The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks

516 citations recorded by the source corpus.

Citations in the corpus

Cross-Country Heterogeneity in Intertemporal Substitution (2015, unknown): “…use the value of 0.2 (Chari et al., 2002; House & Shapiro, 2006; Piazzesi et al., 2007), or the value of 0.5 (Jin, 2012; Trabandt & Uhlig, 2011; Rudebusch & Swanson, 2012), or the value of 2 (Ai, 2010; Barro, 2009; Colacito & Croce, 2 2011), to name but a few recent examples of different…”
The response of interest rates to U.S. and U.K. quantitative easing (2012, unknown): “8 Ultimately, of course, the behaviour of the stochastic discount factor is determined by the preferences of the agents in the economy, as in, for example, Rudebusch and Swanson (2011). 2012] F387 R E S P O N S E O F I N T E R E S T R A T E S T O Q E”
Uncertainty Shocks in a Model of Effective Demand (2011, unknown): “We calibrate risk aversion over the consumption-leisure basket σ = 80, which is in line with the previous estimates of van Binsbergen et al. (2012) and Swanson and Rudebusch (2012).”
MEASURING INTERTEMPORAL SUBSTITUTION: THE IMPORTANCE OF METHOD CHOICES AND SELECTIVE REPORTING (2015, unknown): “The mean estimate reported in the literature thus corresponds to the common calibration value referred to, for example, by Trabandt and Uhlig (2011), Jeanne and Ranciere (2011), Jin (2012), and Rudebusch and Swanson (2012).1 But the arithmetic mean is driven by studies reporting many estimates.”