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The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences

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Cited by:

  1. Susanto Basu & Brent Bundick, 2017. "Uncertainty Shocks in a Model of Effective Demand," Econometrica, Econometric Society, vol. 85, pages 937-958, May.
  2. Benigno, Gianluca & Benigno, Pierpaolo & Nisticò, Salvatore, 2013. "Second-order approximation of dynamic models with time-varying risk," Journal of Economic Dynamics and Control, Elsevier, vol. 37(7), pages 1231-1247.
  3. Hakon Tretvoll, 2018. "Real Exchange Variability in a Two-Country Business Cycle Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 27, pages 123-145, January.
  4. Dongweon Lee & Yena Park, 2022. "Utility Curvature and Unemployment Volatility," Korean Economic Review, Korean Economic Association, vol. 38, pages 347-379.
  5. Staveley-O’Carroll, James & Staveley-O’Carroll, Olena M., 2017. "Impact of pension system structure on international financial capital allocation," European Economic Review, Elsevier, vol. 95(C), pages 1-22.
  6. Yasuo Hirose & Takeki Sunakawa, 2016. "Parameter Bias in an Estimated DSGE Model," Working Papers halshs-01661908, HAL.
  7. Stephen Morris, 2014. "The Statistical Implications of Common Identifying Restrictions for DSGE Models," 2014 Meeting Papers 738, Society for Economic Dynamics.
  8. James McNeil, 2020. "Estimation of Impulse response functions with term structure local projections," Working Papers daleconwp2020-05, Dalhousie University, Department of Economics.
  9. Martin Kliem & Alexander Meyer‐Gohde, 2022. "(Un)expected monetary policy shocks and term premia," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 477-499, April.
  10. Ginters Bušs & Patrick Grüning, 2023. "Fiscal DSGE model for Latvia," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 23(1), pages 2173915-217.
  11. Bonciani, Dario & Oh, Joonseok Jason, 2019. "The long-run effects of uncertainty shocks," Bank of England working papers 802, Bank of England.
  12. Howard Kung, 2014. "Macroeconomic linkages between monetary policy and the term structure of interest rates," 2014 Meeting Papers 560, Society for Economic Dynamics.
  13. Dongho Song, 2017. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," The Review of Financial Studies, Society for Financial Studies, vol. 30(8), pages 2761-2817.
  14. Drew D. Creal & Jing Cynthia Wu, 2020. "Bond risk premia in consumption‐based models," Quantitative Economics, Econometric Society, vol. 11(4), pages 1461-1484, November.
  15. Lakdawala, Aeimit & Wu, Shu, 2017. "Federal Reserve credibility and the term structure of interest rates," European Economic Review, Elsevier, vol. 100(C), pages 364-389.
  16. Meyer-Gohde, Alexander, 2014. "Risky linear approximations," SFB 649 Discussion Papers 2014-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  17. Olijslagers, Stan & van der Ploeg, Frederick & van Wijnbergen, Sweder, 2023. "On current and future carbon prices in a risky world," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
  18. Fernández-Villaverde, Jesús & Guerrón-Quintana, Pablo & Rubio-Ramírez, Juan F., 2015. "Estimating dynamic equilibrium models with stochastic volatility," Journal of Econometrics, Elsevier, vol. 185(1), pages 216-229.
  19. Martin Ellison & Andreas Tischbirek, 2021. "Beauty Contests and the Term Structure [Risk Premia and Term Premia in General Equilibrium]," Journal of the European Economic Association, European Economic Association, vol. 19(4), pages 2234-2282.
  20. Vasilev, Aleksandar, 2021. "An RBC model with Epstein-Zin (non-expected-utility) recursive preferences: lessons from Bulgaria (1999-2018)," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, issue forthcomi.
  21. Ales Marsal & Katrin Rabitsch & Lorant Kaszab, 2023. "Undesired Consequences of Calvo Pricing in a Non-linear World," Working and Discussion Papers WP 1/2023, Research Department, National Bank of Slovakia.
  22. Thien Nguyen & Steve Raymond & Lukas Schmid & Mariano Croce, 2016. "Government Debt and the Returns to Innovation," 2016 Meeting Papers 1443, Society for Economic Dynamics.
