A consumption-based model of the term structure of interest rates ☆

By Jessica A. Wachter. 2006

673 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f9322041d2c4766ea104f7f9585b57573c142316

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Citations in the corpus

Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment (2014, methodology): “This raises a stark question about the OLS term premia, since much theoretical (Campbell and Cochrane 1999; Bansal and Yaron 2004; Wachter 2006) and empirical research (Harvey 1989; Cochrane and Piazzesi 2005; Lustig and Verdelhan 2007; Lustig, Roussanov, and Verdelhan 2010) support the view that…”
Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium (2007, positive): “Indeed, in a term structure context, Wachter (2006) shows that the model of Campbell and Cochrane (1999) implies that long-horizon assets exhibit greater risk premia than do short horizon assets for exactly this reason.”
A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets (2012, positive): “In the context of the habits model, Verdelhan (2010) shows that pro-cyclical interest rates are required to account for foreign exchange violations, however, Wachter (2006) relies on counter-cyclicality of real interest rates to explain the domestic term structure.”
A Factor Analysis of Bond Risk Premia (2009, positive): “This result is in accord with the models of Campbell (1999) and Wachter (2006), which posit that forecasts of excess returns should be counter-cyclical because risk aversion is low in good times and high in recessions.”
The Cross-Section and Time-Series of Stock and Bond Returns (2017, neutral): “This inflation process is common in the literature (e.g., Wachter, 2006; Bansal and Shaliastovich, 2013).”
Bond Market Exposures to Macroeconomic and Monetary Policy Risks (2017, background): “This environment, called the CP regime, is the extreme version of the economy described by Piazzesi and Schneider (2006), Wachter (2006), Eraker (2008), and Bansal and Shaliastovich (2013) who assume inflation is countercyclical and risky.”
Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds (2013, neutral): “The nominal-real covariance has declined since the early 1980 s, driving down term premia.”
Investor attention, psychological anchors, and stock return predictability (2012, positive): “Campbell and Cochrane’s (1999) surplus ratio is approximated by a smoothed average of the past 40-quarter consumption growth as in Wachter (2006).”
The Time Variation in Risk Appetite and Uncertainty (2019, positive): “Following Wachter (2006), we create a fundamental risk aversion process from consumption data and the parameter estimates of Campbell and Cochrane (1999).”
Discrete-Time Affineℚ Term Structure Models with Generalized Market Prices of Risk (2010, neutral): “CC, Wachter, and Verdelhan calibrated their models to selected sets of moments.”
A Preferred-Habitat Model of the Term Structure of Interest Rates (2009, positive): “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.”