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David Backus

(deceased)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Backus, David K & Kehoe, Patrick J & Kydland, Finn E, 1992. "International Real Business Cycles," Journal of Political Economy, University of Chicago Press, vol. 100(4), pages 745-775, August.

    Mentioned in:

    1. International business cycle synchronization: what is the role of financial linkages?
      by bankunderground in Bank Underground on 2016-04-06 11:30:09
  2. David Backus & Silverio Foresi & Chris I. Telmer, 1996. "Affine Models of Currency Pricing," NBER Working Papers 5623, National Bureau of Economic Research, Inc.

    Mentioned in:

    1. Yogi Berra and the Dollar
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2014-12-22 19:32:54

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Backus, David K & Kehoe, Patrick J & Kydland, Finn E, 1994. "Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?," American Economic Review, American Economic Association, vol. 84(1), pages 84-103, March.

    Mentioned in:

    1. > Macroeconomics > Economic Fluctuations > Real Business Cycle Theory > International RBC
  2. Backus, David K & Kehoe, Patrick J & Kydland, Finn E, 1992. "International Real Business Cycles," Journal of Political Economy, University of Chicago Press, vol. 100(4), pages 745-775, August.

    Mentioned in:

    1. > Macroeconomics > Economic Fluctuations > Real Business Cycle Theory
    2. > Macroeconomics > Economic Fluctuations > Real Business Cycle Theory > International RBC

Working papers

  1. Chernov, Mikhail & Backus, David & Boyarchenko, Nina, 2016. "Term structures of asset prices and returns," CEPR Discussion Papers 11227, C.E.P.R. Discussion Papers.

    Cited by:

    1. Van Nieuwerburgh, Stijn & Jiang, Zhengyang & Lustig, Hanno & Xiaolan, Mindy, 2021. "Manufacturing Risk-free Government Debt," CEPR Discussion Papers 16304, C.E.P.R. Discussion Papers.
    2. Lloyd, Simon & Marin, Emile, 2020. "Exchange rate risk and business cycles," Bank of England working papers 872, Bank of England.
    3. Irina Zviadadze, 2017. "Term Structure of Risk on Macrofinance Models," 2017 Meeting Papers 965, Society for Economic Dynamics.
    4. Chernov, Mikhail & Creal, Drew, 2022. "International yield curves and currency puzzles," CEPR Discussion Papers 13252, C.E.P.R. Discussion Papers.
    5. Jiang, Zhengyang & Krishnamurthy, Arvind & Lustig, Hanno, 2018. "Foreign Safe Asset Demand and the Dollar Exchange Rate," Research Papers 3621, Stanford University, Graduate School of Business.
    6. Likuan Qin & Vadim Linetsky, 2016. "Long-Term Factorization of Affine Pricing Kernels," Papers 1610.00778, arXiv.org, revised Jul 2017.
    7. Andrés Schneider, 2022. "Risk‐Sharing and the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 77(4), pages 2331-2374, August.
    8. Indrajit Mitra & Yu Xu, 2020. "Limited Household Risk Sharing: General Equilibrium Implications for the Term Structure of Interest Rates," FRB Atlanta Working Paper 2020-20, Federal Reserve Bank of Atlanta.
    9. Pierlauro Lopez & David Lopez-Salido & Francisco Vazquez-Grande, 2018. "Risk-Adjusted Linearizations of Dynamic Equilibrium Models," Working papers 702, Banque de France.
    10. Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2019. "Vulnerable Growth," American Economic Review, American Economic Association, vol. 109(4), pages 1263-1289, April.
    11. Fousseni Chabi-Yo & Riccardo Colacito, 2019. "The Term Structures of Coentropy in International Financial Markets," Management Science, INFORMS, vol. 65(8), pages 3541-3558, August.
    12. A. Ronald Gallant & George Tauchen, 2021. "Cash Flows Discounted Using a Model-Free SDF Extracted under a Yield Curve Prior," JRFM, MDPI, vol. 14(3), pages 1-15, March.
    13. Likuan Qin & Vadim Linetsky, 2018. "Long-term factorization in Heath–Jarrow–Morton models," Finance and Stochastics, Springer, vol. 22(3), pages 621-641, July.
    14. Huynh, Toan Luu Duc & Nasir, Muhammad Ali & Vo, Xuan Vinh & Nguyen, Thong Trung, 2020. "“Small things matter most”: The spillover effects in the cryptocurrency market and gold as a silver bullet," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    15. TAKAMIZAWA, Hideyuki & 高見澤, 秀幸, 2018. "An Equilibrium Model of Term Structures of Bonds and Equities," Working Paper Series G-1-19, Hitotsubashi University Center for Financial Research.
    16. Zhou, Yang & Xie, Chi & Wang, Gang-Jin & Gong, Jue & Li, Zhao-Chen & Zhu, You, 2024. "Who dominate the information flowing between innovative and traditional financial assets? A multiscale entropy-based approach," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 329-358.
    17. Stefano Giglio & Bryan Kelly, 2018. "Excess Volatility: Beyond Discount Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 133(1), pages 71-127.
    18. Chen, Dongxu & Wu, Ke & Zhu, Yifeng, 2022. "Stock return asymmetry in China," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
    19. Ye Li & Chen Wang, 2023. "Valuation Duration of the Stock Market," Papers 2310.07110, arXiv.org.
    20. Likuan Qin & Vadim Linetsky & Yutian Nie, 2016. "Long Forward Probabilities, Recovery and the Term Structure of Bond Risk Premiums," Papers 1601.06477, arXiv.org.
    21. Zviadadze, Irina, 2018. "Term Structure of Risk in Expected Returns," CEPR Discussion Papers 13414, C.E.P.R. Discussion Papers.
    22. Likuan Qin & Vadim Linetsky, 2016. "The Long Bond, Long Forward Measure and Long-Term Factorization in Heath-Jarrow-Morton Models," Papers 1610.00818, arXiv.org, revised Jul 2017.

  2. David Backus & Chase Coleman & Axelle Ferriere & Spencer Lyon, 2015. "Pareto Weights as Wedges in Two-Country Models," NBER Working Papers 21773, National Bureau of Economic Research, Inc.

    Cited by:

    1. Hakon Tretvoll, 2018. "Real Exchange Variability in a Two-Country Business Cycle Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 27, pages 123-145, January.
    2. Brendan Epstein & Rahul Mukherjee & Shanthi Ramnath, 2014. "Taxes and International Risk Sharing," International Finance Discussion Papers 1110, Board of Governors of the Federal Reserve System (U.S.).
    3. Aidi Tang, 2023. "Financial Integration and International Dynamics: The Role of Volatility Shocks," Mathematics, MDPI, vol. 11(23), pages 1-27, November.
    4. Chaban, Maxym, 2024. "Exchange rate dynamics and consumption of traded goods," Journal of Macroeconomics, Elsevier, vol. 80(C).
    5. Dmitriev, Alexandre, 2017. "Composite habits and international transmission of business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 1-34.
    6. Yoonhee Park & Doo Hun Lim & Woocheol Kim & Hana Kang, 2020. "Organizational Support and Adaptive Performance: The Revolving Structural Relationships between Job Crafting, Work Engagement, and Adaptive Performance," Sustainability, MDPI, vol. 12(12), pages 1-14, June.

  3. David Backus & Axelle Ferriere & Stanley Zin, 2014. "Risk and Ambiguity in Models of Business Cycles," NBER Working Papers 20319, National Bureau of Economic Research, Inc.

    Cited by:

    1. Claudio Michelacci & Luigi Paciello, 2017. "Ambiguous Policy Announcements," EIEF Working Papers Series 1701, Einaudi Institute for Economics and Finance (EIEF), revised Dec 2017.
    2. Venky Venkateswaran & Laura Veldkamp & Julian Kozlowski, 2016. "The Tail that Wags the Economy: Belief-Driven Business Cycles and Persistent Stagnation," 2016 Meeting Papers 245, Society for Economic Dynamics.
    3. Julian Kozlowski & Laura Veldkamp & Venky Venkateswaran, 2015. "The Tail that Wags the Economy: Beliefs and Persistent Stagnation," NBER Working Papers 21719, National Bureau of Economic Research, Inc.
    4. Straub, Ludwig & Ulbricht, Robert, 2015. "Endogenous Uncertainty and Credit Crunches," TSE Working Papers 15-604, Toulouse School of Economics (TSE), revised Dec 2017.
    5. Bonciani, Dario & Oh, Joonseok Jason, 2019. "The long-run effects of uncertainty shocks," Bank of England working papers 802, Bank of England.
    6. Sumru Altug & Cem Cakmakli & Fabrice Collard & Sujoy Mukerji & Han Ozsoylev, 2020. "Ambiguous Business Cycles: A Quantitative Assessment," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 38, pages 220-237, October.
    7. Bonciani, Dario & Ricci, Martino, 2020. "The global effects of global risk and uncertainty," Bank of England working papers 863, Bank of England.
    8. Eric André & Antoine Bommier & François Le Grand, 2022. "The impact of risk aversion and ambiguity aversion on annuity and saving choices," Post-Print hal-04325572, HAL.
    9. Cosmin L. Ilut & Martin Schneider, 2022. "Modeling Uncertainty as Ambiguity: a Review," NBER Working Papers 29915, National Bureau of Economic Research, Inc.
    10. Ina Simonovska & Espen Henriksen & Joel David, 2016. "The Risky Capital of Emerging Markets," 2016 Meeting Papers 125, Society for Economic Dynamics.
    11. Hsu, Po-Hsuan & Taylor, Mark P. & Wang, Zigan & Xu, Qi, 2022. "Currency volatility and global technological innovation," Journal of International Economics, Elsevier, vol. 137(C).
    12. OH, Joonseok; ROGANTINI PICCO, Anna, 2019. "Macro uncertainty and unemployment risk," Economics Working Papers ECO 2019/02, European University Institute.
    13. Pierlauro Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2022. "Accounting for Risk in a Linearized Solution: How to Approximate the Risky Steady State and Around It," Working Papers 22-14, Federal Reserve Bank of Cleveland.
    14. Meyer-Gohde, Alexander, 2017. "Generalized Entropy and Model Uncertainty," SFB 649 Discussion Papers 2017-017, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    15. Julian Kozlowski & Laura Veldkamp & Venky Venkateswaran, 2018. "The Tail that Keeps the Riskless Rate Low," 2018 Meeting Papers 1111, Society for Economic Dynamics.
    16. A. Ronald Gallant & Mohammad Jahan-Parvar & Hening Liu, 2015. "Measuring Ambiguity Aversion," Finance and Economics Discussion Series 2015-105, Board of Governors of the Federal Reserve System (U.S.).
    17. Pierlauro Lopez & David Lopez-Salido & Francisco Vazquez-Grande, 2018. "Risk-Adjusted Linearizations of Dynamic Equilibrium Models," Working papers 702, Banque de France.
    18. Massimo Marinacci, 2015. "Model Uncertainty," Journal of the European Economic Association, European Economic Association, vol. 13(6), pages 1022-1100, December.
    19. Bäuerle, Nicole & Jaśkiewicz, Anna, 2018. "Stochastic optimal growth model with risk sensitive preferences," Journal of Economic Theory, Elsevier, vol. 173(C), pages 181-200.
    20. Chiaki Hara & Toshiki Honda, 2022. "Implied Ambiguity: Mean-Variance Inefficiency and Pricing Errors," Management Science, INFORMS, vol. 68(6), pages 4246-4260, June.
    21. David Backus & Chase Coleman & Axelle Ferriere & Spencer Lyon, 2016. "Pareto weights as wedges in two-country models," Working Papers 16-07, New York University, Leonard N. Stern School of Business, Department of Economics.
    22. Makarov, Dmitry, 2021. "Optimal portfolio under ambiguous ambiguity," Finance Research Letters, Elsevier, vol. 43(C).
    23. Paciello, Luigi & Michelacci, Claudio, 2020. "Aggregate Risk or Aggregate Uncertainty? Evidence from UK Households," CEPR Discussion Papers 14557, C.E.P.R. Discussion Papers.
    24. Hening Liu & Yuzhao Zhang, 2022. "Financial Uncertainty with Ambiguity and Learning," Management Science, INFORMS, vol. 68(3), pages 2120-2140, March.
    25. Bonciani, Dario & Ricci, Martino, 2020. "The international effects of global financial uncertainty shocks," Journal of International Money and Finance, Elsevier, vol. 109(C).
    26. Makarov, Dmitry, 2020. "Optimal portfolio under ambiguous ambiguity," MPRA Paper 108837, University Library of Munich, Germany, revised Dec 2020.
    27. Li Zhe & Luo Shuixing, 2019. "Is risk shock a key factor driving business cycles in China?," The B.E. Journal of Macroeconomics, De Gruyter, vol. 19(1), pages 1-18, January.