  23. Martin M. Andreasen & Giovanni Caggiano & Efrem Castelnuovo & Giovanni Pellegrino, 2021. "Why Does Risk Matter More in Recessions than in Expansions?," Monash Economics Working Papers 2021-11, Monash University, Department of Economics.
  24. Posch, Olaf, 2011. "Risk premia in general equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 35(9), pages 1557-1576, September.
  25. Ana Santacreu & Ilian Mihov, 2013. "Exchange rates as an instrument of monetary policy," 2013 Meeting Papers 773, Society for Economic Dynamics.
  26. 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.
  27. Sylvain, Serginio, 2014. "Does Human Capital Risk Explain The Value Premium Puzzle?," MPRA Paper 54551, University Library of Munich, Germany.
  28. van der Wel, M., 2020. "Connecting Silos : On linking macroeconomics and finance, and the role of econometrics therein," ERIM Inaugural Address Series Research in Management 124748, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam..
  29. Raimond Maurer & Olivia S. Mitchell & Ralph Rogalla & Tatjana Schimetschek, 2021. "Optimal social security claiming behavior under lump sum incentives: Theory and evidence," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(1), pages 5-27, March.
  30. Ajevskis, Viktors, 2019. "Nonlocal Solutions To Dynamic Equilibrium Models: The Approximate Stable Manifolds Approach," Macroeconomic Dynamics, Cambridge University Press, vol. 23(6), pages 2544-2571, September.
  31. Andr? Kurmann & Christopher Otrok, 2013. "News Shocks and the Slope of the Term Structure of Interest Rates," American Economic Review, American Economic Association, vol. 103(6), pages 2612-2632, October.
  32. Roman Horvath & Lorant Kaszab & Ales Marsal, 2022. "Fiscal Policy And the Nominal Term Premium," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(2-3), pages 663-683, March.
  33. Zhang, Xiaoge, 2022. "Belief-driven growth slowdowns and zero-bounded risk-free rate," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  34. Han Chen & Vasco Cúrdia & Andrea Ferrero, 2012. "The Macroeconomic Effects of Large‐scale Asset Purchase Programmes," Economic Journal, Royal Economic Society, vol. 122(564), pages 289-315, November.
  35. Alessandro Cantelmo, 2022. "Rare Disasters, the Natural Interest Rate and Monetary Policy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(3), pages 473-496, June.
  36. Christoffel, Kai & Jaccard, Ivan & Kilponen, Juha, 2013. "Welfare and bond pricing implications of fiscal stabilization policies," Research Discussion Papers 32/2013, Bank of Finland.
  37. Ilek, Alex & Rozenshtrom, Irit, 2018. "The term premium in a small open economy: A micro-founded approach," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 333-352.
  38. Zhang, Tongbin, 2021. "Stock prices and the risk-free rate: An internal rationality approach," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
  39. Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2022. "Valuation risk revalued," Quantitative Economics, Econometric Society, vol. 13(2), pages 723-759, May.
  40. 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.
  41. Yasuo Hirose & Takeki Sunakawa, 2015. "Parameter bias in an estimated DSGE model: does nonlinearity matter?," CAMA Working Papers 2015-46, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  42. Fernández-Villaverde, J. & Rubio-Ramírez, J.F. & Schorfheide, F., 2016. "Solution and Estimation Methods for DSGE Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 527-724, Elsevier.
  43. Garriga, Carlos & Kydland, Finn E. & Šustek, Roman, 2021. "MoNK: Mortgages in a New-Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 123(C).
  44. Yasuo Hirose & Takeki Sunakawa, 2019. "Review of Solution and Estimation Methods for Nonlinear Dynamic Stochastic General Equilibrium Models with the Zero Lower Bound," The Japanese Economic Review, Springer, vol. 70(1), pages 51-104, March.
  45. Pierlauro Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2022. "Accounting for Risk in a Linearized Solution: How to Approximate the Risky Steady State and Around It," Working Papers 22-14, Federal Reserve Bank of Cleveland.
  46. Nao Sudo & Masaki Tanaka, 2021. "Quantifying Stock and Flow Effects of QE," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(7), pages 1719-1755, October.
  47. Mutschler, Willi, 2018. "Higher-order statistics for DSGE models," Econometrics and Statistics, Elsevier, vol. 6(C), pages 44-56.
  48. Pablo Cuba‐Borda & Luca Guerrieri & Matteo Iacoviello & Molin Zhong, 2019. "Likelihood evaluation of models with occasionally binding constraints," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(7), pages 1073-1085, November.
