Appendix for "Who Should Buy Long-Term Bonds?"

By John Y. Campbell, Luis M. Viceira. 2001

511 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/33df5a9505cdca6cce91318f6257986481d964fe

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Citations in the corpus

The Financial Market Effects of the Federal Reserve's Large-Scale Asset Purchases * (2012, background): “See Markowitz (1952), Sharpe (1964), and Campbell and Viceira (2001, 2005). More recently, Vayanos and Vila (2009) have developed a theoretical model of the term structure based on preferred habitats of investors, which also relies on risk aversion. Andres, López-Salido, and Nelson (2004) provide an”
Dynamic asset allocation with stochastic income and interest rates. (2010, unknown): “Other studies of portfolio choice with uncertain interest rates include Brennan, Schwartz, and Lagnado (1997), Campbell and Viceira (2001), Detemple, Garcia, and Rindisbacher (2003), and Munk and Sørensen (2004).”
Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors (2005, unknown): “…0 (0.212) (0.078) z2(t) −0.245 0 −1.815 0 (0.078) (0.169) z3(t) −0.219 0.537 0.376 −0.082 (0.052) (0.174) (0.117) (0.055) z4(t) 0.440 0.111 0.305 −0.017 zt(5) 0 0 0 0 a model to have, as Campbell and Viceira (2001) discuss, it is not guaranteed that models such as this one fit time series means.”
A consumption-based model of the term structure of interest rates ☆ (2006, methodology): “Following Campbell and Viceira (2001), I use only quarterly observations to eliminate the high-frequency fluctuations that would seem difficult to explain using a model with macro-based variables.”
Dynamic asset allocation under mean-reverting returns, stochastic interest rates, and inflation uncertainty: Are popular recommendations consistent with rational behavior? (2004, methodology): “The estimation approach is basically similar to the approach used by Pennacchi (1991) for term structure estimation and adopted by Campbell and Viceira (2001) and Brennan and Xia (2002) in a context similar to the present, but with the assumption of constant excess return on the stock.”
The term structures of equity and interest rates (2011, unknown): “Following Campbell and Viceira (2001) , we use the superscript $ to denote nominal quantities for the nominal bond.”
Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets (2005, unknown): “Campbell and Viceira (1999, 2001) and Campbell, Chan, and Viceira (2003) show a similar result in models with time variation in risk premia and interest rates.”
Large-scale asset purchases by the Federal Reserve: did they work? (2010, unknown): “See Markowitz (1952), Sharpe (1964), and Campbell and Viceira (2001, 2005).”
Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy? (2009, unknown): “…of this paper, we partially address this issue by considering two models of dynamic asset allocation that allow for (i) stochastic interest rates, as in Campbell and Viceira (2001); and (ii) time-varying expected returns, as in Campbell and Viceira (1999) and Campbell, Chan, and Viceira (2003).”