  4. David Backus & Thomas Cooley & Espen Henriksen, 2013. "Demography and Low Frequency Capital Flows," NBER Working Papers 19465, National Bureau of Economic Research, Inc.

    Cited by:

    1. Mervyn King & David Low, 2014. "Measuring the ''World'' Real Interest Rate," NBER Working Papers 19887, National Bureau of Economic Research, Inc.
    2. Zsofia Barany & Nicolas Coeurdacier & Stéphane Guibaud, 2015. "Fertility, Longevity and International Capital Flows," Working Papers hal-01164462, HAL.
    3. Martin D D Evans, 2015. "External Balances, Trade and Financial Conditions," Working Papers gueconwpa~15-15-08, Georgetown University, Department of Economics.
    4. Giuseppe Ferrero & Marco Gross & Stefano Neri, 2019. "On secular stagnation and low interest rates: Demography matters," International Finance, Wiley Blackwell, vol. 22(3), pages 262-278, December.
    5. Katerina Koka, 2015. "The Impact of the Population Age Structure on the Response to Negative Asset Shocks," Economics Bulletin, AccessEcon, vol. 35(4), pages 2270-2281.
    6. Chadwick C. Curtis & Steven Lugauer & Nelson C. Mark, 2015. "Demographics and Aggregate Household Saving in Japan, China, and India," NBER Working Papers 21555, National Bureau of Economic Research, Inc.

  5. David Backus & Mikhail Chernov & Stanley E. Zin, 2013. "Identifying Taylor Rules in Macro-Finance Models," NBER Working Papers 19360, National Bureau of Economic Research, Inc.

    Cited by:

    1. Dongho Song, 2017. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," The Review of Financial Studies, Society for Financial Studies, vol. 30(8), pages 2761-2817.
    2. John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2013. "Macroeconomic Drivers of Bond and Equity Risks," Harvard Business School Working Papers 14-031, Harvard Business School, revised Aug 2018.
    3. Merim KASUMOVIĆ & Mirna MEŠIĆ, 2018. "Macroprudential stability indicators of financial systems: Analysis of Bosnia and Herzegovina and Croatia," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(1(614), S), pages 41-54, Spring.

  6. Backus, David & Zin, Stanley E. & Chernov, Mikhail & Zviadadze, Irina, 2013. "Monetary policy risk: Rules vs. discretion," CEPR Discussion Papers 9611, C.E.P.R. Discussion Papers.

    Cited by:

    1. Dongho Song, 2017. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," The Review of Financial Studies, Society for Financial Studies, vol. 30(8), pages 2761-2817.
    2. John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2013. "Macroeconomic Drivers of Bond and Equity Risks," Harvard Business School Working Papers 14-031, Harvard Business School, revised Aug 2018.
    3. Merim KASUMOVIĆ & Mirna MEŠIĆ, 2018. "Macroprudential stability indicators of financial systems: Analysis of Bosnia and Herzegovina and Croatia," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(1(614), S), pages 41-54, Spring.
    4. Roman Sustek, 2021. "Yield curve and the business cycle in conventional times," Discussion Papers 2122, Centre for Macroeconomics (CFM).

  7. Backus, David & Zin, Stanley E. & Chernov, Mikhail, 2011. "Sources of entropy in representative agent models," CEPR Discussion Papers 8488, C.E.P.R. Discussion Papers.

    Cited by:

    1. Zhigang Feng & Matthew Hoelle, 2017. "Indeterminacy in stochastic overlapping generations models: real effects in the long run," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(2), pages 559-585, February.
    2. Timothy M. Christensen, 2014. "Nonparametric identification of positive eigenfunctions," CeMMAP working papers CWP37/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    3. Mikhail Chernov & Lars A. Lochstoer & Stig R. H. Lundeby, 2018. "Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off," NBER Working Papers 25361, National Bureau of Economic Research, Inc.
    4. Almeida, Caio & Ardison, Kym & Garcia, René, 2020. "Nonparametric assessment of hedge fund performance," Journal of Econometrics, Elsevier, vol. 214(2), pages 349-378.
    5. Anisha Ghosh & Christian Julliard & Alex P. Taylor, 2017. "What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 30(2), pages 442-504.
    6. Po-Keng Cheng & Young Shin Kim, 2017. "Speculative bubbles and crashes： Fundamentalists and positive‐feedback trading," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1381370-138, January.
    7. Borovička, Jaroslav & Hansen, Lars Peter, 2014. "Examining macroeconomic models through the lens of asset pricing," Journal of Econometrics, Elsevier, vol. 183(1), pages 67-90.
    8. Sang Byung Seo & Jessica A. Wachter, 2019. "Option Prices in a Model with Stochastic Disaster Risk," Management Science, INFORMS, vol. 65(8), pages 3449-3469, August.
    9. Hansen, Lars Peter, 2013. "Uncertainty Outside and Inside Economic Models," Nobel Prize in Economics documents 2013-7, Nobel Prize Committee.
    10. Polanski, Arnold & Stoja, Evarist, 2015. "Extreme risk interdependence," Bank of England working papers 563, Bank of England.
    11. Schneider, Paul, 2015. "Generalized risk premia," Journal of Financial Economics, Elsevier, vol. 116(3), pages 487-504.
    12. Oh, Gabjin & Kim, Ho-yong & Ahn, Seok-Won & Kwak, Wooseop, 2015. "Analyzing the financial crisis using the entropy density function," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 464-469.
    13. Lustig, Hanno & Stathopoulos, Andreas & Verdelhan, Adrien, 2017. "The Term Structure of Currency Carry Trade Risk Premia," Research Papers repec:ecl:stabus:3411, Stanford University, Graduate School of Business.
    14. Rhys M. Bidder & Matthew E. Smith, 2013. "Doubts and Variability: A Robust Perspective on Exotic Consumption Series," Working Paper Series 2013-28, Federal Reserve Bank of San Francisco.
    15. David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Working Papers 16-08, New York University, Leonard N. Stern School of Business, Department of Economics.
    16. Andreas Stathopoulos & Adrien Verdelhan & Hanno Lustig, 2017. "Nominal Exchange Rate Stationarity and Long-Term Bond Returns," 2017 Meeting Papers 1633, Society for Economic Dynamics.
    17. Jaroslav Borovicka & Lars Peter Hansen & Jose A. Scheinkman, 2015. "Misspecified Recovery," Working Papers 063_2014, Princeton University, Department of Economics, Econometric Research Program..
    18. Qiu, Chen & Otsu, Taisuke, 2022. "Information theoretic approach to high dimensional multiplicative models: stochastic discount factor and treatment effect," LSE Research Online Documents on Economics 110494, London School of Economics and Political Science, LSE Library.
    19. Tjeerd de Vries, 2021. "A Tale of Two Tails: A Model-free Approach to Estimating Disaster Risk Premia and Testing Asset Pricing Models," Papers 2105.08208, arXiv.org, revised Oct 2023.
    20. Pierlauro Lopez, 2021. "Welfare Implications of Asset Pricing Facts: Should Central Banks Fill Gaps or Remove Volatility?," Working Papers 21-16R, Federal Reserve Bank of Cleveland, revised 16 May 2023.
    21. Timothy M. Christensen, 2014. "Nonparametric identification of positive eigenfunctions," CeMMAP working papers 37/14, Institute for Fiscal Studies.
    22. Irina Zviadadze, 2014. "Term-structure of consumption risk premia in the cross-section of currency returns," 2014 Meeting Papers 1075, Society for Economic Dynamics.
    23. Hansen, Lars Peter, 2013. "Risk Pricing over Alternative Investment Horizons," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1571-1611, Elsevier.
    24. Polanski, Arnold & Stoja, Evarist, 2016. "Extreme risk interdependence," ESRB Working Paper Series 12, European Systemic Risk Board.
    25. Caio Almeida & René Garcia, 2017. "Economic Implications of Nonlinear Pricing Kernels," Management Science, INFORMS, vol. 63(10), pages 3361-3380, October.
    26. Timothy M. Christensen, 2015. "Nonparametric stochastic discount factor decomposition," CeMMAP working papers 24/15, Institute for Fiscal Studies.
    27. Hongye Guo & Jessica A. Wachter, 2019. ""Superstitious" Investors," NBER Working Papers 25603, National Bureau of Economic Research, Inc.
    28. Timothy Christensen, 2014. "Nonparametric Stochastic Discount Factor Decomposition," Papers 1412.4428, arXiv.org, revised May 2017.
    29. Liu, Yan, 2021. "Index option returns and generalized entropy bounds," Journal of Financial Economics, Elsevier, vol. 139(3), pages 1015-1036.
    30. Andrés Schneider, 2022. "Risk‐Sharing and the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 77(4), pages 2331-2374, August.
    31. Indrajit Mitra & Yu Xu, 2020. "Limited Household Risk Sharing: General Equilibrium Implications for the Term Structure of Interest Rates," FRB Atlanta Working Paper 2020-20, Federal Reserve Bank of Atlanta.
    32. Samim Ghamami & Paul Glasserman, 2019. "Submodular Risk Allocation," Management Science, INFORMS, vol. 65(10), pages 4656-4675, October.
    33. Pierlauro Lopez & David Lopez-Salido & Francisco Vazquez-Grande, 2018. "Risk-Adjusted Linearizations of Dynamic Equilibrium Models," Working papers 702, Banque de France.
    34. Hengjie Ai & Ravi Bansal, 2016. "Risk Preferences and The Macro Announcement Premium," NBER Working Papers 22527, National Bureau of Economic Research, Inc.
    35. Timothy M. Christensen, 2015. "Nonparametric stochastic discount factor decomposition," CeMMAP working papers CWP24/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    36. David Backus & Axelle Ferriere & Stanley Zin, 2014. "Risk and Ambiguity in Models of Business Cycles," NBER Working Papers 20319, National Bureau of Economic Research, Inc.
    37. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2019. "Benchmark Interest Rates When the Government is Risky," NBER Working Papers 26429, National Bureau of Economic Research, Inc.
    38. Robert J. Kurtzman & David Zeke, 2016. "Accounting for Productivity Dispersion over the Business Cycle," Finance and Economics Discussion Series 2016-045, Board of Governors of the Federal Reserve System (U.S.).
    39. Fousseni Chabi-Yo & Riccardo Colacito, 2019. "The Term Structures of Coentropy in International Financial Markets," Management Science, INFORMS, vol. 65(8), pages 3541-3558, August.
    40. Jeremy Graveline & Irina Zviadadze & Mikhail Chernov, 2012. "Crash Risk in Currency Returns," 2012 Meeting Papers 753, Society for Economic Dynamics.
    41. Christensen, Timothy M., 2022. "Existence and uniqueness of recursive utilities without boundedness," Journal of Economic Theory, Elsevier, vol. 200(C).
    42. Jianfeng Yu, 2012. "Online Appendix to "Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models"," Online Appendices 10-230, Review of Economic Dynamics.
    43. Pierlauro Lopez, 2016. "Welfare Implications of the Term Structure of Returns: Should Central Banks Fill Gaps or Remove Volatility?," 2016 Meeting Papers 742, Society for Economic Dynamics.
    44. Pietro Murialdo & Linda Ponta & Anna Carbone, 2020. "Long-Range Dependence in Financial Markets: a Moving Average Cluster Entropy Approach," Papers 2004.14736, arXiv.org.
    45. René Garcia & Caio Almeida & Kym Ardison & Jose Vicente, 2016. "Nonparametric Tail Risk, Stock Returns and the Macroeconomy," CIRANO Working Papers 2016s-20, CIRANO.
    46. Parnes, Dror, 2024. "Copper-to-gold ratio as a leading indicator for the 10-Year Treasury yield," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
    47. Ghaderi, Mohammad & Kilic, Mete & Seo, Sang Byung, 2022. "Learning, slowly unfolding disasters, and asset prices," Journal of Financial Economics, Elsevier, vol. 143(1), pages 527-549.
    48. Chen Qiu & Taisuke Otsu, 2022. "Information theoretic approach to high‐dimensional multiplicative models: Stochastic discount factor and treatment effect," Quantitative Economics, Econometric Society, vol. 13(1), pages 63-94, January.
    49. P. Lopez, 2014. "The Term Structure of the Welfare Cost of Uncertainty," Working papers 521, Banque de France.
    50. Lei Jiang & Esfandiar Maasoumi & Jiening Pan & Ke Wu, 2018. "A test of general asymmetric dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(7), pages 1026-1043, November.
    51. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 60737, London School of Economics and Political Science, LSE Library.
    52. Ponta, Linda & Murialdo, Pietro & Carbone, Anna, 2021. "Information measure for long-range correlated time series: Quantifying horizon dependence in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 570(C).
    53. Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2012. "Sources of Risk in Currency Returns," CEPR Discussion Papers 8745, C.E.P.R. Discussion Papers.
    54. Nikolay Gospodinov & Esfandiar Maasoumi, 2017. "General Aggregation of Misspecified Asset Pricing Models," FRB Atlanta Working Paper 2017-10, Federal Reserve Bank of Atlanta.
    55. Favero, Carlo A. & Tamoni, Andrea & Ortu, Fulvio & Yang, Haoxi, 2016. "Implications of Return Predictability across Horizons for Asset Pricing Models," CEPR Discussion Papers 11645, C.E.P.R. Discussion Papers.
    56. Zviadadze, Irina, 2018. "Term Structure of Risk in Expected Returns," CEPR Discussion Papers 13414, C.E.P.R. Discussion Papers.
    57. Qin, Guyue & Shang, Pengjian, 2021. "Analysis of time series using a new entropy plane based on past entropy," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).
    58. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous epstein-zin investors," LSE Research Online Documents on Economics 62003, London School of Economics and Political Science, LSE Library.
    59. Kroencke, Tim A., 2022. "Recessions and the stock market," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 61-77.
    60. Gospodinov, Nikolay & Maasoumi, Esfandiar, 2021. "Generalized aggregation of misspecified models: With an application to asset pricing," Journal of Econometrics, Elsevier, vol. 222(1), pages 451-467.
    61. Weidong Tian, 2021. "Long Run Law and Entropy," Papers 2111.06238, arXiv.org.
    62. Zhanyu Chen & Kai Zhang & Hongbiao Zhao, 2022. "A Skellam market model for loan prime rate options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 525-551, March.

