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Second-order approximation of dynamic models with time-varying risk. (2010). Nisticò, Salvatore ; Benigno, Gianluca.
In: LSE Research Online Documents on Economics.
RePEc:ehl:lserod:121707.

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  1. [1] Amisano, Gianni. and Oreste Tristani (2009), “A DSGE Model of the Term Structure with Regime Shifts,” mimeo, European Central Bank.
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  2. [10] Gomme, Paul and Paul Klein (2008), “Second-order approximation of dynamic models without the use of tensors,” forthcoming Journal of Economic Dynamics and Control [11] Justiniano Alejandro and Giorgio Primiceri (2008), “The Time Varying Volatility of Macroeconomics Fluctuations,” American Economic Review 98, 604-641.
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  3. [12] Kim Jinill, Sunghyun Kim, Ernst Schaumburg, Christopher A. Sims (2008), “Calculating and Using Second-Order Accurate Solutions of Discrete Time Dynamic Equilibrium Models,” Journal of Economic Dynamics and Control, Volume 32, Issue 11, pp. 3397-3414.
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  4. [13] Krusell, Per and Anthony A. Smith & Jr. (1998), “Income and Wealth Heterogeneity in the Macroeconomy,” Journal of Political Economy, vol. 106(5), pages 867-896.
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  5. [14] Magnus, Jan and Heinz Neudecker (1999). Matrix Differential Calculus With Applications in Statistics and Econometrics, John Wiley and Sons.
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  6. [15] Rudebusch, Glenn D. and Eric T. Swanson (2008), “The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks,” unpublished manuscript, Federal Reserve Bank of San Francisco.
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  7. [16] Schmitt-Grohé Stephanie and Martin Uribe (2004), “Solving Dynamic General Equilibrium Models using a Second-Order Approximation to the Policy Function,” Journal of Economic Dynamics and Control 28, pp. 755-775.
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  8. [2] An, Sungbae and Frank Schorfheide (2007),. “Bayesian Analysis of DSGE Models,” Econometric Reviews, vol. 26(2-4), pages 113-172.
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  9. [3] Benigno, Gianluca, Pierpaolo Benigno, Salvatore Nisticò (2010), “Risk, Monetary Policy and the Exchange Rate,” in preparation for the NBER Macroeconomic Annual 2011.
    Paper not yet in RePEc: Add citation now
  10. [4] Benigno, Pierpaolo and Michael Woodford (2008), “Linear-Quadratic Approximation of Optimal Policy Problems” Discussion Papers 0809-01, Columbia University, Department of Economics.
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  11. [7] van Binsbergen, Jules, Jesus Fernandez-Villaverde, S.J. Koijen and Juan F. RubioRamirez (2010), “The Terms Structure of Interest Rates in a DSGE Model with Recursive Preferences,” unpublished manuscript.

  12. [8] Fernandez-Villaverde, Jesus, Pablo Guerron-Quintana, Juan F. Rubio-Ramirez and Martin Uribe (2009), “Risk Matters: The Real Effects of Volatility Shocks,” NBER Working Paper No. 14875.
    Paper not yet in RePEc: Add citation now
  13. [9] Fernandez-Villaverde, Jesus, Pablo Guerron-Quintana and Juan F. Rubio-Ramirez (2010), “Fortune or Virtue: Time-Varian Volatilities Versus Parameter Drifting in U.S. Data,” unpublished manuscript.

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  16. Risk, Monetary Policy and the Exchange Rate. (2011). Nisticò, Salvatore ; Benigno, Gianluca ; Nistico, Salvatore.
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  18. Yield curve in an estimated nonlinear macro model. (2011). Doh, Taeyoung.
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  19. Government bond risk premia and the cyclicality of fiscal policy. (2011). Kilponen, Juha ; Jaccard, Ivan ; Christoffel, Kai.
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  20. An estimated DSGE model: explaining variation in term premia. (2011). Andreasen, Martin.
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  21. Second-order approximation of dynamic models with time-varying risk. (2010). Nisticò, Salvatore ; Benigno, Gianluca.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:121707.

    Full description at Econpapers || Download paper

  22. Risk Premia in General Equilibrium. (2010). Posch, Olaf.
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