The basic inability of standard theoretical models to generate a sufficiently large and variable nominal bond risk premium has been termed the "bond premium puzzle." We show that the term premium on long-term bonds in the canonical dynamic stochastic general equilibrium (DSGE) model used in...

Many researchers have used federal funds futures rates as measures of financial markets' expectations of future monetary policy. However, to the extent that federal funds futures reflect risk premia, these measures require some adjustment. In this paper, we document that excess returns on...

The optimal control approach to monetary policy has garnered increased attention in recent years. Optimal control policies, however, are designed for the specific features of a particular model and therefore may not be robust to model misspecification. One important source of potential...