international equity risk premia?," Review of Financial Economics, Elsevier, vol. 22(2), pages 61-67.
  49. Stefano Athanasoulis & Oren Sussman, 2007. "Habit formation and the equity–premium puzzle: a skeptical view," Annals of Finance, Springer, vol. 3(2), pages 193-212, March.
  50. 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.
  51. Matiur Rahman & Muhammad Mustafa, 2009. "The Slope of the U.S. Nominal Treasury Yield Curve and the Exchange Rate," New York Economic Review, New York State Economics Association (NYSEA), vol. 40(1), pages 3-12.
  52. Grishchenko, Olesya V., 2010. "Internal vs. external habit formation: The relative importance for asset pricing," Journal of Economics and Business, Elsevier, vol. 62(3), pages 176-194, May.
  53. 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.
  54. Dahlquist, Magnus & Hasseltoft, Henrik, 2013. "International Bond Risk Premia," Journal of International Economics, Elsevier, vol. 90(1), pages 17-32.
  55. Rudebusch, Glenn D. & Swanson, Eric T., 2008. "Examining the bond premium puzzle with a DSGE model," Journal of Monetary Economics, Elsevier, vol. 55(Supplemen), pages S111-S126, October.
  56. Calvet, Laurent E. & Fisher, Adlai J., 2007. "Multifrequency news and stock returns," Journal of Financial Economics, Elsevier, vol. 86(1), pages 178-212, October.
  57. 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.
  58. Ferreira García, María Eva & Rubio Irigoyen, Gonzalo & Martínez, María Isabel & Navarro, Eliseo, 2005. "Consumer Confidence and Yield Spreads in Europe," DFAEII Working Papers 2005-11, University of the Basque Country - Department of Foundations of Economic Analysis II.
  59. Bekaert, Geert & Hoerova, Marie & Scheicher, Martin, 2009. "What do asset prices have to say about risk appetite and uncertainty?," Working Paper Series 1037, European Central Bank.
  60. Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2010. "Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules," Working Papers 2010-008, Federal Reserve Bank of St. Louis.
  61. Geoffrey J. Warren, 2008. "Implications for Asset Pricing Puzzles of a Roll-over Assumption for the Risk-Free Asset-super-," International Review of Finance, International Review of Finance Ltd., vol. 8(3-4), pages 125-157.
  62. Tobias Adrian & Hao Wu, 2009. "The term structure of inflation expectations," Staff Reports 362, Federal Reserve Bank of New York.
  63. Philippe Mueller & Mikhail Chernov, 2008. "The Term Structure of Inflation Expectations," 2008 Meeting Papers 346, Society for Economic Dynamics.
  64. Benchimol, Jonathan, 2014. "Risk aversion in the Eurozone," Research in Economics, Elsevier, vol. 68(1), pages 39-56.
  65. Geert Bekaert & Eric Engstrom & Yuhang Xing, 2005. "Risk, uncertainty, and asset prices," Finance and Economics Discussion Series 2005-40, Board of Governors of the Federal Reserve System (U.S.).
  66. René Garcia & Richard Luger, 2005. "The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach," Working Papers 05-36, Bank of Canada.
  67. Frederik Lundtofte, 2006. "The Quality of Public Information and The Term Structure of Interest Rates," Swiss Finance Institute Research Paper Series 06-24, Swiss Finance Institute, revised Sep 2006.
  68. 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.
  69. Ghattassi, Imen, 2008. "On the predictive power of the surplus consumption ratio," Finance Research Letters, Elsevier, vol. 5(1), pages 21-31, March.
  70. 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.
  71. Gregory R. Duffee, 2012. "Bond pricing and the macroeconomy," Economics Working Paper Archive 598, The Johns Hopkins University,Department of Economics.
  72. Christian Bach & Stig Vinther Møller, 2010. "Habit-based Asset Pricing with Limited Participation Consumption," CREATES Research Papers 2010-46, School of Economics and Management, University of Aarhus.
  73. Adrien Verdelhan & Nicola Borri, 2010. "Sovereign Risk Premia," 2010 Meeting Papers 1122, Society for Economic Dynamics.
  74. Mao-Wei Hung & Jr-Yan Wang, 2011. "Loss aversion and the term structure of interest rates," Applied Economics, Taylor & Francis Journals, vol. 43(29), pages 4623-4640.
  75. Urban Jermann, 2013. "A Production-Based Model for the Term Structure," NBER Working Papers 18774, National Bureau of Economic Research, Inc.
  76. Nicolas Vincent & Isaac Kleshchelski, 2008. "Robust Equilibrium Yield Curves," 2008 Meeting Papers 486, Society for Economic Dynamics.
  77. Ralph S.J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh, 2010. "The Cross-Section and Time-Series of Stock and Bond Returns," NBER Working Papers 15688, National Bureau of Economic Research, Inc.
  78. 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.
  79. Achury, Carolina & Hubar, Sylwia & Koulovatianos, Christos, 2011. "Saving rates and portfolio choice with subsistence consumption," CFS Working Paper Series 2011/06, Center for Financial Studies (CFS).
