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'First order' risk aversion and the equity premium puzzle

Epstein, Larry G.; Zin, Stanley E. - 1989

Persistent link: https://www.econbiz.de/10000785554

Term premium dynamics and the Taylor rule

Gallmeyer, Michael F.; Hollifield, Burton; Palomino, … - In: The quarterly journal of finance 7 (2017) 4, pp. 1-39

Persistent link: https://www.econbiz.de/10011774152

Model uncertainty and liquidity

Routledge, Bryan R.; Zin, Stanley E. - 2001

Persistent link: https://www.econbiz.de/10001637614

Model uncertainty and liquidity

Routledge, Bryan R.; Zin, Stanley E. - In: Review of economic dynamics 12 (2009) 4, pp. 543-566

Persistent link: https://www.econbiz.de/10003923730

Arbitrage-free bond pricing with dynamic macroeconomic models

Gallmeyer, Michael F.; Hollifield, Burton; Palomino, … - 2007

We examine the relationship between monetary-policy-induced changes in short interest rates and yields on long-maturity default-free bonds. The volatility of the long end of the term structure and its relationship with monetary policy are puzzling from the perspective of simple structural...