  8. David K. Backus & Federico Gavazzoni & Christopher Telmer & Stanley E. Zin, 2010. "Monetary Policy and the Uncovered Interest Parity Puzzle," NBER Working Papers 16218, National Bureau of Economic Research, Inc.

    Cited by:

    1. Gavazzoni, Federico & Santacreu, Ana Maria, 2020. "International R&D spillovers and asset prices," Journal of Financial Economics, Elsevier, vol. 136(2), pages 330-354.
    2. Alfred Guender, 2011. "CPI Inflation Targeting and the UIP Puzzle: An Appraisal of Instrument and Target Rules," Working Papers in Economics 11/18, University of Canterbury, Department of Economics and Finance.
    3. Yamani, Ehab, 2019. "Diversification role of currency momentum for carry trade: Evidence from financial crises," Journal of Multinational Financial Management, Elsevier, vol. 49(C), pages 1-19.
    4. Chu, Shiou-Yen, 2015. "Funding liquidity constraints and the forward premium anomaly in a DSGE model," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 76-89.
    5. Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2017. "International correlation risk," LSE Research Online Documents on Economics 84140, London School of Economics and Political Science, LSE Library.
    6. Croce, Mariano & Colacito, Ric & Liu, Yang & Shaliastovich, Ivan, 2018. "Volatility Risk Pass-Through," CEPR Discussion Papers 13325, C.E.P.R. Discussion Papers.
    7. Wellmann, Dennis & Trück, Stefan, 2018. "Factors of the term structure of sovereign yield spreads," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 56-75.
    8. Varela, Liliana & Salomao, Juliana, 2018. "Exchange Rate Exposure and Firm Dynamics," CEPR Discussion Papers 12654, C.E.P.R. Discussion Papers.
    9. Andrew Ang & Allan Timmermann, 2011. "Regime Changes and Financial Markets," NBER Working Papers 17182, National Bureau of Economic Research, Inc.
    10. Daniel, Kent & Hodrick, Robert J. & Lu, Zhongjin, 2017. "The Carry Trade: Risks and Drawdowns," Critical Finance Review, now publishers, vol. 6(2), pages 211-262, September.
    11. Christina Anderl & Guglielmo Maria Caporale, 2022. "Exchange rate parities and Taylor rule deviations," Empirical Economics, Springer, vol. 63(4), pages 1809-1835, October.
    12. Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2011. "Risk, Monetary Policy and the Exchange Rate," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 247-309, National Bureau of Economic Research, Inc.
    13. Coulibaly, Dramane & Kempf, Hubert, 2019. "Inflation targeting and the forward bias puzzle in emerging countries," Journal of International Money and Finance, Elsevier, vol. 90(C), pages 19-33.
    14. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
    15. Jung, Kuk Mo & Lee, Seungduck, 2015. "A Liquidity-Based Resolution of the Uncovered Interest Parity Puzzle," MPRA Paper 64164, University Library of Munich, Germany.
    16. Henriksen, Espen & Kydland, Finn E. & Šustek, Roman, 2013. "Globally correlated nominal fluctuations," Journal of Monetary Economics, Elsevier, vol. 60(6), pages 613-631.
    17. Seungduck Lee & Kuk Mo Jung, 2019. "A Liquidity-Based Resolution of the Uncovered Interest Parity Puzzle," Working Papers 1902, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
    18. Seungduck Lee & Kuk Mo Jung, 2020. "A Liquidity‐Based Resolution of the Uncovered Interest Parity Puzzle," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(6), pages 1397-1433, September.
    19. Atanasov, Victoria & Nitschka, Thomas, 2014. "Currency excess returns and global downside market risk," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 268-285.
    20. Ana Santacreu & Ilian Mihov, 2013. "Exchange rates as an instrument of monetary policy," 2013 Meeting Papers 773, Society for Economic Dynamics.
    21. Charles Engel, 2015. "Exchange Rates, Interest Rates, and the Risk Premium," NBER Working Papers 21042, National Bureau of Economic Research, Inc.
    22. Aloosh, Arash, 2014. "Global Variance Risk Premium and Forex Return Predictability," MPRA Paper 59931, University Library of Munich, Germany.
    23. Charles Engel, 2011. "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," Working Papers 272011, Hong Kong Institute for Monetary Research.
    24. Diana Zigraiova & Tomas Havranek & Jiri Novak, 2020. "How puzzling is the forward premium puzzle? A meta-analysis," Working Papers 46, European Stability Mechanism.
    25. Borisenko, Dmitry & Pozdeev, Igor, 2017. "Monetary Policy and Currency Returns: the Foresight Saga," Working Papers on Finance 1708, University of St. Gallen, School of Finance, revised 1710.
    26. Charles W. Calomiris & Harry Mamaysky, 2019. "Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes," NBER Working Papers 25714, National Bureau of Economic Research, Inc.
    27. Alfred V Guender, 2015. "International Evidence on the Role of Monetary Policy in the Uncovered Interest Rate Parity Puzzle," Working Papers in Economics 15/15, University of Canterbury, Department of Economics and Finance.
    28. Shaowen Luo, 2023. "Risk and return in the foreign exchange market: Measurement without VARs," International Finance, Wiley Blackwell, vol. 26(1), pages 64-81, April.
    29. Park, Cheolbeom & Park, Sookyung, 2017. "Can monetary policy cause the uncovered interest parity puzzle?," Japan and the World Economy, Elsevier, vol. 41(C), pages 34-44.
    30. Ali, Syed Zahid & Anwar, Sajid, 2022. "Risk-premium shocks and the prudent exchange rate policy," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 97-122.
    31. Irina Zviadadze, 2014. "Term-structure of consumption risk premia in the cross-section of currency returns," 2014 Meeting Papers 1075, Society for Economic Dynamics.
    32. Hiroshi Ugai, 2015. "Transmission Channels and Welfare Implications of Unconventional Monetary Easing Policy in Japan," UTokyo Price Project Working Paper Series 060, University of Tokyo, Graduate School of Economics, revised Dec 2015.
    33. Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2010. "Countercyclical Currency Risk Premia," NBER Working Papers 16427, National Bureau of Economic Research, Inc.
    34. A Craig Burnside & Jeremy J Graveline, 2020. "On the Asset Market View of Exchange Rates," The Review of Financial Studies, Society for Financial Studies, vol. 33(1), pages 239-260.
    35. Öge Güney Pelin, 2018. "Uncovered Interest Rate Parity: The Turkish Evidence," Review of Middle East Economics and Finance, De Gruyter, vol. 14(2), pages 1-11, August.
    36. Hiroshi Ugai, "undated". "Transmission Channels and Welfare Implications of Unconventional Monetary Easing Policy in Japan," Working Papers e102, Tokyo Center for Economic Research.
    37. Bak, Yuhyeon & Park, Cheolbeom, 2022. "Exchange rate predictability, risk premiums, and predictive system," Economic Modelling, Elsevier, vol. 116(C).
    38. Jonas Heipertz & Ilian Mihov & Ana Maria Santacreu, 2017. "Managing Macroeconomic Fluctuations with Flexible Exchange Rate Targeting," Working Papers 2017-028, Federal Reserve Bank of St. Louis, revised 16 Jan 2022.
    39. Jaramillo Franco, Miguel & Serván Lozano, Sergio, 2012. "Modeling exchange rate dynamics in Peru: A cointegration approach using the UIP and PPP," MPRA Paper 70772, University Library of Munich, Germany.
    40. Deebii Nwiado & Lezaasi LeneeTorbira, 2016. "A Panel Data Analysis of the Validity of Uncovered Interest Rate Parity (UIRP) in Selected African Countries," Research in World Economy, Research in World Economy, Sciedu Press, vol. 7(2), pages 15-25, December.
    41. Nikhil Patel, 2016. "International Trade Finance and the Cost Channel of Monetary Policy in Open Economies," BIS Working Papers 539, Bank for International Settlements.
    42. Jeremy Graveline & Irina Zviadadze & Mikhail Chernov, 2012. "Crash Risk in Currency Returns," 2012 Meeting Papers 753, Society for Economic Dynamics.
    43. Greg Farrell & Nicola Viegi & Shakill Hassan, 2012. "The High-Frequency Response of the Rand-Dollar rate to Inflation Surprises," Working Papers 279, Economic Research Southern Africa.
    44. Lucas F. Husted & John H. Rogers & Bo Sun, 2017. "Uncertainty, Curreny Exess Returns, and Risk Reversals," International Finance Discussion Papers 1196, Board of Governors of the Federal Reserve System (U.S.).
    45. Cavusoglu, Nevin & Goldberg, Michael D. & Stillwagon, Josh, 2021. "Currency returns and downside risk: Debt, volatility, and the gap from benchmark values," Journal of Macroeconomics, Elsevier, vol. 68(C).
    46. Pierpaolo Benigno & Salvatore Nisticò, 2009. "International Portfolio Allocation under Model Uncertainty," NBER Working Papers 14734, National Bureau of Economic Research, Inc.
    47. Nevin Cavusoglu & Michael D. Goldberg & Joshua Stillwagon, 2019. "New Evidence on the Portfolio Balance Approach to Currency Returns," Working Papers Series 89, Institute for New Economic Thinking.
    48. Marek A. Dąbrowski & Jakub Janus, 2024. "Does the Interest Parity Puzzle Hold for Central and Eastern European Economies?," Open Economies Review, Springer, vol. 35(3), pages 421-456, July.
    49. Yemba, Boniface & Kitenge, Erick & Tang, Biyan & Gaekwad, Neepa B., 2024. "Monetary policy in China: A Factor Augmented VAR approach," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 975-1008.
    50. Yamani, Ehab, 2021. "Foreign exchange market efficiency and the global financial crisis: Fundamental versus technical information," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 74-89.
    51. Dąbrowski, Marek A. & Janus, Jakub, 2021. "Does the interest parity puzzle hold for Central and Eastern European economies?," MPRA Paper 107558, University Library of Munich, Germany.
    52. Nessrine Hamzaoui & Boutheina Regaieg, 2016. "Exploration of the Foreign Exchange Forward Premiums and the Spot Exchange Return: A Multivariate Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 694-702.
    53. Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2012. "Sources of Risk in Currency Returns," CEPR Discussion Papers 8745, C.E.P.R. Discussion Papers.
    54. Moore, Michael J. & Roche, Maurice J., 2012. "When does uncovered interest parity hold?," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 865-879.
    55. Kim, Daehwan & Moneta, Fabio, 2021. "Long-term foreign exchange risk premia and inflation risk," International Review of Financial Analysis, Elsevier, vol. 78(C).
    56. John H. Rogers & Chiara Scotti & Jonathan H. Wright, 2016. "Unconventional Monetary Policy and International Risk Premia," International Finance Discussion Papers 1172, Board of Governors of the Federal Reserve System (U.S.).
    57. Croce, Mariano & Gavazzoni, Federico & Colacito, Ric & Ready, Robert, 2018. "Currency Risk Factors in a Recursive Multicountry Economy," CEPR Discussion Papers 12610, C.E.P.R. Discussion Papers.

