Albuquerque, R., M. Eichenbaum, V. X. Luo, S. Rebelo, 2016. Valuation risk and asset pricing. The Journal of Finance 71(6), 2861â2904.
Bansal, R., A. Yaron, 2004. Risks for the long run: A potential resolution of asset pricing puzzles. The Journal of Finance 59(4), 1481â1509.
Bansal, R., I. Shaliastovich, 2013. A long-run risks explanation of predictability puzzles in bond and currency markets. The Review of Financial Studies 26(1), 1â33.
Begenau, J., T. Landvoigt, 2017. Financial regulation in a quantitative model of the modern banking system. . Belo, F., V. D. Gala, J. Li, 2013. Government spending, political cycles, and the cross section of stock returns. Journal of Financial Economics 107(2), 305â324.
Belo, F., J. Yu, 2013. Government investment and the stock market. Journal of Monetary Economics 60(3), 325â339.
Bianchi, F., C. Ilut, 2017. Monetary/fiscal policy mix and agentsâ beliefs. Review of economic Dynamics 26, 113â139.
Bianchi, F., L. Melosi, 2017. Escaping the great recession. American Economic Review 107(4), 1030â58.
Bretscher, L., A. Hsu, A. Tamoni, 2017. Level and Volatility Shocks to Fiscal Policy: Term Structure Implications. . Campbell, J. Y., H. K. Koo, 1997. A comparison of numerical and analytic approximate solutions to an intertemporal consumption choice problem. Journal of Economic Dynamics and Control 21(2-3), 273â295.
Campbell, J. Y., C. Pflueger, L. M. Viceira, 2014. Monetary policy drivers of bond and equity risks. NBER Working Paper.
Campbell, J. Y., L. Viceira, 2001. Who should buy long-term bonds?. American Economic Review 91(1), 99â127.
Campbell, J. Y., R. J. Shiller, 1988. Stock prices, earnings, and expected dividends. The Journal of Finance 43(3), 661â676.
Chernov, M., L. Schmid, A. Schneider, 2016. A macrofinance view of US sovereign CDS premiums. . Cochrane, J. H., 2001. Long-term debt and optimal policy in the fiscal theory of the price level. Econometrica 69(1), 69â116.
- Cochrane, J. H., 2020a. The Fiscal Roots of Inflation. Working Paper.
Paper not yet in RePEc: Add citation now
Cochrane, J. H., 2020b. A fiscal theory of monetary policy with partially-repaid long-term debt. Unpublished working paper. National Bureau of Economic Research.
Cochrane, J. H., M. Piazzesi, 2005. Bond risk premia. The American economic review 95(1), 138â160.
Croce, M. M., 2014. Long-run productivity risk: A new hope for production-based asset pricing?. Journal of Monetary Economics 66, 13â31.
Croce, M. M., H. Kung, T. T. Nguyen, L. Schmid, 2012. Fiscal policies and asset prices.
De Loecker, J., J. Eeckhout, G. Unger, 2020. The rise of market power and the macroeconomic implications. The Quarterly Journal of Economics 135(2), 561â644.
Dew-Becker, I., 2014. Bond pricing with a time-varying price of risk in an estimated medium-scale bayesian DSGE model. Journal of Money, Credit, and Banking 46(5), 837â888.
Doepke, M., M. Schneider, 2006. Inflation and the redistribution of nominal wealth.
Duffee, G. R., 2002. Term premia and interest rate forecasts in affine models. The Journal of Finance 57(1), 405â443.
Duffee, G. R., 2018. Expected inflation and other determinants of Treasury yields. The Journal of Finance 73(5), 2139â2180.
Electronic copy available at: https://ssrn.com/abstract=3940955 Cochrane, J. H., 2014. Monetary Policy with Interest on Reserves. Unpublished working paper. University of Chicago.
- Electronic copy available at: https://ssrn.com/abstract=3940955 GalıÌ, J., 2015. Monetary policy, inflation, and the business cycle: An introduction to the new Keynesian framework and its applications, second edition. Princeton University Press.
Paper not yet in RePEc: Add citation now
Electronic copy available at: https://ssrn.com/abstract=3940955 Leeper, E. M., 1991. Equilibria under active and passive monetary and fiscal policies. Journal of Monetary Economics 27(1), 129â147.
Electronic copy available at: https://ssrn.com/abstract=3940955 Wallace, N., 1981. A Modigliani-Miller theorem for open-market operations. The American Economic Review 71(3), 267â274.
Elenev, V., T. Landvoigt, S. Van Nieuwerburgh, 2018. A macroeconomic model with financially constrained producers and intermediaries. Unpublished working paper. National Bureau of Economic Research.
Elenev, V., T. Landvoigt, S. Van Nieuwerburgh, P. Schultz, 2021. Can Monetary Policy Create Fiscal Capacity. Unpublished working paper. National Bureau of Economic Research.
FernaÌndez-Villaverde, J., G. Gordon, P. GuerroÌn-Quintana, J. F. Rubio-Ramirez, 2015. Nonlinear adventures at the zero lower bound. Journal of Economic Dynamics and Control 57, 182â204.
- Fernald, J., 2014. A quarterly, utilization-adjusted series on total factor productivity. Federal Reserve Bank of San Francisco.
