This paper extends the core results of discrete time infinite horizon dynamic programming to
the case of state-dependent discounting. We obtain a condition on the discount factor …

This paper quantitatively explores the role of external habits, nominal rigidities, and
monetary policy for real and nominal bond yields in an asset-pricing endogenous growth …

A prolonged low-interest-rate environment presents a significant challenge to banks and is
likely to entail major changes to their business models over the long-run. Lower returns to …

We construct a model to evaluate the role that the risk of future effective lower bound (ELB)
episodes plays as a factor behind the persistently weak inflation witnessed in many …

Upward‐sloping yield curves are hard to reconcile with the positive relationship between
income and inflation (the Phillips curve) in consumption‐based asset pricing models. Using …

This paper shows the success of valuation risk—time‐preference shocks in Epstein–Zin
utility—in resolving asset pricing puzzles rests sensitively on the way it is introduced. The …

I study the dynamics of default-free bond yields and term premia using a novel equilibrium
term structure model with a New-Keynesian core and imperfect information about …

We examine the structural stability of Gaussian shadow rate term structure models in a
sample of Treasury yields that includes the “effective lower bound”(ELB) period from 2008 to …

This paper presents a New Keynesian model to capture the linkages between macro
fundamentals and the nominal yield curve. The model explains bond yields with a low level …

This paper estimates a New Keynesian model that explains key macro series, the ten-year
nominal yield curve, and the ability of the spread between long-and short-term bond yields …