  9. David Backus & Espen Henriksen & Frederic Lambert & Christopher Telmer, 2009. "Current Account Fact and Fiction," NBER Working Papers 15525, National Bureau of Economic Research, Inc.

    Cited by:

    1. Michael Graff & Kam-Ki Tang & Jie Zhang, "undated". "Demography, Financial Openness, National Savings and External Balance," MRG Discussion Paper Series 2008, School of Economics, University of Queensland, Australia.
    2. Kaiji Chen & Ayse Imrohoroglu & Selahattin Imrohoroglu, 2006. "Secular Movements in U.S. Saving and Consumption," 2006 Meeting Papers 154, Society for Economic Dynamics.
    3. Andrea Ferrero & Mark Gertler & Lars E. O. Svensson, 2007. "Current Account Dynamics and Monetary Policy," NBER Chapters, in: International Dimensions of Monetary Policy, pages 199-244, National Bureau of Economic Research, Inc.
    4. Ellen R. McGrattan & Edward C. Prescott, 2007. "Technology capital and the U.S. current account," Working Papers 646, Federal Reserve Bank of Minneapolis.
    5. Michele Cavallo & Cédric Tille, 2006. "Current account adjustment with high financial integration: a scenario analysis," Economic Review, Federal Reserve Bank of San Francisco, pages 31-45.
    6. Christopher J. Gust & Nathan Sheets, 2006. "The Adjustment of Global External Imbalances: Does Partial Exchange Rate Pass-Through to Trade Prices Matter?," International Finance Discussion Papers 850, Board of Governors of the Federal Reserve System (U.S.).
    7. Ester Faia & Eleni Iliopulos, 2011. "Financial openness, financial frictions and optimal monetary policy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00628737, HAL.
    8. Michael Siemer & Adrien Verdelhan & Francois Gourio, 2015. "Uncertainty and International Capital Flows," 2015 Meeting Papers 880, Society for Economic Dynamics.
    9. Enrique G. Mendoza, 2007. "Financial Integration, Financial Deepness and Global Imbalance," 2007 Meeting Papers 746, Society for Economic Dynamics.
    10. Marcus Miller & Lei Zhang, 2007. "Capital Flows, Interest Rates and Precautionary Behaviour: a model of Global Imbalances," Money Macro and Finance (MMF) Research Group Conference 2006 152, Money Macro and Finance Research Group.
    11. Charles Engel & John H. Rogers, 2006. "The U.S. current account deficit and the expected share of world output," Proceedings, Federal Reserve Bank of San Francisco, issue Jun.
    12. Pierpaolo Benigno, 2006. "Are Valuation Effects Desirable from a Global Perspective?," NBER Working Papers 12219, National Bureau of Economic Research, Inc.
    13. Edwards, Sebastian, 2006. "The U.S. current account deficit: Gradual correction or abrupt adjustment?," Journal of Policy Modeling, Elsevier, vol. 28(6), pages 629-643, September.
    14. Tan, Zhibo & Yao, Yang & Wei, Shang-Jin, 2015. "Financial structure, corporate savings and current account imbalances," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 142-167.
    15. Martin D D Evans, 2015. "External Balances, Trade and Financial Conditions," Working Papers gueconwpa~15-15-08, Georgetown University, Department of Economics.
    16. Ansgar Belke & Steffen Elstner & Svetlana Rujin, 2022. "Growth Prospects and the Trade Balance in Advanced Economies," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1209-1234, October.
    17. Kollmann, Robert, 2006. "International Portfolio Equilibrium and the Current Account," CEPR Discussion Papers 5512, C.E.P.R. Discussion Papers.
    18. Gourinchas, Pierre-Olivier & Rey, Hélène, 2005. "From World Banker to World Venture Capitalist: US External Adjustment and the Exorbitant Privilege," CEPREMAP Working Papers (Docweb) 0606, CEPREMAP.
    19. Elyas Elyasiani & Elena Kalotychou & Sotiris Staikouras & Gang Zhao, 2015. "Return and Volatility Spillover among Banks and Insurers: Evidence from Pre-Crisis and Crisis Periods," Journal of Financial Services Research, Springer;Western Finance Association, vol. 48(1), pages 21-52, August.
    20. Perri, Fabrizio & Fogli, Alessandra, 2006. "The 'Great Moderation' and the US External Imbalance," CEPR Discussion Papers 6010, C.E.P.R. Discussion Papers.
    21. Ester Faia & Eleni Iliopulos, 2010. "Financial Globalization, Financial Frictions and Optimal Monetary Policy," Documents de travail du Centre d'Economie de la Sorbonne 10053, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    22. Smets, Frank & Dedola, Luca & Bems, Rudolfs, 2007. "US Imbalances: The Role of Technology and Policy," CEPR Discussion Papers 6110, C.E.P.R. Discussion Papers.
    23. Fogli, Alessandra & Perri, Fabrizio, 2015. "Macroeconomic volatility and external imbalances," Journal of Monetary Economics, Elsevier, vol. 69(C), pages 1-15.
    24. Giancarlo Corsetti & Gernot J. Müller, 2008. "Twin Deficits, Openness, and the Business Cycle," Journal of the European Economic Association, MIT Press, vol. 6(2-3), pages 404-413, 04-05.
    25. José De Gregorio, 2005. "Global Imbalances and Exchange Rate Adjustment," Economic Policy Papers Central Bank of Chile 15, Central Bank of Chile.
    26. Broer, Tobias, 2014. "Domestic or global imbalances? Rising income risk and the fall in the US current account," Journal of Monetary Economics, Elsevier, vol. 64(C), pages 47-67.
    27. Ferrero, Andrea, 2010. "A structural decomposition of the U.S. trade balance: Productivity, demographics and fiscal policy," Journal of Monetary Economics, Elsevier, vol. 57(4), pages 478-490, May.
    28. Mr. Enrique G. Mendoza & Mr. Marco Terrones & Ceyhun Bora Durdu, 2010. "On the Solvency of Nations: Are Global Imbalances Consistent with Intertemporal Budget Constraints?," IMF Working Papers 2010/050, International Monetary Fund.
    29. Marcus Miller & Lei Zhang, 2007. "Temor y falla de mercados: Desequilibrios mundiales y “aseguramiento propio," Research Department Publications 4499, Inter-American Development Bank, Research Department.
    30. Timothy J. Kehoe & Kim J. Ruhl & Joseph B. Steinberg, 2013. "Global Imbalances and Structural Change in the United States," NBER Working Papers 19339, National Bureau of Economic Research, Inc.
    31. Duncan, Roberto, 2015. "A threshold model of the US current account," Economic Modelling, Elsevier, vol. 48(C), pages 270-280.
    32. Miller, Marcus & Zhang, Lei, 2007. "Fear and Market Failure: Global Imbalances and ¿Self-Insurance¿," IDB Publications (Working Papers) 1606, Inter-American Development Bank.
    33. Roe, Terry L. & Shane, Mathew & Heerman, Kari, 2011. "Macroeconomic Imbalances in the World Economy," Working Papers 109244, University of Minnesota, Center for International Food and Agricultural Policy.
    34. Barry Eichengreen, 2008. "Should there be a coordinated response to the problem of global imbalances? Can there be one?," Working Papers 69, United Nations, Department of Economics and Social Affairs.
    35. Eichengreen, Barry, 2006. "Global imbalances: The new economy, the dark matter, the savvy investor, and the standard analysis," Journal of Policy Modeling, Elsevier, vol. 28(6), pages 645-652, September.
    36. Kaiji Chen & Ayse Imrohoroglu & Selahattin Imrohoroglu, 2006. "Secular Trends in U.S Saving and Consumption," Computing in Economics and Finance 2006 494, Society for Computational Economics.
    37. Sebastian Edwards, 2005. "The end of large current account deficits : 1970-2002 : are there lessons for the United States?," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, issue Aug, pages 205-268.
    38. Serven, Luis & Nguyen, Ha, 2010. "Global imbalances before and after the global crisis," Policy Research Working Paper Series 5354, The World Bank.
    39. Miller, Marcus, 2006. "Fear and Market Failure: Global Imbalances and 'Self-insurance'," CEPR Discussion Papers 6000, C.E.P.R. Discussion Papers.
    40. Joseph B. Steinberg, 2018. "Online Appendix to "On the Source of U.S. Trade Deficits: Global Saving Glut or Domestic Saving Drought?"," Online Appendices 16-198, Review of Economic Dynamics.
    41. Durdu, C. Bora & Mendoza, Enrique G. & Terrones, Marco E., 2013. "On the solvency of nations: Cross-country evidence on the dynamics of external adjustment," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 762-780.
    42. Eichengreen, Barry, 2006. "Global Imbalances and the Asian Economies: Implications for Regional Cooperation," Working Papers on Regional Economic Integration 4, Asian Development Bank.
    43. Liu, Kai & Zhou, Xuan, 2015. "The U.S. Dollar and Global Imbalances," MPRA Paper 64786, University Library of Munich, Germany.
    44. Baclet, A. & Vidon, E., 2008. "The world distribution of external imbalances: revisiting the stylised facts," Occasional papers 6, Banque de France.
    45. Andrea Ferrero, 2007. "The long-run determinants of U.S. external imbalances," Staff Reports 295, Federal Reserve Bank of New York.
    46. Charles Engel, 2005. "The US Current Account Deficit: A Re-examination of the Role of Private Saving," RBA Research Discussion Papers rdp2005-09, Reserve Bank of Australia.
    47. Marques, Luis B, 2007. "Welfare Implications of Exchange Rate Changes," MPRA Paper 5721, University Library of Munich, Germany.
    48. Michele Cavallo & Cédric Tille, 2006. "Could capital gains smooth a current account rebalancing?," Working Paper Series 2006-03, Federal Reserve Bank of San Francisco.
    49. Espen Henriksen & Frederic Lambert, 2012. ""Imbalances" For the Long Run," Working Papers 12-22, New York University, Leonard N. Stern School of Business, Department of Economics.
    50. Claudio Borio & Piti Disyatat, 2011. "Global imbalances and the financial crisis: Link or no link?," BIS Working Papers 346, Bank for International Settlements.
    51. Rafiq, Sohrab, 2010. "Fiscal stance, the current account and the real exchange rate: Some empirical estimates from a time-varying framework," Structural Change and Economic Dynamics, Elsevier, vol. 21(4), pages 276-290, November.
    52. Chen, Kaiji & Imrohoroglu, Ayse & Imrohoroglu, Selahattin, 2009. "A quantitative assessment of the decline in the U.S. current account," Journal of Monetary Economics, Elsevier, vol. 56(8), pages 1135-1147, November.
    53. Ricardo Crespo & Daniel Heymann & Pablo Schiaffino, 2015. "Dealing with uncertainty evolving beliefs, rationalizations & the origins of economic crises," Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET) 2015-8, Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET).

