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Inflation, Risk Premia, and the Business Cycle

https://doi.org/10.2139/ssrn.5014871
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Interpreting the macroeconomic time series facts
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Macroeconomics and finance: The role of the stock market
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An intertemporal asset pricing model with stochastic consumption and investment opportunities
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The term structures of equity and interest rates
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A five-factor asset pricing model
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Searching for the equity premium
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Common shocks in stocks and bonds
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Why does the Fed move markets so much? A model of monetary policy and time-varying risk aversion
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The “price puzzle” reconsidered
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The U.S. Treasury yield curve: 1961 to the present
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Risk-sensitive real business cycles
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Asset pricing in production economies
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By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
inferredcites →https://doi.org/10.1086/261117openalex-snapshot
Sticky Prices in the United States
inferredcites →https://doi.org/10.1086/426038openalex-snapshot
Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy
inferredcites →https://doi.org/10.1086/707181openalex-snapshot
Optimal Inflation and the Identification of the Phillips Curve
inferredcites →https://doi.org/10.1086/707766openalex-snapshot
Macroeconomic Drivers of Bond and Equity Risks
inferredcites →https://doi.org/10.1093/rfs/hhaa116openalex-snapshot
The Economics of the Fed Put
inferredcites →https://doi.org/10.1093/rfs/hhq033openalex-snapshot
Long-Run Risk through Consumption Smoothing
inferredcites →https://doi.org/10.1093/rfs/hhx047openalex-snapshot
External Habit in a Production Economy: A Model of Asset Prices and Consumption Volatility Risk
inferredcites →https://doi.org/10.1093/rfs/hhy008openalex-snapshot
Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility
inferredcites →https://doi.org/10.1111/j.1467-937x.2009.00578.xopenalex-snapshot
Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference
inferredcites →https://doi.org/10.1111/jmcb.12130openalex-snapshot
Bond Pricing with a Time‐Varying Price of Risk in an Estimated Medium‐Scale Bayesian DSGE Model
inferredcites →https://doi.org/10.1111/jmcb.13215openalex-snapshot
Monetary Policy and Government Debt
inferredcites →https://doi.org/10.1111/jofi.13282openalex-snapshot
Discount Rates, Debt Maturity, and the Fiscal Theory
inferredcites →https://doi.org/10.1162/rest_a_00706openalex-snapshot
Why You Should Never Use the Hodrick-Prescott Filter
inferredcites →https://doi.org/10.1257/0002828053828518openalex-snapshot
Estimation and Inference of Impulse Responses by Local Projections
inferredcites →https://doi.org/10.1257/0002828053828572openalex-snapshot
The Cyclical Behavior of Equilibrium Unemployment and Vacancies
inferredcites →https://doi.org/10.1257/aer.97.3.586openalex-snapshot
Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach
inferredcites →https://doi.org/10.1257/aer.98.4.1692openalex-snapshot
The Cyclical Behavior of Equilibrium Unemployment and Vacancies Revisited
inferredcites →https://doi.org/10.1257/jel.49.4.938openalex-snapshot
Sign Restrictions in Structural Vector Autoregressions: A Critical Review
inferredcites →https://doi.org/10.1257/jep.31.3.29openalex-snapshot
The Safe Assets Shortage Conundrum
inferredcites →https://doi.org/10.21033/cfl-2023-475openalex-snapshot
The recent steepening of Phillips curves
inferredcites →https://doi.org/10.2139/ssrn.1080246openalex-snapshot
The Cyclical Behavior of Equilibrium Unemployment and Vacancies Revisited
inferredcites →https://doi.org/10.2139/ssrn.1687574openalex-snapshot
Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach
inferredcites →https://doi.org/10.2139/ssrn.2006342openalex-snapshot
Unemployment in an Estimated New Keynesian Model
inferredcites →https://doi.org/10.2139/ssrn.2541916openalex-snapshot
Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility
inferredcites →https://doi.org/10.2139/ssrn.284956openalex-snapshot
Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy
inferredcites →https://doi.org/10.2139/ssrn.3741486openalex-snapshot
Precautionary Savings and the Stock-Bond Covariance
inferredcites →https://doi.org/10.2139/ssrn.3896402openalex-snapshot
Can Monetary Policy Create Fiscal Capacity?
inferredcites →https://doi.org/10.2139/ssrn.4349554openalex-snapshot
Back to the 1980s or Not? The Drivers of Inflation and Real Risks in Treasury Bonds
inferredcites →https://doi.org/10.2307/1883127openalex-snapshot
Time-Separable Preferences and Intertemporal-Substitution Models of Business Cycles
inferredcites →https://doi.org/10.2307/2328880openalex-snapshot
What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns
inferredcites →https://doi.org/10.2307/j.ctv2sbm8khopenalex-snapshot
The Fiscal Theory of the Price Level
inferredcites →https://doi.org/10.3386/w10867openalex-snapshot
Theoretical Foundations of Buffer Stock Saving
inferredcites →https://doi.org/10.3386/w19818openalex-snapshot
Origins of Stock Market Fluctuations
inferredcites →https://doi.org/10.3386/w25892openalex-snapshot
Optimal Inflation and the Identification of the Phillips Curve
inferredcites →https://doi.org/10.3386/w26583openalex-snapshot
The U.S. Public Debt Valuation Puzzle
inferredcites →https://doi.org/10.3386/w27856openalex-snapshot
Why Does the Fed Move Markets so Much? A Model of Monetary Policy and Time-Varying Risk Aversion
inferredcites →https://doi.org/10.3386/w28693openalex-snapshot
Risky Business Cycles
inferredcites →https://doi.org/10.3386/w29085openalex-snapshot
The Real Channel for Nominal Bond-Stock Puzzles
inferredcites →https://doi.org/10.3386/w30132openalex-snapshot
A Monetary Policy Asset Pricing Model
inferredcites →https://doi.org/10.3386/w3760openalex-snapshot
What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns
inferredcites →https://doi.org/10.3386/w4995openalex-snapshot
By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
inferredcites →https://doi.org/10.3982/ecta13960openalex-snapshot
Uncertainty Shocks in a Model of Effective Demand
inferredcites →https://doi.org/10.3982/ecta15949openalex-snapshot
Financial Heterogeneity and the Investment Channel of Monetary Policy
inferredcites →https://doi.org/10.3982/ecta18014openalex-snapshot
Monetary Policy, Redistribution, and Risk Premia
inferredcites →https://doi.org/10.5089/9798400255397.001openalex-snapshot
The Market Price of Risk and Macro-Financial Dynamics
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