Habit Formation and Macroeconomic Models of the Term Structure of Interest Rates
By Andrea Buraschi, Alexei Jiltsov. 2007
133 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/0d62bf527a70699929142fe0f0a8a0fc9fb76013
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Citations in the corpus
- Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds (2013, unknown): “Dai and Singleton (2002), Bekaert, Engstrom, and Grenadier (2005), Wachter (2006), Buraschi and Jiltsov (2007), and Bekaert, Engstrom, and Xing (2009) specify term structure models in which risk aversion varies over time, in uencing the shape of the yield curve.”
- Appendix: Monetary Policy Drivers of Bond and Equity Risks (2020, unknown): “Endogenous responses of bond risk premia amplify these effects of monetary policy on bond risks.”
- The term structures of equity and interest rates (2011, unknown): “…that seeks to simultaneously explain prices in bonds and in the aggregate stock market (see Bakshi and Chen, 1996; Bansal and Shaliastovich, 2007; Bekaert, Engstrom, and Grenadier, 2006; Buraschi and Jiltsov, 2007; Gabaix, 2008; Lustig, Van Nieuwerburgh, and Verdelhan, 2008; Wachter, 2006).”
- Stock and bond returns with Moody Investors (2010, unknown): “We thank Pietro Veronesi for useful comments.”
- How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements (2013, background): “Although there is evidence that the inflation risk premium may have declined over time, most studies agree that it has always been positive (see, e.g., Buraschi and Jiltsov (2007) and Campbell, Sunderam, and Viceira (2011)).”
- Monetary Policy Shifts and the Term Structure (2011, unknown): “906 in equation (16) and is also higher than the constant Taylor rule estimate of 0.”
- A Preferred-Habitat Model of the Term Structure of Interest Rates (2009, unknown): “In Wachter (2006), Buraschi and Jiltsov (2007) and Lettau and Wachter (2009), a representative agent has habit formation, and periods of low consumption are associated with high short rates and bond risk premia.”