  10. Stanley E. Zin & Bryan R. Routledge & David K. Backus, 2009. "The Cyclical Component of US Asset Returns," 2009 Meeting Papers 13, Society for Economic Dynamics.

    Cited by:

    1. Francois Gourio, 2012. "Disaster Risk and Business Cycles," American Economic Review, American Economic Association, vol. 102(6), pages 2734-2766, October.

  11. Backus, David & Chernov, Mikhail & Martin, Ian, 2009. "Disasters implied by equity index options," CEPR Discussion Papers 7416, C.E.P.R. Discussion Papers.

    Cited by:

    1. Xavier Gabaix & Samuel Fraiberg & Romain Ranciere & Adrien Verdehlha & Emmanuel Farhi, 2010. "Crash Risk in Currency Market," 2010 Meeting Papers 640, Society for Economic Dynamics.
    2. Barro, Robert J. & Liao, Gordon Y., 2021. "Rare disaster probability and options pricing," Journal of Financial Economics, Elsevier, vol. 139(3), pages 750-769.
    3. Francesco Bianchi, 2015. "The Great Depression and the Great Recession: A View from Financial Markets," NBER Working Papers 21056, National Bureau of Economic Research, Inc.
    4. Lewis, Karen K. & Liu, Edith X., 2017. "Disaster risk and asset returns: An international perspective," Journal of International Economics, Elsevier, vol. 108(S1), pages 42-58.
    5. Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap, 2014. "Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty," Review of Finance, European Finance Association, vol. 18(1), pages 219-269.
    6. Dergunov, Ilya & Meinerding, Christoph & Schlag, Christian, 2022. "Extreme inflation and time-varying expected consumption growth," SAFE Working Paper Series 334, Leibniz Institute for Financial Research SAFE.
    7. Semir Ben Ammar, 2020. "Catastrophe Risk and the Implied Volatility Smile," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 87(2), pages 381-405, June.
    8. Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2017. "Measuring Systemic Risk," The Review of Financial Studies, Society for Financial Studies, vol. 30(1), pages 2-47.
    9. Chowdhury, Rajib & Doukas, John A. & Mandal, Sonik, 2023. "CEO risk preferences, hedging intensity, and firm value," Journal of International Money and Finance, Elsevier, vol. 130(C).
    10. Nicole Branger & Patrick Konermann & Christoph Meinerding & Christian Schlag, 2021. "Equilibrium Asset Pricing in Directed Networks [Risk premia and term premia in general equilibrium]," Review of Finance, European Finance Association, vol. 25(3), pages 777-818.
    11. Juan Carlos Parra‐Alvarez & Olaf Posch & Andreas Schrimpf, 2022. "Peso problems in the estimation of the C‐CAPM," Quantitative Economics, Econometric Society, vol. 13(1), pages 259-313, January.
    12. Gluzberg, Victor E. & Katz, Yuri A., 2019. "Planetary boundaries of consumption growth: Declining social discount rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 362-374.
    13. Pasquale Della Corte & Lucio Sarno & Maik Schmeling & Christian Wagner, 2022. "Exchange Rates and Sovereign Risk," Management Science, INFORMS, vol. 68(8), pages 5591-5617, August.
    14. Albert S. (Pete) & Karamfil Todorov, 2023. "The cumulant risk premium," BIS Working Papers 1128, Bank for International Settlements.
    15. João F Gomes & Marco Grotteria & Jessica A Wachter, 2019. "Cyclical Dispersion in Expected Defaults," The Review of Financial Studies, Society for Financial Studies, vol. 32(4), pages 1275-1308.
    16. Péter Kondor & Ron Kaniel, 2011. "The delegated Lucas tree," 2011 Meeting Papers 580, Society for Economic Dynamics.
    17. François Gourio, 2013. "Credit Risk and Disaster Risk," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 1-34, July.
    18. Almeida, Caio & Ardison, Kym & Garcia, René, 2020. "Nonparametric assessment of hedge fund performance," Journal of Econometrics, Elsevier, vol. 214(2), pages 349-378.
    19. Pratish Patel & Andrew Raquel & Savannah Chadwick, 2024. "The cash-secured put-write strategy and the variance risk premium," Journal of Asset Management, Palgrave Macmillan, vol. 25(1), pages 31-50, February.
    20. Sang Byung Seo & Jessica A. Wachter, 2019. "Option Prices in a Model with Stochastic Disaster Risk," Management Science, INFORMS, vol. 65(8), pages 3449-3469, August.
    21. Heaton, J.B., 2018. "Risk aversion as risk-neutral pessimism: A simple proof," International Review of Law and Economics, Elsevier, vol. 56(C), pages 70-72.
    22. Stefano Giglio & Ian Dew-Becker & David Berger, 2017. "Uncertainty Shocks as Second-Moment News Shocks," 2017 Meeting Papers 403, Society for Economic Dynamics.
    23. Karen K. Lewis & Edith X. Liu, 2022. "How Can Asset Prices Value Exchange Rate Wedges?," Finance and Economics Discussion Series 2022-075, Board of Governors of the Federal Reserve System (U.S.).
    24. Hansen, Lars Peter, 2013. "Uncertainty Outside and Inside Economic Models," Nobel Prize in Economics documents 2013-7, Nobel Prize Committee.
    25. Schneider, Paul, 2015. "Generalized risk premia," Journal of Financial Economics, Elsevier, vol. 116(3), pages 487-504.
    26. Bryan Kelly & Hao Jiang, 2013. "Tail Risk and Asset Prices," NBER Working Papers 19375, National Bureau of Economic Research, Inc.
    27. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2020. "Options-based systemic risk, financial distress, and macroeconomic downturns," LSE Research Online Documents on Economics 118850, London School of Economics and Political Science, LSE Library.
    28. Roberto Marfe & Julien Penasse, 2024. "Measuring Macroeconomic Tail Risk," Carlo Alberto Notebooks 715 JEL Classification: E, Collegio Carlo Alberto.
    29. Roberto Marfè & Julien Penasse, 2016. "The Time-Varying Risk of Macroeconomic Disasters," Carlo Alberto Notebooks 463, Collegio Carlo Alberto.
    30. Koetter, Michael & Noth, Felix & Rehbein, Oliver, 2019. "Borrowers under water! Rare disasters, regional banks, and recovery lending," IWH Discussion Papers 31/2016, Halle Institute for Economic Research (IWH), revised 2019.
    31. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
    32. Rhys M. Bidder & Matthew E. Smith, 2013. "Doubts and Variability: A Robust Perspective on Exotic Consumption Series," Working Paper Series 2013-28, Federal Reserve Bank of San Francisco.
    33. David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Working Papers 16-08, New York University, Leonard N. Stern School of Business, Department of Economics.
    34. Sönksen, Jantje & Grammig, Joachim, 2021. "Empirical asset pricing with multi-period disaster risk: A simulation-based approach," Journal of Econometrics, Elsevier, vol. 222(1), pages 805-832.
    35. Christoph Meinerding, 2012. "Asset Allocation And Asset Pricing In The Face Of Systemic Risk: A Literature Overview And Assessment," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(03), pages 1-27.
    36. Ian W.R. Martin & Robert S. Pindyck, 2014. "Averting Catastrophes: The Strange Economics of Scylla and Charybdis," NBER Working Papers 20215, National Bureau of Economic Research, Inc.
    37. Wu, Liuren, 2018. "Estimating risk-return relations with analysts price targets," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 183-197.
    38. John List & Harald Uhlig, 2017. "Introduction," Journal of Political Economy, University of Chicago Press, vol. 125(6), pages 1723-1727.
    39. Branger, Nicole & Rodrigues, Paulo & Schlag, Christian, 2018. "Level and slope of volatility smiles in long-run risk models," Journal of Economic Dynamics and Control, Elsevier, vol. 86(C), pages 95-122.
    40. Chipeniuk, Karsten O. & Walker, Todd B., 2021. "Forward inflation expectations: Evidence from inflation caps and floors," Journal of Macroeconomics, Elsevier, vol. 70(C).
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    63. Dergunov, Ilya & Meinerding, Christoph & Schlag, Christian, 2019. "Extreme inflation and time-varying consumption growth," Discussion Papers 16/2019, Deutsche Bundesbank.
    64. Caio Almeida & René Garcia, 2017. "Economic Implications of Nonlinear Pricing Kernels," Management Science, INFORMS, vol. 63(10), pages 3361-3380, October.
    65. Ben Ammar, Semir, 2016. "Pricing of Catastrophe Risk and the Implied Volatility Smile," Working Papers on Finance 1617, University of St. Gallen, School of Finance.
    66. Jean‐Jacques Forneron, 2023. "A Sieve‐SMM Estimator for Dynamic Models," Econometrica, Econometric Society, vol. 91(3), pages 943-977, May.
    67. Liu, Yan, 2021. "Index option returns and generalized entropy bounds," Journal of Financial Economics, Elsevier, vol. 139(3), pages 1015-1036.
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    69. Karim M. Abadir & Adriana Cornea, 2012. "Approximating Moments by Nonlinear Transformations," Working Paper series 22_12, Rimini Centre for Economic Analysis.
    70. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2011. "Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors," Working Paper Series 2011-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    71. Manela, Asaf & Moreira, Alan, 2017. "News implied volatility and disaster concerns," Journal of Financial Economics, Elsevier, vol. 123(1), pages 137-162.
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    73. Ayala Astrid & Blazsek Szabolcs & Escribano Alvaro, 2023. "Anticipating extreme losses using score-driven shape filters," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(4), pages 449-484, September.
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    75. Gourio, François & Siemer, Michael & Verdelhan, Adrien, 2013. "International risk cycles," Journal of International Economics, Elsevier, vol. 89(2), pages 471-484.
    76. Ji Ho Kwon, 2021. "On the factors of Bitcoin’s value at risk," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-31, December.
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    81. Ayala, Astrid & Blazsek, Szabolcs, 2019. "Score-driven time series models with dynamic shape : an application to the Standard & Poor's 500 index," UC3M Working papers. Economics 28133, Universidad Carlos III de Madrid. Departamento de Economía.
    82. Ayala, Astrid & Blazsek, Szabolcs, 2017. "Dynamic conditional score models with time-varying location, scale and shape parameters," UC3M Working papers. Economics 25043, Universidad Carlos III de Madrid. Departamento de Economía.
    83. Jerry Tsai & Jessica A. Wachter, 2014. "Rare Booms and Disasters in a Multi-sector Endowment Economy," NBER Working Papers 20062, National Bureau of Economic Research, Inc.
    84. Bekaert, Geert & Engstrom, Eric, 2010. "Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals," CEPR Discussion Papers 8150, C.E.P.R. Discussion Papers.
    85. Jeremy Graveline & Irina Zviadadze & Mikhail Chernov, 2012. "Crash Risk in Currency Returns," 2012 Meeting Papers 753, Society for Economic Dynamics.
    86. Ian Martin, 2011. "The Forward Premium Puzzle in a Two-Country World," NBER Working Papers 17564, National Bureau of Economic Research, Inc.
    87. Corsetti, G. & Lipińska, A. & Lombardo, G., 2024. "International Risk Sharing and Wealth Allocation with Higher Order Cumulants," Janeway Institute Working Papers 2422, Faculty of Economics, University of Cambridge.
    88. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2023. "The Variance Risk Premium in Equilibrium Models," Review of Finance, European Finance Association, vol. 27(6), pages 1977-2014.
    89. Robert J. Barro & Gordon Liao, 2017. "Option-pricing formula with disaster risk," AEI Economics Working Papers 966780, American Enterprise Institute.
    90. Martin, Ian, 2018. "Options and the Gamma Knife," CEPR Discussion Papers 12883, C.E.P.R. Discussion Papers.
    91. Adrien Verdelhan & Hanno Lustig, 2016. "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," 2016 Meeting Papers 1183, Society for Economic Dynamics.
    92. Sang Byung Seo & Jessica A. Wachter, 2013. "Option Prices in a Model with Stochastic Disaster Risk," NBER Working Papers 19611, National Bureau of Economic Research, Inc.
    93. Bryan Kelly & Lubos Pastor & Pietro Veronesi, 2014. "The Price of Political Uncertainty: Theory and Evidence from the Option Market," NBER Working Papers 19812, National Bureau of Economic Research, Inc.
    94. Nicole Branger & Holger Kraft & Christoph Meinerding, 2016. "The Dynamics of Crises and the Equity Premium," The Review of Financial Studies, Society for Financial Studies, vol. 29(1), pages 232-270.
    95. George M. Constantinides, 2017. "Asset Pricing: Models and Empirical Evidence," Journal of Political Economy, University of Chicago Press, vol. 125(6), pages 1782-1790.
    96. Robert J. Barro & José F. Ursua, 2011. "Rare Macroeconomic Disasters," NBER Working Papers 17328, National Bureau of Economic Research, Inc.
    97. Luo, Lanlan & Zou, Ziran & Chen, Shou, 2021. "Discounting for public-private partnership projects in China," Economic Modelling, Elsevier, vol. 98(C), pages 218-226.
    98. Qunzi Zhang, 2021. "One hundred years of rare disaster concerns and commodity prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 1891-1915, December.
    99. Gourio, François, 2012. "Macroeconomic implications of time-varying risk premia," Working Paper Series 1463, European Central Bank.
    100. Carbajal-De-Nova, Carolina & Venegas-Martínez, Francisco, 2019. "On the paradigm shift of asset pricing models, before and after the global financial crisis: a literature review," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 15(29), pages 7-38, Primer se.
    101. Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez, 2015. "The Price of Variance Risk," NBER Working Papers 21182, National Bureau of Economic Research, Inc.
    102. Grammig, Joachim & Sönksen, Jantje, 2014. "Consumption-Based Asset Pricing with Rare Disaster Risk: A Simulated Method of Moments Approach," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100614, Verein für Socialpolitik / German Economic Association.
    103. Ready, Robert & Roussanov, Nikolai & Ward, Colin, 2017. "After the tide: Commodity currencies and global trade," Journal of Monetary Economics, Elsevier, vol. 85(C), pages 69-86.
    104. Bjørn Eraker & Aoxiang Yang, 2022. "The Price of Higher Order Catastrophe Insurance: The Case of VIX Options," Journal of Finance, American Finance Association, vol. 77(6), pages 3289-3337, December.
    105. Shaliastovich, Ivan, 2015. "Learning, confidence, and option prices," Journal of Econometrics, Elsevier, vol. 187(1), pages 18-42.
    106. Branger, Nicole & Grüning, Patrick & Kraft, Holger & Meinerding, Christoph, 2013. "Asset pricing under uncertainty about shock propagation," SAFE Working Paper Series 34, Leibniz Institute for Financial Research SAFE.
    107. Schneider, Paul, 2019. "An anatomy of the market return," Journal of Financial Economics, Elsevier, vol. 132(2), pages 325-350.
    108. Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, vol. 14(3), pages 289-329, August.
    109. Kwon, Ji Ho, 2020. "Tail behavior of Bitcoin, the dollar, gold and the stock market index," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
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    112. Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Disaster Risk: Joint Implications for Consumption and Asset Prices," CERGE-EI Working Papers wp507, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
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    118. Weidong Tian, 2021. "Long Run Law and Entropy," Papers 2111.06238, arXiv.org.
    119. Ayala, Astrid & Blazsek, Szabolcs, 2019. "Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk," UC3M Working papers. Economics 28638, Universidad Carlos III de Madrid. Departamento de Economía.
    120. Zhanyu Chen & Kai Zhang & Hongbiao Zhao, 2022. "A Skellam market model for loan prime rate options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 525-551, March.
    121. Grammig, Joachim & Sönksen, Jantje, 2014. "Consumption-based asset pricing with rare disaster risk," CFS Working Paper Series 480, Center for Financial Studies (CFS).