  49. Thomas J. Carter & Xin Scott Chen & José Dorich, 2019. "Le taux neutre au Canada : mise à jour de 2019," Staff Analytical Notes 2019-11fr, Bank of Canada.
  50. Etienne Vaccaro-Grange, 2019. "Quantitative Easing and the Term Premium as a Monetary Policy Instrument," AMSE Working Papers 1932, Aix-Marseille School of Economics, France.
  51. Elminejad, Ali & Havranek, Tomas & Irsova, Zuzana, 2022. "Relative Risk Aversion: A Meta-Analysis," MetaArXiv b8uhe, Center for Open Science.
  52. Pierlauro Lopez & David Lopez-Salido & Francisco Vazquez-Grande, 2018. "Risk-Adjusted Linearizations of Dynamic Equilibrium Models," Working papers 702, Banque de France.
  53. Anna Kormilitsina & Denis Nekipelov, 2015. "Consistent Variance of the Laplace Type Estimators: Application to DSGE Models," Departmental Working Papers 1510, Southern Methodist University, Department of Economics.
  54. Refet S. Gürkaynak & Jonathan H. Wright, 2012. "Macroeconomics and the Term Structure," Journal of Economic Literature, American Economic Association, vol. 50(2), pages 331-367, June.
  55. Heipertz, Jonas & Mihov, Ilian & Santacreu, Ana Maria, 2022. "Managing macroeconomic fluctuations with flexible exchange rate targeting," Journal of Economic Dynamics and Control, Elsevier, vol. 135(C).
  56. Eric T. Swanson, 2020. "Implications of Labor Market Frictions for Risk Aversion and Risk Premia," American Economic Journal: Macroeconomics, American Economic Association, vol. 12(2), pages 194-240, April.
  57. Anthony M. Diercks & Alex Hsu & Andrea Tamoni, 2020. "When it Rains it Pours: Cascading Uncertainty Shocks," Finance and Economics Discussion Series 2020-064, Board of Governors of the Federal Reserve System (U.S.).
  58. Hirshleifer, David & Li, Jun & Yu, Jianfeng, 2015. "Asset pricing in production economies with extrapolative expectations," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 87-106.
  59. John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2020. "Macroeconomic Drivers of Bond and Equity Risks," Journal of Political Economy, University of Chicago Press, vol. 128(8), pages 3148-3185.
  60. 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.
  61. Bekaert, Geert & Engstrom, Eric & Ermolov, Andrey, 2021. "Macro risks and the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 141(2), pages 479-504.
  62. Meissner, Thomas & Pfeiffer, Philipp, 2022. "Measuring preferences over the temporal resolution of consumption uncertainty," Journal of Economic Theory, Elsevier, vol. 200(C).
  63. Barbara Annicchiarico & Alessandra Pelloni & Fabrizio Valenti, 2016. "Volatility and Growth with Recursive Preferences," CEIS Research Paper 387, Tor Vergata University, CEIS, revised 24 Jun 2016.
  64. Meyer-Gohde, Alexander, 2015. "Risk-Sensitive Linear Approximations," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113057, Verein für Socialpolitik / German Economic Association.
  65. Segal, Gill, 2019. "A tale of two volatilities: Sectoral uncertainty, growth, and asset prices," Journal of Financial Economics, Elsevier, vol. 134(1), pages 110-140.
  66. Anna Kormilitsina & Denis Nekipelov, 2016. "Consistent Variance Of The Laplace‐Type Estimators: Application To Dsge Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 57(2), pages 603-622, May.
  67. 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.
  68. Eduardo de Sá Fortes Leitão Rodrigues, 2021. "Uncertainty and Effectiveness of Public Consumption," Working Papers REM 2021/0180, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  69. Benjamin Born & Johannes Pfeifer, 2021. "Uncertainty‐driven business cycles: Assessing the markup channel," Quantitative Economics, Econometric Society, vol. 12(2), pages 587-623, May.
  70. Born, Benjamin & Pfeifer, Johannes, 2014. "Policy risk and the business cycle," Journal of Monetary Economics, Elsevier, vol. 68(C), pages 68-85.
  71. Babiak, Mykola & Kozhan, Roman, 2024. "Parameter learning in production economies," Journal of Monetary Economics, Elsevier, vol. 144(C).
