Historically, inflation is negatively correlated with stock returns, leading investors to fear
inflation. We document using a variety of measures that this association became positive in …

We study the term structure of default-free interest rates in a sticky-price model with an
occasionally binding effective lower bound (ELB) constraint on interest rates and recursive …

We develop a parsimonious New Keynesian macro-finance model with downward nominal
rigidities to understand secular and cyclical movements in Treasury bond premia …

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 …

The debt-to-GDP ratio negatively predicts cumulative nominal consumption growth up to a
10-year horizon, resulting from the ratio's ability to forecast lower inflation and real growth …

This paper analyzes the effect of the Zero Lower Bound (ZLB) on asset prices, risk premia,
and the co-movement of asset returns using a New Keynesian framework with nominal …

The Term Structure of Macroeconomic Risks at the E ective Lower Bound Page 1 The Term
Structure of Macroeconomic Risks at the E ective Lower Bound Guillaume Roussellet* First …

This paper proposes a new macro-finance model that solves the tension between
tractability, flexibility in macroeconomic dynamics, and consistency of the term structures of …

We develop a macro-finance asset pricing model with downward nominal rigidities and
show that it helps explain both secular and cyclical movements in term premia. The …

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