  12. Nicholas Economides, 2007. "Nonbanks in the Payments System: Vertical Integration Issues," Working Papers 07-22, New York University, Leonard N. Stern School of Business, Department of Economics.

    Cited by:

    1. Nicholas Economides & Joacim Tåg, 2007. "Net Neutrality on the Internet: A Two-sided Market Analysis," Working Papers 07-45, NET Institute, revised Nov 2007.
    2. Don H Kim, 2007. "Spanned stochastic volatility in bond markets: a reexamination of the relative pricing between bonds and bond options," BIS Working Papers 239, Bank for International Settlements.
    3. Hsing Kenneth Cheng & Subhajyoti Bandyopadhyay & Hong Guo, 2011. "The Debate on Net Neutrality: A Policy Perspective," Information Systems Research, INFORMS, vol. 22(1), pages 60-82, March.

  13. David Backus & Espen Henriksen & Kjetil Storesletten, 2007. "Taxes and the Global Allocation of Capital," NBER Working Papers 13624, National Bureau of Economic Research, Inc.

    Cited by:

    1. Charles Grant & Christos Koulovatianos & Alexander Michaelides & Mario Padula, 2006. "Evidence on the Insurance Effect of Redistributive Taxation," Vienna Economics Papers vie0611, University of Vienna, Department of Economics.
    2. Alejandro Cuñat & Szabolcs Deák & Marco Maffezzoli, 2010. "Tax Cuts in Open Economies," DEGIT Conference Papers c015_052, DEGIT, Dynamics, Economic Growth, and International Trade.
    3. Stefanie Haller & Marie Hyland, 2014. "Capital-Energy Substitution: Evidence from a Panel of Irish Manufacturing Firms," Open Access publications 10197/8608, School of Economics, University College Dublin.
    4. Andrew Glover & Jacob Short, 2020. "Can Capital Deepening Explain the Global Decline in Labor's Share?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 35, pages 35-53, January.
    5. Szabolcs Deák & Lionel Fontagné & Marco Maffezzoli & Massimiliano Marcellino, 2012. "The banking and distribution sectors in a small open economy DSGE Model," Working Papers 454, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    6. Vito Polito, 2010. "Up or Down? Capital Income Taxation in the United States and the United Kingdom," CESifo Working Paper Series 3260, CESifo.
    7. Ralf Ewert & Rainer Niemann, 2012. "Limited Liability, Asymmetric Taxation, and Risk Taking - Why Partial Tax Neutralities Can Be Harmful," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 68(1), pages 83-120, March.
    8. T. Buyse & F. Heylen & R. Van De Kerckhove, 2011. "Pension reform, employment by age, and long-run growth in OECD countries," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/719, Ghent University, Faculty of Economics and Business Administration.
    9. Kai Sun & Daniel J. Henderson & Subal C. Kumbhakar, 2011. "Biases in approximating log production," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(4), pages 708-714, June.
    10. Komada, Oliwia, 2024. "Raising America’s future: Search for optimal child-related transfers," Economic Modelling, Elsevier, vol. 138(C).
    11. Mustafa Koroglu & Yiguo Sun, 2016. "Functional-Coefficient Spatial Durbin Models with Nonparametric Spatial Weights: An Application to Economic Growth," Econometrics, MDPI, vol. 4(1), pages 1-16, February.
    12. Chistoph Grosse-Steffen & Laura Pagenhardt & Malte Rieth, 2021. "Committed to Flexible Fiscal Rules," Working papers 854, Banque de France.
    13. Michaelides, Alexander & Grant, Charles & Padula, Mario & Koulovatianos, Christos, 2008. "Evidence on the Insurance Effect of Marginal Income Taxes," CEPR Discussion Papers 6710, C.E.P.R. Discussion Papers.
    14. Bridgman, Benjamin, 2014. "Do intangible assets explain high U.S. foreign direct investment returns?," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 159-171.
    15. Tim BUYSE & Freddy HEYLEN & Renaat VAN DE KERCKHOVE, 2011. "Pension reform, employment by age and long-run growth," LIDAM Discussion Papers IRES 2011025, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    16. Deák, Szabolcs & Fontagné, Lionel & Maffezzoli, Marco & Marcellino, Massimiliano, 2011. "LSM: A DSGE model for Luxembourg," Economic Modelling, Elsevier, vol. 28(6), pages 2862-2872.
    17. Oliwia Komada, 2023. "Raising America's future: search for optimal child-related transfers," GRAPE Working Papers 84, GRAPE Group for Research in Applied Economics.
    18. Gerdie Everaert & Freddy Heylen & Ruben Schoonackers, 2014. "Fiscal policy and TFP in the OECD : Measuring direct and indirect effects," Working Paper Research 274, National Bank of Belgium.
    19. Jonathan R. W. Temple, 2008. "The Calibration of CES Production Functions," Bristol Economics Discussion Papers 08/606, School of Economics, University of Bristol, UK.
    20. Pedro Gomes & Javier Fernandez-Blanco, 2013. "On the Composition Effects on the Labor Market Outcomes," 2013 Meeting Papers 561, Society for Economic Dynamics.
    21. Thien Nguyen & Lukas Schmid & Howard Kung & Mariano Croce, 2012. "Fiscal Policies and Asset Prices," 2012 Meeting Papers 565, Society for Economic Dynamics.
    22. R. Schoonackers & F. Heylen, 2011. "Fiscal Policy and TFP in the OECD: A Non-Stationary Panel Approach," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/701, Ghent University, Faculty of Economics and Business Administration.
    23. Longobardi, Ernesto & Polito, Vito, 2011. "Capital income taxation incentives during economic downturns: re-thinking theory and evidence," Cardiff Economics Working Papers E2011/15, Cardiff University, Cardiff Business School, Economics Section.
    24. Simona Rasciute & Sean Puckett & Eric J. Pentecost, 2015. "The Allocation Of Oecd Direct Investment Between Ceecs: A Discrete Choice Approach," Bulletin of Economic Research, Wiley Blackwell, vol. 67(S1), pages 26-39, December.
    25. Till Gross, 2013. "Capital Tax Competition and Dynamic Optimal Taxation," Carleton Economic Papers 13-08, Carleton University, Department of Economics.