  72. Francisco Ruge‐Murcia, 2017. "Skewness Risk and Bond Prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(2), pages 379-400, March.
  73. repec:zbw:bofitp:2013_024 is not listed on IDEAS
  74. Martin M Andreasen & Jesús Fernández-Villaverde & Juan F Rubio-Ramírez, 2018. "The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(1), pages 1-49.
  75. 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.
  76. 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.).
  77. Francisco (F.) Blasques & Marc Nientker, 2019. "Transformed Perturbation Solutions for Dynamic Stochastic General Equilibrium Models," Tinbergen Institute Discussion Papers 19-012/III, Tinbergen Institute, revised 09 Feb 2020.
  78. Eric Swanson, 2018. "Risk Aversion, Risk Premia, and the Labor Margin with Generalized Recursive Preferences," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 28, pages 290-321, April.
  79. AJ A. Bostian & Christoph Heinzel, 2018. "Comparative precautionary saving under higher-order risk and recursive utility," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 43(1), pages 95-114, May.
  80. Chan, Ying Tung & Qiao, Hui, 2023. "Volatility spillover between oil and stock prices: Structural connectedness based on a multi-sector DSGE model approach with Bayesian estimation," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 265-286.
  81. Christoffel, Kai & Kilponen, Juha & Jaccard, Ivan, 2011. "Government bond risk premia and the cyclicality of fiscal policy," Working Paper Series 1411, European Central Bank.
  82. Alex Hsu & Erica X. N. Li & Francisco J. Palomino, 2016. "Real and Nominal Equilibrium Yield Curves: Wage Rigidities and Permanent Shocks," Finance and Economics Discussion Series 2016-032, Board of Governors of the Federal Reserve System (U.S.).
  83. Hall, Jamie, 2012. "Consumption dynamics in general equilibrium," MPRA Paper 43933, University Library of Munich, Germany.
  84. 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.).
  85. Roman Sustek, 2021. "Yield curve and the business cycle in conventional times," Discussion Papers 2122, Centre for Macroeconomics (CFM).
  86. Horváth, Ferenc, 2017. "Essays on robust asset pricing," Other publications TiSEM e54d7b33-1f27-4b0e-9f84-f, Tilburg University, School of Economics and Management.
  87. Takamizawa, Hideyuki, 2022. "An equilibrium model of the term structures of bonds and equities," International Review of Financial Analysis, Elsevier, vol. 84(C).
  88. Luigi Bocola & Nils M. Gornemann, 2013. "Risk, economic growth and the value of U.S. corporations," Working Papers 13-10, Federal Reserve Bank of Philadelphia.
  89. Thien Nguyen, 2019. "Public Debt and the Slope of the Term Structure," 2019 Meeting Papers 957, Society for Economic Dynamics.
  90. Stan Olijslagers & Sweder van Wijnbergen, 2019. "Discounting the Future: on Climate Change, Ambiguity Aversion and Epstein-Zin Preferences," Tinbergen Institute Discussion Papers 19-030/VI, Tinbergen Institute.
  91. Martin Andreasen, 2012. "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(3), pages 295-316, July.
  92. Burçin Kısacıkoğlu, 2020. "Real Term Structure and New Keynesian Models," International Journal of Central Banking, International Journal of Central Banking, vol. 16(3), pages 95-139, June.
  93. Mikkelsen, Jakob & Poeschl, Johannes, 2019. "Banking Panic Risk and Macroeconomic Uncertainty," MPRA Paper 94729, University Library of Munich, Germany.
  94. Ales Marsal & Lorant Kaszab & Roman Horvath, 2017. "Government Spending and the Term Structure of Interest Rates in a DSGE Model," Working and Discussion Papers WP 3/2017, Research Department, National Bank of Slovakia.
  95. Grzegorz Wesoƚowski, 2018. "Do long-term interest rates drive GDP and inflation in small open economies? Evidence from Poland," Applied Economics, Taylor & Francis Journals, vol. 50(57), pages 6174-6192, December.
  96. Duffee, Gregory R., 2013. "Bond Pricing and the Macroeconomy," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 907-967, Elsevier.
  97. repec:hum:wpaper:sfb649dp2013-022 is not listed on IDEAS
  98. Christoffel, Kai & Jaccard, Ivan & Kilponen, Juha, 2013. "Welfare and bond pricing implications of fiscal stabilization policies," Bank of Finland Research Discussion Papers 32/2013, Bank of Finland.