  80. Chen, Andrew Y., 2014. "Habit, Production, and the Cross-Section of Stock Returns," Finance and Economics Discussion Series 2014-103, Board of Governors of the Federal Reserve System (U.S.).
  81. Peter Broer & Jürgen Antony, 2010. "Linkages between the Financial and the Real Sector of the Economy: A Literature Survey," CPB Document 216, CPB Netherlands Bureau for Economic Policy Analysis.
  82. Santiago García Verdú, 2010. "Equilibrium yield curves under regime switching," Working Papers 2010-08, Banco de México.
  83. Stig V. Møller, 2007. "Habit persistence: Explaining cross sectional variation in returns and time-varying expected returns," CREATES Research Papers 2007-07, School of Economics and Management, University of Aarhus.
  84. Erdemlioglu, Deniz, 2009. "Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach," MPRA Paper 28895, University Library of Munich, Germany.
  85. 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.
  86. Li, Jun & Yu, Jianfeng, 2012. "Investor attention, psychological anchors, and stock return predictability," Journal of Financial Economics, Elsevier, vol. 104(2), pages 401-419.
  87. Cho, Sungjun, 2014. "What drives stochastic risk aversion?," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 44-63.
  88. Jonathan Benchimol, 2012. "Risk Aversion in the Euro area," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00713669, HAL.
  89. 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.
  90. Jianfeng Yu, 2012. "Online Appendix to "Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models"," Technical Appendices 10-230, Review of Economic Dynamics.
  91. Yu Chen & Thomas Cosimano & Alex Himonas, 2008. "Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks," Annals of Finance, Springer, vol. 4(3), pages 305-344, July.
  92. Engsted, Tom & Hyde, Stuart & Møller, Stig V., 2010. "Habit formation, surplus consumption and return predictability: International evidence," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1237-1255, November.
  93. Josh Stillwagon, 2014. "Testing the Expectations Hypothesis with Survey Forecasts: The Impacts of Consumer Sentiment and the Zero Lower Bound in an I(2) CVAR," Working Papers 1401, Trinity College, Department of Economics.
  94. Fernando M. Duarte, 2013. "Inflation risk and the cross section of stock returns," Staff Reports 621, Federal Reserve Bank of New York.
  95. Chen, Yu & Cosimano, Thomas F. & Himonas, Alex A., 2008. "Analytic solving of asset pricing models: The by force of habit case," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3631-3660, November.
  96. Glenn D. Rudebusch & Brian P. Sack & Eric T. Swanson, 2006. "Macroeconomic implications of changes in the term premium," Working Paper Series 2006-46, Federal Reserve Bank of San Francisco.
  97. 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.
  98. Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2007. "Investor Information, Long-Run Risk, and the Term Structure of Equity," NBER Working Papers 12912, National Bureau of Economic Research, Inc.
  99. Ravi Bansal & Ivan Shaliastovich, 2012. "A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets," NBER Working Papers 18357, National Bureau of Economic Research, Inc.
  100. Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers pch1244, Job Market Papers.
  101. repec:wyi:journl:002109 is not listed on IDEAS
  102. Glenn D. Rudebusch, 2010. "Macro-finance models of interest rates and the economy," Working Paper Series 2010-01, Federal Reserve Bank of San Francisco.
  103. Hasseltoft, Henrik, 2007. "The Long-run Risk Model: Dynamics and Cyclicality of Interest Rates," SIFR Research Report Series 58, Institute for Financial Research.
  104. Sarkar, Asani & Zhang, Lingjia, 2009. "Time varying consumption covariance and dynamics of the equity premium: Evidence from the G7 countries," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 613-631, September.
  105. Madureira, Leonardo, 2007. "The ex ante real rate and inflation premium under a habit consumption model," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 355-382, June.
  106. De Rezende, Rafael B., 2015. "Risks in macroeconomic fundamentals and excess bond returns predictability," Working Paper Series 295, Sveriges Riksbank (Central Bank of Sweden).
  107. Kim, Jun Sik & Ryu, Doojin & Seo, Sung Won, 2014. "Investor sentiment and return predictability of disagreement," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 166-178.
  108. Gonzalez-Astudillo, Manuel, 2009. "An Equilibrium Model of the Term Structure of Interest Rates: Recursive Preferences at Play," MPRA Paper 19153, University Library of Munich, Germany.
  109. Yu Chen & Thomas Cosimano & Alex Himonas & Peter Kelly, 2014. "An Analytic Approach for Stochastic Differential Utility for Endowment and Production Economies," Computational Economics, Society for Computational Economics, vol. 44(4), pages 397-443, December.
  110. Yu Chen & Thomas Cosimano & Alex Himonas, 2010. "Continuous time one-dimensional asset-pricing models with analytic price–dividend functions," Economic Theory, Springer, vol. 42(3), pages 461-503, March.
  111. Du, Du, 2013. "General equilibrium pricing of currency and currency options," Journal of Financial Economics, Elsevier, vol. 110(3), pages 730-751.
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