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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. 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.
  2. Marlène Isoré & Urszula Szczerbowicz, 2015. "Disaster Risk and Preference Shifts in a New Keynesian Model," Working Papers 2015-16, CEPII research center.
  3. Martin Andreasen, 2011. "Online Appendix to "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models"," Technical Appendices 11-84, Review of Economic Dynamics.
  4. Francisco Ruge-Murcia, 2012. "Skewness Risk and Bond Prices," Cahiers de recherche 17-2012, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  5. Glenn D. Rudebusch, 2010. "Macro-finance models of interest rates and the economy," Working Paper Series 2010-01, Federal Reserve Bank of San Francisco.
  6. Howard Kung, 2014. "Macroeconomic linkages between monetary policy and the term structure of interest rates," 2014 Meeting Papers 560, Society for Economic Dynamics.
  7. Philippe Mueller & Mikhail Chernov, 2008. "The Term Structure of Inflation Expectations," 2008 Meeting Papers 346, Society for Economic Dynamics.
  8. Bauer, Michael D. & Rudebusch, Glenn D., 2015. "Resolving the spanning puzzle in macro-finance term structure models," Working Paper Series 2015-1, Federal Reserve Bank of San Francisco.
  9. de Groot, Oliver, 2014. "Solving asset pricing models with stochastic volatility," Finance and Economics Discussion Series 2014-71, Board of Governors of the Federal Reserve System (U.S.).
  10. Hall, Jamie, 2012. "Consumption dynamics in general equilibrium," MPRA Paper 43933, University Library of Munich, Germany.
  11. Challe, Edouard & Giannitsarou, Chryssi, 2014. "Stock prices and monetary policy shocks: A general equilibrium approach," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 46-66.
  12. Leonardo Martinez & Juan Carlos Hatchondo & Cesar Sosa Padilla, 2011. "Debt Dilution and Sovereign Default Risk," IMF Working Papers 11/70, International Monetary Fund.
  13. 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.
  14. Tomáš Havránek, 2015. "Measuring Intertemporal Substitution: The Importance Of Method Choices And Selective Reporting," Journal of the European Economic Association, European Economic Association, vol. 13(6), pages 1180-1204, December.
  15. Lan, Hong & Meyer-Gohde, Alexander, 2012. "Existence and Uniqueness of Perturbation Solutions in DSGE Models," Dynare Working Papers 14, CEPREMAP.
  16. Haroon Mumtaz & Konstantinos Theodoridis, 2015. "Common and Country Specific Economic Uncertainty," Working Papers 752, Queen Mary University of London, School of Economics and Finance.
  17. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working papers 234, Banque de France.
  18. 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.
  19. Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2010. "Second-Order Approximation of Dynamic Models with Time-Varying Risk," CEP Discussion Papers dp1033, Centre for Economic Performance, LSE.
  20. Caldara, Dario & Fernández-Villaverde, Jesús & Rubio-Ramírez, Juan Francisco & Yao, Wen, 2009. "Computing DSGE Models with Recursive Preferences," CEPR Discussion Papers 7312, C.E.P.R. Discussion Papers.
  21. Francois Gourio, 2011. "Credit Risk and Disaster Risk," NBER Working Papers 17026, National Bureau of Economic Research, Inc.
  22. Mirdala, Rajmund, 2015. "Decomposing Euro Area Sovereign Debt Yields into Inflation Expectations and Expected Real Interest Rates," MPRA Paper 68866, University Library of Munich, Germany, revised Nov 2015.
  23. Lan, Hong & Meyer-Gohde, Alexander, 2014. "Solvability of perturbation solutions in DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 366-388.
  24. Kliem, Martin & Uhlig, Harald, 2013. "Bayesian estimation of a DSGE model with asset prices," Discussion Papers 37/2013, Deutsche Bundesbank, Research Centre.
  25. 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.
  26. Andreasen, Martin, 2011. "An estimated DSGE model: explaining variation in term premia," Bank of England working papers 441, Bank of England.
  27. Andrei Zlate & Federico Mandelman, 2013. "Offshoring, Low-skilled Immigration and Labor Market Polarization," 2013 Meeting Papers 1073, Society for Economic Dynamics.
  28. Darracq Paries, Matthieu & Faia, Ester & Rodriguez-Palenzuela, Diego, 2013. "Bank and sovereign debt risk," SAFE Working Paper Series 7, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  29. Francois Gourio, 2009. "Disaster risk and business cycles," 2009 Meeting Papers 1176, Society for Economic Dynamics.
  30. Gürkaynak, Refet S. & Wright, Jonathan, 2010. "Macroeconomics and the Term Structure," CEPR Discussion Papers 8018, C.E.P.R. Discussion Papers.
  31. Matthew Smith & Rhys Bidder, 2013. "Robust Animal Spirits," 2013 Meeting Papers 265, Society for Economic Dynamics.
  32. Christoffel, Kai & Jaccard, Ivan & Kilponen, Juha, 2013. "Welfare and bond pricing implications of fiscal stabilization policies," Research Discussion Papers 32/2013, Bank of Finland.
  33. Konstantinos Theodoridis & Haroon Mumtaz, 2015. "Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility," Working Papers 101219932, Lancaster University Management School, Economics Department.
  34. Gourio, François, 2012. "Macroeconomic implications of time-varying risk premia," Working Paper Series 1463, European Central Bank.
  35. De Graeve, Ferre & Dossche, Maarten & Emiris, Marina & Sneessens, Henri & Wouters, Raf, 2010. "Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model," Working Paper Series 236, Sveriges Riksbank (Central Bank of Sweden).
  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. Michael Wickens, 2014. "How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics," Discussion Papers 14/17, Department of Economics, University of York.