  99. Martin M. Andreasen & Giovanni Caggiano & Efrem Castelnuovo & Giovanni Pellegrino, 2021. "Why Does Risk Matter More in Recessions than in Expansions?," "Marco Fanno" Working Papers 0275, Dipartimento di Scienze Economiche "Marco Fanno".
  100. Morris, Stephen D., 2020. "Is the Taylor principle still valid when rates are low?," Journal of Macroeconomics, Elsevier, vol. 64(C).
  101. Eric Swanson, 2015. "A Macroeconomic Model of Equities and Real, Nominal, and Defaultable Debt," 2015 Meeting Papers 273, Society for Economic Dynamics.
  102. Jermann, Urban J., 2013. "A production-based model for the term structure," Journal of Financial Economics, Elsevier, vol. 109(2), pages 293-306.
  103. Atkinson, Tyler & Richter, Alexander W. & Throckmorton, Nathaniel A., 2020. "The zero lower bound and estimation accuracy," Journal of Monetary Economics, Elsevier, vol. 115(C), pages 249-264.
  104. Amisano, Gianni & Tristani, Oreste, 2019. "Uncertainty shocks, monetary policy and long-term interest rates," Working Paper Series 2279, European Central Bank.
  105. Balcilar, Mehmet & Gupta, Rangan & Kotzé, Kevin, 2015. "Forecasting macroeconomic data for an emerging market with a nonlinear DSGE model," Economic Modelling, Elsevier, vol. 44(C), pages 215-228.
  106. Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2012. "Risk, Monetary Policy, and the Exchange Rate," NBER Macroeconomics Annual, University of Chicago Press, vol. 26(1), pages 247-309.
  107. Andreasen, Martin, 2011. "An estimated DSGE model: explaining variation in term premia," Bank of England working papers 441, Bank of England.
  108. Born, Benjamin & Müller, Gernot & Pfeifer, Johannes, 2020. "Uncertainty shocks in currency unions," CEPR Discussion Papers 15579, C.E.P.R. Discussion Papers.
  109. Eugenio S.A. Bobenrieth & Juan R.A. Bobenrieth & Ernesto A. Guerra & Brian D. Wright & Di Zeng, 2021. "Putting the Empirical Commodity Storage Model Back on Track: Crucial Implications of a “Negligible” Trend," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(3), pages 1034-1057, May.
  110. Andreasen, Martin M. & Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2024. "Does risk matter more in recessions than in expansions? Implications for monetary policy," Journal of Monetary Economics, Elsevier, vol. 143(C).
  111. Mitsuru Katagiri, 2018. "Equilibrium Yield Curve, the Phillips Curve, and Monetary Policy," IMF Working Papers 2018/242, International Monetary Fund.
  112. James Staveley-O'Carroll & Olena Staveley-O'Carroll, 2019. "International Welfare Spillovers of National Pension Schemes," Working Papers 1903, College of the Holy Cross, Department of Economics.
  113. Lan, Hong & Meyer-Gohde, Alexander, 2013. "Decomposing risk in dynamic stochastic general equilibrium," SFB 649 Discussion Papers 2013-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  114. repec:hum:wpaper:sfb649dp2014-034 is not listed on IDEAS
  115. Glenn D. Rudebusch & Eric T. Swanson, 2012. "The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(1), pages 105-143, January.
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  117. Jean‐Jacques Forneron, 2023. "A Sieve‐SMM Estimator for Dynamic Models," Econometrica, Econometric Society, vol. 91(3), pages 943-977, May.
  118. Alfonso Irarrazabal & Juan Carlos Parra-Alvarez, 2015. "Time-varying disaster risk models: An empirical assessment of the Rietz-Barro hypothesis," CREATES Research Papers 2015-08, Department of Economics and Business Economics, Aarhus University.
  119. Kung, Howard, 2015. "Macroeconomic linkages between monetary policy and the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 115(1), pages 42-57.
  120. Indrajit Mitra & Yu Xu, 2020. "Limited Household Risk Sharing: General Equilibrium Implications for the Term Structure of Interest Rates," FRB Atlanta Working Paper 2020-20, Federal Reserve Bank of Atlanta.
