This paper investigates empirically a model of aggregate consumption andleisure decisions in which goods and leisure provide services over time. Theimplied time non-separability of preferences introduces an endogenous source ofdynamics which affects both the co-movements in aggregate...

This paper investigates the term structure relations implied by a two-good model in which goods are durable and the preference function of consimters may be non separable both over time and the decision variables. The parameters characterizing preferences are estimated and the implied...

This paper examines the time series properties of the price of a risky asset implied by a model in which competitive traders are heterogeneously informed about the underlying sources of uncertainty in the economy.Traders do not observe the shocks in the period they occur. However, traders are...

This paper presents and interprets some new evidence on the validity of the Real Business Cycle approach to business cycle analysis. The analysis is conducted in the context of a monetary business cycle model which makes explicit one potential link between monetary policy and real allocations....

We study risk premiums in the US Treasury bond market from the perspective of a Bayesian econometrician RA who learns in real-time from disagreement among investors about future bond yields. Notably, disagreement has substantial predictive power for yields, and RA's risk premiums are less...

This paper quantifies how variation in real economic activity and inflation in the U.S. influenced the market prices of level, slope, and curvature risks in U.S. Treasury markets. We develop a novel arbitrage-free dynamic term structure model in which bond investment decisions are influenced by...

When Japanese short-term bond yields were near their zero bound, yields on long-term bonds showed substantial fluctuation, and there was a strong positive relationship between the level of interest rates and yield volatilities/risk premia. We explore whether several families of dynamic term...

This paper explores the impact of simultaneously enforcing the no-arbitrage structure of a Gaussian macro-finance term structure model (MTSM) and accommodating measurement errors on bond yield through filtering on the maximum likelihood estimates of the model-implied conditional distributions of...