  14. David K. Backus & Jonathan H. Wright, 2007. "Cracking the conundrum," Finance and Economics Discussion Series 2007-46, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2019. "Money, Credit, Monetary Policy, and the Business Cycle in the Euro Area: What Has Changed Since the Crisis?," International Journal of Central Banking, International Journal of Central Banking, vol. 15(5), pages 137-173, December.
    2. Adam Kucera & Evzen Kocenda & Ales Marsal, 2022. "Yield Curve Dynamics and Fiscal Policy Shocks," Working Papers IES 2022/04, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2022.
    3. Michael D. Bauer, 2018. "Restrictions on Risk Prices in Dynamic Term Structure Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(2), pages 196-211, April.
    4. Michael D. Bauer & Carolin Pflueger & Adi Sunderam, 2023. "Perceptions about Monetary Policy," Working Paper Series 2023-31, Federal Reserve Bank of San Francisco.
    5. Dewachter, Hans & Iania, Leonardo, 2012. "An Extended Macro-Finance Model with Financial Factors," LIDAM Reprints LFIN 2012001, Université catholique de Louvain, Louvain Finance (LFIN).
    6. Gil-Alana, Luis A. & Moreno, Antonio, 2012. "Uncovering the US term premium: An alternative route," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1181-1193.
    7. Mirko Abbritti & Luis A. Gil-Alana & Yuliya Lovcha & Antonio Moreno, 2016. "Term Structure Persistence," Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 331-352.
    8. Adam Kucera & Michal Dvorak & Zlatuse Komarkova, 2017. "Decomposition of the Czech government bond yield curve," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2016/2017, chapter 0, pages 125-134, Czech National Bank.
    9. Eijffinger, S.C.W. & Mahieu, R.J. & Raes, L.B.D., 2010. "The Bond Yield Conundrum : Alternative Hypotheses and the State of the Economy," Discussion Paper 2010-121, Tilburg University, Center for Economic Research.
    10. Don H. Kim, 2008. "Challenges in macro-finance modeling," Finance and Economics Discussion Series 2008-06, Board of Governors of the Federal Reserve System (U.S.).
    11. Jongen, Ron & Verschoor, Willem F.C. & Wolff, Christian C.P., 2011. "Time-variation in term premia: International survey-based evidence," Journal of International Money and Finance, Elsevier, vol. 30(4), pages 605-622, June.
    12. Felix Geiger, 2009. "International Interest-Rate Risk Premia in Affine Term Structure Models," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 316/2009, Department of Economics, University of Hohenheim, Germany.
    13. Mehmet Pasaogullari & Simeon Tsonevy, 2011. "The term structure of inflation compensation in the nominal yield curve," Working Papers (Old Series) 1133, Federal Reserve Bank of Cleveland.
    14. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," PIER Working Paper Archive 11-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    15. Daniel L. Thornton, 2018. "Greenspan's Conundrum and the Fed's Ability to Affect Long‐Term Yields," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(2-3), pages 513-543, March.
    16. Modena, Matteo, 2008. "Yield curve, time varying term premia, and business cycle fluctuations," MPRA Paper 8873, University Library of Munich, Germany.
    17. Olaf Posch, 2018. "Resurrecting the New-Keynesian Model: (Un)conventional Policy and the Taylor Rule," CESifo Working Paper Series 6925, CESifo.
    18. Jesus Sierra, 2014. "International Capital Flows and Bond Risk Premia," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-36.
    19. Taboga, Marco, 2008. "Macro-finance VARs and bond risk premia: a caveat," MPRA Paper 11585, University Library of Munich, Germany.
    20. Refet S. Gürkaynak & Brian P. Sack & Jonathan H. Wright, 2008. "The TIPS yield curve and inflation compensation," Finance and Economics Discussion Series 2008-05, Board of Governors of the Federal Reserve System (U.S.).
    21. Mariano Kulish & Daniel Rees, 2008. "Monetary Transmission and the Yield Curve in a Small Open Economy," RBA Research Discussion Papers rdp2008-03, Reserve Bank of Australia.
    22. De Graeve, Ferre & Emiris, Marina & Wouters, Raf, 2009. "A structural decomposition of the US yield curve," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 545-559, May.
    23. Joseph E. Gagnon & Matthew Raskin & Julie Remache & Brian P. Sack, 2010. "Large-scale asset purchases by the Federal Reserve: did they work?," Staff Reports 441, Federal Reserve Bank of New York.
    24. Cathy Yi-Hsuan Chen & Thomas C. Chiang, 2017. "Surprises, sentiments, and the expectations hypothesis of the term structure of interest rates," Review of Quantitative Finance and Accounting, Springer, vol. 49(1), pages 1-28, July.
    25. Gregory Bauer & Antonio Diez de los Rios, 2012. "An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks," Staff Working Papers 12-5, Bank of Canada.
    26. Luis Ceballos & Alberto Naudon & Damián Romero, 2015. "Nominal Term Structure and Term Premia: Evidence from Chile," Working Papers Central Bank of Chile 752, Central Bank of Chile.
    27. Samuel G Hanson & David O Lucca & Jonathan H Wright, 2021. "Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 136(3), pages 1719-1781.
    28. Abbritti, Mirko & Carcel, Hector & Gil-Alana, Luis & Moreno, Antonio, 2023. "Term premium in a fractionally cointegrated yield curve," Journal of Banking & Finance, Elsevier, vol. 149(C).
    29. Dániel Horváth & Péter Kálmán & Zalán Kocsis & Imre Ligeti, 2014. "What factors influence the yield curve?," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), vol. 9(1), pages 28-39, March.
    30. Kaminska, Iryna & Vayanos, Dimitri & Zinna, Gabriele, 2011. "Preferred-habitat investors and the US term structure of real rates," LSE Research Online Documents on Economics 119074, London School of Economics and Political Science, LSE Library.
    31. Carlos E. Zarazaga, 2010. "The difficult art of eliciting long-run inflation expectations from government bond prices," Staff Papers, Federal Reserve Bank of Dallas, issue Mar.
    32. Oreste Tristani & Gianni Amisano, 2010. "A nonlinear DSGE model of the term structure with regime shifts," 2010 Meeting Papers 234, Society for Economic Dynamics.
    33. Ray Fair, 2008. "Estimating Term Structure Equations Using Macroeconomic Variables," Yale School of Management Working Papers amz2387, Yale School of Management.
    34. Modena, Matteo, 2008. "The term structure and the expectations hypothesis: a threshold model," MPRA Paper 9611, University Library of Munich, Germany.
    35. Halberstadt, Arne, 2015. "The term structure of interest rates and the macroeconomy: Learning about economic dynamics from a FAVAR," Discussion Papers 02/2015, Deutsche Bundesbank.
    36. Francisco Palomino, 2012. "Bond Risk Premiums and Optimal Monetary Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(1), pages 19-40, January.
    37. Chinn, Menzie D. & Ito, Hiro & McCauley, Robert N., 2022. "Do central banks rebalance their currency shares?," Journal of International Money and Finance, Elsevier, vol. 122(C).
    38. Refet S. Gürkaynak & Jonathan H. Wright, 2012. "Macroeconomics and the Term Structure," Journal of Economic Literature, American Economic Association, vol. 50(2), pages 331-367, June.
    39. Kristoffer Nimark, 2012. "Speculative Dynamics in the Term Structure of Interest Rates," Working Papers 430, Barcelona School of Economics.
    40. Gabriele Zinna, 2016. "Price Pressures on UK Real Rates: An Empirical Investigation," Review of Finance, European Finance Association, vol. 20(4), pages 1587-1630.
    41. Véronique Lederman, 2010. "Du Paradoxe De La Securite A La Cindynique Financiere," Post-Print hal-00479484, HAL.
    42. Bruno Feunou & Jean-Sébastien Fontaine, 2014. "Bond Risk Premia and Gaussian Term Structure Models," Staff Working Papers 14-13, Bank of Canada.
    43. Adam Golinski & Peter Spencer, 2019. "Estimating the term structure with linear regressions: Getting to the roots of the problem," Discussion Papers 19/05, Department of Economics, University of York.
    44. Yunus Aksoy & Henrique S. Basso, 2015. "Securitization and asset prices," Working Papers 1526, Banco de España.
    45. Don H. Kim, 2009. "Challenges in macro-finance modeling," Review, Federal Reserve Bank of St. Louis, vol. 91(Sep), pages 519-544.
    46. Campbell, John Y. & Sunderam, Adi & Viceira, Luis M., 2017. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," Critical Finance Review, now publishers, vol. 6(2), pages 263-301, September.
    47. Kulish, Mariano & Rees, Daniel, 2011. "The yield curve in a small open economy," Journal of International Economics, Elsevier, vol. 85(2), pages 268-279.
    48. Dániel Horváth & Péter Kálmán & Zalán Kocsis & Imre Ligeti, 2014. "Short-rate expectations and term premia: experiences from Hungary and other emerging market economies," BIS Papers chapters, in: Bank for International Settlements (ed.), The transmission of unconventional monetary policy to the emerging markets, volume 78, pages 185-196, Bank for International Settlements.
    49. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working papers 234, Banque de France.
    50. Don H Kim, 2007. "Spanned stochastic volatility in bond markets: a reexamination of the relative pricing between bonds and bond options," BIS Working Papers 239, Bank for International Settlements.
    51. Sonali Jain-Chandra & D. Filiz Unsal, 2014. "The effectiveness of monetary policy transmission under capital inflows: Evidence from Asia," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 14(2), pages 96-103, June.
    52. Kučera, Adam, 2020. "Identification of triggers of U.S. yield curve movements," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    53. Signe Krogstrup & Dr. Samuel Reynard & Barbara Sutter, 2012. "Liquidity Effects of Quantitative Easing on Long-Term Interest Rates," Working Papers 2012-02, Swiss National Bank.
    54. Markmann, Holger & Zietz, Joachim, 2017. "Determining the effectiveness of the Eurosystem’s Covered Bond Purchase Programs on secondary markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 314-327.
    55. Saar, Dan & Yagil, Yossi, 2015. "Forecasting growth and stock performance using government and corporate yield curves: Evidence from the European and Asian markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 27-41.
    56. George A. Kahn, 2010. "Taylor rule deviations and financial imbalances," Economic Review, Federal Reserve Bank of Kansas City, vol. 95(Q II), pages 63-99.
    57. Chien-Chiang Wang, 2021. "Online Appendix to "Asset Market Frictions, Household Heterogeneity, and the Liquidity Theory of the Term Structure"," Online Appendices 19-500, Review of Economic Dynamics.
    58. Helmut Herwartz & Jan Roestel, 2011. "Convergence of Real Capital Market Interest Rates—Evidence from Inflation Indexed Bonds," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(7), pages 1523-1541, October.
    59. Gabriele Zinna, 2014. "Price pressures in the UK index-linked market: an empirical investigation," Temi di discussione (Economic working papers) 968, Bank of Italy, Economic Research and International Relations Area.
    60. Kurita, Takamitsu, 2016. "Markov-switching variance models and structural changes underlying Japanese bond yields: An inquiry into non-linear dynamics," The Journal of Economic Asymmetries, Elsevier, vol. 13(C), pages 74-80.