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  122. Yuanyuan Chen & Stuart Fowler, 2016. "Hybrid Perturbation-Projection Method for Solving DSGE Asset Pricing Models," Computational Economics, Springer;Society for Computational Economics, vol. 48(4), pages 649-667, December.
  123. Ales Marsal & Katrin Rabitsch & Lorant Kaszab, 2023. "From Linear to Nonlinear: Rethinking Inflation Dynamics in the Calvo Pricing Mechanism," Department of Economics Working Papers wuwp350, Vienna University of Economics and Business, Department of Economics.
  124. Eggertsson, Gauti B. & Robbins, Jacob A. & Wold, Ella Getz, 2021. "Kaldor and Piketty’s facts: The rise of monopoly power in the United States," Journal of Monetary Economics, Elsevier, vol. 124(S), pages 19-38.
  125. Robert Amano & Thomas Carter & Sylvain Leduc, 2019. "Precautionary Pricing: The Disinflationary Effects of ELB Risk," Working Paper Series 2019-26, Federal Reserve Bank of San Francisco.
  126. Hakon Tretvoll, 2012. "Real exchange rate variability in a two country business cycle model," 2012 Meeting Papers 911, Society for Economic Dynamics.
  127. Ivan Sutoris, 2018. "Asset Prices in a Production Economy with Long Run and Idiosyncratic Risk," CERGE-EI Working Papers wp620, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  128. Eric T. Swanson, 2012. "Risk Aversion and the Labor Margin in Dynamic Equilibrium Models," American Economic Review, American Economic Association, vol. 102(4), pages 1663-1691, June.
  129. Sun, Xiaojin & Tsang, Kwok Ping, 2023. "Yield curve and the macroeconomy: Evidence from a DSGE model with housing," Journal of Macroeconomics, Elsevier, vol. 75(C).
  130. Doh, Taeyoung, 2011. "Yield curve in an estimated nonlinear macro model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(8), pages 1229-1244, August.
  131. 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.
  132. Stan Olijslagers & Sweder Wijnbergen, 2024. "Discounting the Future: On Climate Change, Ambiguity Aversion and Epstein–Zin Preferences," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 87(3), pages 683-730, March.
  133. Blagov, Boris & Funke, Michael, 2019. "The Regime-Dependent Evolution Of Credibility: A Fresh Look At Hong Kong'S Linked Exchange Rate System," Macroeconomic Dynamics, Cambridge University Press, vol. 23(6), pages 2434-2468, September.
  134. Jaccard, Ivan, 2018. "Stochastic discounting and the transmission of money supply shocks," Working Paper Series 2174, European Central Bank.
  135. Alex Hsu & Erica X. N. Li & Francisco Palomino, 2021. "Real and Nominal Equilibrium Yield Curves," Management Science, INFORMS, vol. 67(2), pages 1138-1158, February.
  136. Staveley-O’Carroll James & Staveley-O’Carroll Olena M., 2021. "International Welfare Spillovers of National Pension Schemes," The B.E. Journal of Macroeconomics, De Gruyter, vol. 21(1), pages 363-397, January.
  137. Gianni Amisano & Oreste Tristani, 2023. "Monetary policy and long‐term interest rates," Quantitative Economics, Econometric Society, vol. 14(2), pages 689-716, May.
  138. Ian Dew‐Becker, 2014. "Bond Pricing with a Time‐Varying Price of Risk in an Estimated Medium‐Scale Bayesian DSGE Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(5), pages 837-888, August.
  139. Leland E. Farmer, 2021. "The discretization filter: A simple way to estimate nonlinear state space models," Quantitative Economics, Econometric Society, vol. 12(1), pages 41-76, January.
  140. Andreasen Martin M. & Zabczyk Pawel, 2015. "Efficient bond price approximations in non-linear equilibrium-based term structure models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(1), pages 1-33, February.
  141. Kozak, Serhiy, 2022. "Dynamics of bond and stock returns," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 188-209.
  142. Anh Nguyen, 2015. "Financial frictions and the volatility of monetary policy in a DSGE model," Working Papers 75949436, Lancaster University Management School, Economics Department.
  143. Christensen, Bent Jesper & Posch, Olaf & van der Wel, Michel, 2016. "Estimating dynamic equilibrium models using mixed frequency macro and financial data," Journal of Econometrics, Elsevier, vol. 194(1), pages 116-137.
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