Bond risk premia in consumption‐based models

DOI10.3982/QE887zbMath1466.91199OpenAlexW3110239300MaRDI QIDQ4991634

Jing Cynthia Wu, Drew D. Creal

Publication date: 3 June 2021

Published in: Quantitative Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/qe887

zbMATH Keywords

stochastic volatilityterm structure of interest ratesparticle filterMCMCrecursive preferencesbond risk premiastochastic rate of time preference

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Valuation risk revalued ⋮ Are bond returns predictable with real-time macro data? ⋮ Asset pricing with time preference shocks: existence and uniqueness ⋮ Reexamining time-varying bond risk premia in the post-financial crisis era ⋮ A shadow rate New Keynesian model

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