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Bond price premiums

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  • Alexander L. Wolman

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  • Alexander L. Wolman, 2006. "Bond price premiums," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 92(Fall), pages 317-336.
    • Handle: RePEc:fip:fedreq:y:2006:i:fall:p:317-336:n:v.92no.4
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    References listed on IDEAS

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    1. John Y. Campbell, 1986. "Bond and Stock Returns in a Simple Exchange Model," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 101(4), pages 785-803.
    2. John H. Wood, 1964. "The Expectations Hypothesis, the Yield Curve, and Monetary Policy," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 78(3), pages 457-470.
    3. Don H. Kim & Jonathan H. Wright, 2005. "An arbitrage-free three-factor term structure model and the recent behavior of long-term yields and distant-horizon forward rates," Finance and Economics Discussion Series 2005-33, Board of Governors of the Federal Reserve System (U.S.).
    4. Philippe Weil, 1990. "Nonexpected Utility in Macroeconomics," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 105(1), pages 29-42.
    5. Larry G. Epstein & Stanley E. Zin, 2013. "Substitution, risk aversion and the temporal behavior of consumption and asset returns: A theoretical framework," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 12, pages 207-239, World Scientific Publishing Co. Pte. Ltd..
    6. Unknown, 2005. "Forward," 2005 Conference: Slovenia in the EU - Challenges for Agriculture, Food Science and Rural Affairs, November 10-11, 2005, Moravske Toplice, Slovenia 183804, Slovenian Association of Agricultural Economists (DAES).
    7. Wachter, Jessica A., 2006. "A consumption-based model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 79(2), pages 365-399, February.
    8. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
    9. John Y. Campbell & Robert J. Shiller, 1991. "Yield Spreads and Interest Rate Movements: A Bird's Eye View," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(3), pages 495-514.
    10. Pierre-Daniel G. Sarte, 1998. "Fisher's equation and the inflation risk premium in a simple endowment economy," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 53-72.
    11. John Y. Campbell & John Cochrane, 1999. "Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Journal of Political Economy, University of Chicago Press, vol. 107(2), pages 205-251, April.
    12. Mark W. Watson, 1999. "Explaining the increased variability in long-term interest rates," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 71-96.
    13. Monika Piazzesi & Martin Schneider, 2007. "Equilibrium Yield Curves," NBER Chapters, in: NBER Macroeconomics Annual 2006, Volume 21, pages 389-472, National Bureau of Economic Research, Inc.
    14. Bernanke, Ben S & Woodford, Michael, 1997. "Inflation Forecasts and Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(4), pages 653-684, November.
    15. Peter N. Ireland, 1996. "Long-term interest rates and inflation: a Fisherian approach," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 21-36.
    16. repec:zbw:bofrdp:2006_025 is not listed on IDEAS
    17. Robert Mundell, 1963. "Inflation and Real Interest," Journal of Political Economy, University of Chicago Press, vol. 71(3), pages 280-280.
    18. Thomas M. Humphrey, 1983. "The early history of the real/nominal interest rate relationship," Economic Review, Federal Reserve Bank of Richmond, vol. 69(May), pages 2-10.
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    Cited by:

    1. Abhyankar, Abhay & Klinkowska, Olga & Lee, Soyeon, 2015. "Consumption risk and the cross-section of government bond returns," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 180-200.

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    Keywords

    Bonds - Prices;

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