  38. Yunus Aksoy & Henrique S. Basso, 2014. "Liquidity, Term Spreads and Monetary Policy," Economic Journal, Royal Economic Society, vol. 124(581), pages 1234-1278, December.
  39. 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.
  40. M. Falagiarda & M. Marzo, 2012. "A DSGE model with Endogenous Term Structure," Working Papers wp830, Dipartimento Scienze Economiche, Universita' di Bologna.
  41. Michael, Hatcher, 2013. "Indexed versus nominal government debt under inflation and price-level targeting," SIRE Discussion Papers 2013-56, Scottish Institute for Research in Economics (SIRE).
  42. Michael Hatcher, 2013. "Aggregate and welfare effects of long run inflation risk under inflation and price-level targeting," Working Papers 2013_03, Business School - Economics, University of Glasgow.
  43. Andrew Binning & Junior Maih, 2015. "Sigma Point Filters For Dynamic Nonlinear Regime Switching Models," Working Papers 0032, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  44. Christoffel, Kai & Jaccard, Ivan & Kilponen, Juha, 2011. "Government bond risk premia and the cyclicality of fiscal policy," Working Paper Series 1411, European Central Bank.
  45. 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).
  46. Tomas Havranek & Roman Horvath & Zuzana Irsova & Marek Rusnak, 2014. "Cross-Country Heterogeneity in Intertemporal Substitution," Working Papers 2014/06, Czech National Bank, Research Department.
  47. Xu, Yuan, 2015. "Robustness to model uncertainty and the nominal term premium puzzle," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 124-137.
  48. Hong Lan & Alexander Meyer-Gohde, 2013. "Decomposing Risk in Dynamic Stochastic General Equilibrium," SFB 649 Discussion Papers SFB649DP2013-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  49. Li, Erica X.N. & Palomino, Francisco, 2014. "Nominal rigidities, asset returns, and monetary policy," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 210-225.
  50. repec:bof:bofrdp:2013_032 is not listed on IDEAS
  51. Eric Swanson, 2013. "Implications of Labor Market Frictions for Risk Aversion and Risk Premia," 2013 Meeting Papers 1137, Society for Economic Dynamics.
  52. Peter N. Ireland, 2015. "Monetary Policy, Bond Risk Premia, and the Economy," NBER Working Papers 21576, National Bureau of Economic Research, Inc.
  53. 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.
  54. 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.
  55. Hakon Tretvoll, 2012. "Real exchange rate variability in a two country business cycle model," 2012 Meeting Papers 911, Society for Economic Dynamics.
  56. James Staveley-O'Carroll & Olena M. Staveley-O'Carroll, 2016. "Impact of Pension System Structure on International Financial Capital Allocation," Working Papers 1601, College of the Holy Cross, Department of Economics.
  57. Malkhozov, Aytek, 2014. "Asset prices in affine real business cycle models," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 180-193.
  58. Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2011. "Risk, Monetary Policy and the Exchange Rate," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 247-309 National Bureau of Economic Research, Inc.
  59. Francisco RUGE-MURCIA, 2014. "Indirect Inference Estimation of Nonlinear Dynamic General Equilibrium Models : With an Application to Asset Pricing under Skewness Risk," Cahiers de recherche 15-2014, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  60. Sinha, Arunima, 2016. "Monetary policy uncertainty and investor expectations," Journal of Macroeconomics, Elsevier, vol. 47(PB), pages 188-199.
  61. Fuerst, Timothy S., 2015. "Monetary policy and the term premium," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages A1-A10.
  62. Christopher Otrok & Andre Kurmann, 2010. "News Shocks and the Slope of the Term Structure of Interest Rates," 2010 Meeting Papers 72, Society for Economic Dynamics.
  63. Maral Shamloo & Aytek Malkhozov, 2010. "Asset Prices in a News Driven Real Business Cycle Model," 2010 Meeting Papers 546, Society for Economic Dynamics.
  64. J. David Lopez-Salido & Francisco Vazquez-Grande & Pierlauro Lopez, 2015. "Macro-Finance Separation by Force of Habit," 2015 Meeting Papers 980, Society for Economic Dynamics.
  65. Harald Uhlig, 2010. "Easy EZ in DSGE," 2010 Meeting Papers 111, Society for Economic Dynamics.
  66. Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.
  67. Ferman, Marcelo, 2011. "Switching Monetary Policy Regimes and the Nominal Term Structure," Dynare Working Papers 5, CEPREMAP.
  68. Fernando M. Duarte, 2013. "Inflation risk and the cross section of stock returns," Staff Reports 621, Federal Reserve Bank of New York.
  69. Gregory R. Duffee, 2012. "Bond pricing and the macroeconomy," Economics Working Paper Archive 598, The Johns Hopkins University,Department of Economics.
  70. Eric Swanson, 2015. "A Macroeconomic Model of Equities and Real, Nominal, and Defaultable Debt," 2015 Meeting Papers 273, Society for Economic Dynamics.
  71. Ryo Jinnai, 2015. "Innovation, Product Cycle, and Asset Prices," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 18(3), pages 484-504, July.
  72. Lopez, Pier & Lopez-Salido, J. David & Vazquez-Grande, Francisco, 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.).
  73. Oreste Tristani & Gianni Amisano, 2010. "A nonlinear DSGE model of the term structure with regime shifts," 2010 Meeting Papers 234, Society for Economic Dynamics.
  74. Ben Lockwood & Erez Yerushalmi, 2014. "Should transactions services be taxed at the same rate as consumption?," Working Papers 1423, Oxford University Centre for Business Taxation.
  75. 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.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.