Paper not yet in RePEc: Add citation now
Gomes, F., A. Michaelides, V. Polkovnichenko, 2013. Fiscal policy and asset prices with incomplete markets. Review of Financial Studies 26(2), 531â566.
Gomes, J., U. Jermann, L. Schmid, 2016. Sticky leverage. American Economic Review 106(12), 3800â3828.
Gourio, F., A. K. Kashyap, J. W. Sim, 2018. The Trade offs in Leaning Against the Wind. IMF Economic Review 66(1), 70â115.
Gourio, F., P. Ngo, 2016. Risk premia at the ZLB: a macroeconomic interpretation. Federal Reserve Bank of Chicago.
Greenwood, R., D. Vayanos, 2014. Bond supply and excess bond returns. Review of Financial Studies 27(3), 663â713.
Greenwood, R., S. G. Hanson, J. C. Stein, 2015. A comparative-advantage approach to government debt maturity. The Journal of Finance 70(4), 1683â1722.
- GuÌrkaynak, R. S., B. Sack, J. H. Wright, 2007. The US Treasury yield curve: 1961 to the present. Journal of monetary Economics 54(8), 2291â2304.
Paper not yet in RePEc: Add citation now
Hall, G. J., T. J. Sargent, 2011. Interest rate risk and other determinants of post-WWII US government debt/GDP dynamics. American Economic Journal: Macroeconomics 3(3), 192â214.
Hamilton, J. D., J. C. Wu, 2012. The effectiveness of alternative monetary policy tools in a zero lower bound environment. Journal of Money, Credit and Banking 44(1), 3â46.
Jiang, Z., H. Lustig, S. Van Nieuwerburgh, M. Z. Xiaolan, 2019. The us public debt valuation puzzle. Unpublished working paper. National Bureau of Economic Research.
Jiang, Z., H. Lustig, S. Van Nieuwerburgh, M. Z. Xiaolan, 2020. Manufacturing risk-free government debt. Unpublished working paper. National Bureau of Economic Research.
- Krishnamurthy, A., S. Nagel, A. Vissing-Jorgensen, 2018. ECB policies involving government bond purchases: Impact and channels. Review of Finance 22(1), 1â44.
Paper not yet in RePEc: Add citation now
Kung, H., 2015. Macroeconomic linkages between monetary policy and the term structure of interest rates. Journal of Financial Economics 115(1), 42â57.
Kung, H., L. Schmid, 2015. Innovation, growth, and asset prices. The Journal of Finance 70(3), 1001â1037.
Leeper, E. M., C. Leith, D. Liu, 2016. Optimal Time-Consistent Monetary, Fiscal and Debt Maturity Policy. . Lenel, M., 2017. Safe Assets, Collateralized Lending and Monetary Policy. . Lenel, M., M. Piazzesi, M. Schneider, 2018. Monetary Policy and the PaymentIntermediary Share. . Lustig, H., C. Sleet, Ş. Yeltekin, 2008. Fiscal hedging with nominal assets. Journal of Monetary Economics 55(4), 710â727.
PaÌstor, L., P. Veronesi, 2013. Political uncertainty and risk premia. Journal of financial Economics 110(3), 520â545.
Palomino, F., 2012. Bond risk premiums and optimal monetary policy. Review of Economic Dynamics 15(1), 19â40.
Pastor, L., P. Veronesi, 2012. Uncertainty about government policy and stock prices. The Journal of Finance 67(4), 1219â1264.
Pistaferri, L., 2003. Anticipated and unanticipated wage changes, wage risk, and intertemporal labor supply. Journal of Labor Economics 21(3), 729â754.
Reis, R., 2017a. Can the central bank alleviate fiscal burdens?. Unpublished working paper. National Bureau of Economic Research.
Reis, R., 2017b. QE in the future: the central bankâs balance sheet in a fiscal crisis. IMF Economic Review 65(1), 71â112.
Rotemberg, J. J., 1982. Monopolistic price adjustment and aggregate output. The Review of Economic Studies 49(4), 517â531.
- Rudebusch, G. D., E. T. Swanson, 2012. The bond premium in a DSGE model with longrun real and nominal. American Economic Journal: Macroeconomics 4(1), 105â143.
Paper not yet in RePEc: Add citation now
Sims, C. A., 2013. Paper money. American Economic Review 103(2), 563â84.
Smets, F., R. Wouters, 2007. Shocks and frictions in US business cycles: A Bayesian DSGE approach. American economic review 97(3), 586â606.
Vasicek, O., 1977. An equilibrium characterization of the term structure. Journal of financial economics 5(2), 177â188.
- Waggoner, D. F., 1997. Spline methods for extracting interest rate curves from coupon bond prices. Federal Reserve Bank of Atlanta Working Paper pp. 97â10.
Paper not yet in RePEc: Add citation now
Weber, M., 2015. Nominal rigidities and asset pricing. . Williamson, S. D., 2016. Scarce collateral, the term premium, and quantitative easing. Journal of Economic Theory 164, 136â165.
- Woodford, M., 2003. Interest and prices: foundations of a theory of monetary policy. Princeton University Press, New Jersey. Electronic copy available at: https://ssrn.com/abstract=3940955
Paper not yet in RePEc: Add citation now