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Cited by 304

The DOI matches its Crossref record; 61 of the 61 references it cites were found in a registry or an index.

The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks

Rudebusch, Glenn D, Swanson, Eric T·2012·American Economic Journal: Macroeconomics
DOI 10.1257/mac.4.1.105
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Abstract

The term premium in standard macroeconomic DSGE models is far too small and stable relative to the data—an example of the “bond premium puzzle.” However, in endowment economy models, researchers have generated reasonable term premiums by assuming investors have recursive Epstein-Zin preferences and face long-run economic risks. We show that introducing Epstein-Zin preferences into a canonical DSGE model can also produce a large and variable term premium without compromising the model's ability to fit key macroeconomic variables. Long-run nominal risks further improve the model's empirical fit, but do not substantially reduce the need for high risk aversion. (JEL E13, E31, E43, E44)

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Metadata

Authors
Rudebusch, G. D., & Swanson, E. T.
Venue
American Economic Journal: Macroeconomics
Publisher
American Economic Association
Published
2012-01-01
Volume
4
Issue
1
Pages
105-143
ISSN
  • 1945-7707 (ISSN-L)
  • 1945-7715
DOI
10.1257/mac.4.1.105
OpenAlex
W3123374514
Cited by
304
References
61
FWCI
69.69
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks. https://app.cochat.ai/papers/10.1257/mac.4.1.105
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Rudebusch, G. D., & Swanson, E. T. (2012). The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks. American Economic Journal: Macroeconomics. https://doi.org/10.1257/mac.4.1.105

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