  15. David Backus, 2005. "Recursive Preferences," Working Papers 05-19, New York University, Leonard N. Stern School of Business, Department of Economics.

    Cited by:

    1. Oreste Tristani & Gianni Amisano, 2010. "A nonlinear DSGE model of the term structure with regime shifts," 2010 Meeting Papers 234, Society for Economic Dynamics.

  16. David Backus & Bryan Routledge & Stanley Zin, 2004. "Exotic Preferences for Macroeconomists," NBER Working Papers 10597, National Bureau of Economic Research, Inc.

    Cited by:

    1. Vasco Cúrdia, 2005. "Monetary Policy under Sudden Stops," International Finance 0510025, University Library of Munich, Germany, revised 19 Dec 2005.
    2. Farmer, Roger, 2016. "Pricing Assets in an Economy with Two Types of People," CEPR Discussion Papers 11253, C.E.P.R. Discussion Papers.
    3. Marimon, Ramon & Werner, Jan, 2021. "The envelope theorem, Euler and Bellman equations, without differentiability," Journal of Economic Theory, Elsevier, vol. 196(C).
    4. Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2006. "Recursive Smooth Ambiguity Preferences," Carlo Alberto Notebooks 17, Collegio Carlo Alberto, revised 2008.
    5. Backus, David & Chernov, Mikhail & Martin, Ian, 2009. "Disasters implied by equity index options," CEPR Discussion Papers 7416, C.E.P.R. Discussion Papers.
    6. Nengjiu Ju & Jianjun Miao, "undated". "Ambiguity, Learning, and Asset Returns," Boston University - Department of Economics - Working Papers Series wp2009-014, Boston University - Department of Economics.
    7. Kareen Rozen, 2010. "Foundations of Intrinsic Habit Formation," Econometrica, Econometric Society, vol. 78(4), pages 1341-1373, July.
    8. Alan Beggs, 2015. "Reference Points and Learning," Economics Series Working Papers 767, University of Oxford, Department of Economics.
    9. Yulei Luo & Jun Nie & Eric R. Young, 2013. "Robust Control, Informational Frictions, and International Consumption Correlations," Working Papers 212013, Hong Kong Institute for Monetary Research.
    10. Antoine Bommier & Asen Kochov & François Le Grand, 2019. "Ambiguity and endogenous discounting," Post-Print hal-02312365, HAL.
    11. Benjamin Eden, 2004. "Substitution and Risk Aversion: Is Risk Aversion Important for Understanding Asset Prices?," Vanderbilt University Department of Economics Working Papers 0422, Vanderbilt University Department of Economics.
    12. Miao, Jianjun & Wang, Neng, 2011. "Risk, uncertainty, and option exercise," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 442-461, April.
    13. Pashchenko, Svetlana & Porapakkarm, Ponpoje, 2021. "Value of Life and Annuity Demand," MPRA Paper 107378, University Library of Munich, Germany.
    14. Illeditsch, PK & Ganguli, J & Condie, S, 2015. "Information Inertia," Economics Discussion Papers 15615, University of Essex, Department of Economics.
    15. Dirk Hackbarth & Jianjun Maio, 2007. "The Dynamics of Mergers and Acquisitions in Oligopolistic Industries," Boston University - Department of Economics - Working Papers Series WP2007-017, Boston University - Department of Economics.
    16. Ioannides, Yannis M. & Soetevent, Adriaan R., 2007. "Social networking and individual outcomes beyond the mean field case," Journal of Economic Behavior & Organization, Elsevier, vol. 64(3-4), pages 369-390.
    17. CAMPANALE, Claudio & CASTRO, Rui & CLEMENTI, Gian Luca, 2009. "Asset Pricing in a Production Economy with Chew-Dekel Preferences," Cahiers de recherche 10-2009, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    18. Dominik Grafenhofer & Christian Jaag & Christian Keuschnigg & Mirela Keuschnigg, 2006. "Probabilistic Aging," CESifo Working Paper Series 1680, CESifo.
    19. Luo, Yulei & Nie, Jun & Young, Eric, 2014. "Model Uncertainty and Intertemporal Tax Smoothing," MPRA Paper 54268, University Library of Munich, Germany.
    20. Bloise, G. & Van, C. Le & Vailakis, Y., 2024. "An approximation approach to dynamic programming with unbounded returns," Journal of Mathematical Economics, Elsevier, vol. 111(C).
    21. Marcus Miller & Lei Zhang, 2007. "Capital Flows, Interest Rates and Precautionary Behaviour: a model of Global Imbalances," Money Macro and Finance (MMF) Research Group Conference 2006 152, Money Macro and Finance Research Group.
    22. YANNIS M. IOANNIDES & Adriaan R. Soetevent, 2005. "Social Networking And Individual Outcomes: Individual Decisions And Market Context," Working Papers 05-16, NET Institute, revised Oct 2005.
    23. Meyer-Gohde, Alexander, 2014. "Risky linear approximations," SFB 649 Discussion Papers 2014-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    24. De Giorgi, Enrico G. & Legg, Shane, 2012. "Dynamic portfolio choice and asset pricing with narrow framing and probability weighting," Journal of Economic Dynamics and Control, Elsevier, vol. 36(7), pages 951-972.
    25. Beggs, Alan, 2021. "Games with second-order expected utility," Games and Economic Behavior, Elsevier, vol. 130(C), pages 569-590.
    26. Luo, Yulei & Young, Eric R., 2016. "Induced uncertainty, market price of risk, and the dynamics of consumption and wealth," Journal of Economic Theory, Elsevier, vol. 163(C), pages 1-41.
    27. Ales Marsal & Lorant Kaszab & Roman Horvath, 2017. "Government Spending and the Term Structure of Interest Rates in a DSGE Model," Working and Discussion Papers WP 3/2017, Research Department, National Bank of Slovakia.
    28. Stephen Satchell & Susan Thorp, 2008. "Scenario Analysis With Recursive Utility: Dynamic Consumption Plans For Charitable Endowments," CAMA Working Papers 2008-03, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    29. Licandro, Omar, 2016. "Is the output growth rate in NIPA a welfare measure?," CEPR Discussion Papers 11594, C.E.P.R. Discussion Papers.
    30. Maria Demertzis & Alexander F. Tieman, 2007. "Dealing With Uncertainty: Robust Rules In Monetary Policy," Scottish Journal of Political Economy, Scottish Economic Society, vol. 54(2), pages 295-307, May.
    31. David Dillenberger & Daniel Gottlieb & Pietro Ortoleva, 2018. "Stochastic Impatience and the Separation of Time and Risk Preferences," PIER Working Paper Archive 18-020, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 08 Sep 2018.
    32. Michenaud, Sébastien & Solnik, Bruno, 2008. "Applying regret theory to investment choices: Currency hedging decisions," Journal of International Money and Finance, Elsevier, vol. 27(5), pages 677-694, September.
    33. Emil Iantchev, 2013. "Asset-Pricing Implications of Biologically Based Non-Expected Utility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(3), pages 497-510, July.
    34. Lex Borghans & Bart H.H. Golsteyn & James J. Heckman & Huub Meijers, 2009. "Gender Differences in Risk Aversion and Ambiguity Aversion," NBER Working Papers 14713, National Bureau of Economic Research, Inc.
    35. Antoine Bommier, "undated". "Mortality Decline, Impatience and Aggregate Wealth Accumulation with Risk-Sensitive Preferences," Working Papers ETH-RC-14-006, ETH Zurich, Chair of Systems Design.
    36. Lan, Hong & Meyer-Gohde, Alexander, 2013. "Decomposing risk in dynamic stochastic general equilibrium," SFB 649 Discussion Papers 2013-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    37. Luo, Yulei & Nie, Jun & Young, Eric R., 2012. "Robustness, information–processing constraints, and the current account in small open economies," Journal of International Economics, Elsevier, vol. 88(1), pages 104-120.
    38. Bucci, Paolo & Kirschenbaum, Jason & Mangan, L. Anthony & Aldemir, Tunc & Smith, Curtis & Wood, Ted, 2008. "Construction of event-tree/fault-tree models from a Markov approach to dynamic system reliability," Reliability Engineering and System Safety, Elsevier, vol. 93(11), pages 1616-1627.
    39. Stanislav Khrapov, 2012. "Risk Premia: Short and Long-term," Working Papers w0169, Center for Economic and Financial Research (CEFIR).
    40. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, vol. 74(2), pages 183-217, February.
    41. Airaudo, Marco, 2016. "Endogenous Stock Price Fluctuations with Dynamic Self-Control Preferences," School of Economics Working Paper Series 2016-2, LeBow College of Business, Drexel University.
    42. Ralph S.J. Koijen & Jules H. van Binsbergen & Juan F. Rubio-Ramírez & Jesus Fernandez-Villaverde, 2008. "Likelihood Estimation of DSGE Models with Epstein-Zin Preferences," 2008 Meeting Papers 1099, Society for Economic Dynamics.
    43. de Groot, Oliver & Richter, Alexander W. & Throckmorton, Nathaniel, 2020. "Valuation Risk Revalued," CEPR Discussion Papers 14588, C.E.P.R. Discussion Papers.
    44. Echevarría Olave, Cruz Ángel & Iza Padilla, María Amaya, 2013. "Income Taxation and Growth in an OLG Economy: Does Aggregate Uncertainty Play any Role?," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
    45. Xavier Gabaix & Parameswaran Gopikrishnan & Vasiliki Plerou & H. Eugene Stanley, 2005. "Institutional Investors and Stock Market Volatility," NBER Working Papers 11722, National Bureau of Economic Research, Inc.
    46. Dario Caldara & Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez & Wen Yao, 2009. "Computing DSGE Models with Recursive Preferences," NBER Working Papers 15026, National Bureau of Economic Research, Inc.
    47. Jung, Kuk Mo, 2016. "Uncertainty-Induced Dynamic Inefficiency and the Optimal Inflation Rate," MPRA Paper 69715, University Library of Munich, Germany.
    48. Asen Kochov & Yangwei Song, 2023. "Intertemporal Hedging and Trade in Repeated Games With Recursive Utility," Econometrica, Econometric Society, vol. 91(6), pages 2333-2369, November.
    49. Guerdjikova, Ani & Sciubba, Emanuela, 2015. "Survival with ambiguity," Journal of Economic Theory, Elsevier, vol. 155(C), pages 50-94.
    50. Marcus Miller & Lei Zhang, 2007. "Temor y falla de mercados: Desequilibrios mundiales y “aseguramiento propio," Research Department Publications 4499, Inter-American Development Bank, Research Department.
    51. Ball, Christopher & Creedy, John, 2013. "Tax Policy with Uncertain Future Costs: Some Simple Models," Working Paper Series 18781, Victoria University of Wellington, Chair in Public Finance.
    52. Meyer-Gohde, Alexander, 2017. "Generalized Entropy and Model Uncertainty," SFB 649 Discussion Papers 2017-017, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    53. Oreste Tristani & Gianni Amisano, 2010. "A nonlinear DSGE model of the term structure with regime shifts," 2010 Meeting Papers 234, Society for Economic Dynamics.
    54. Claudio Campanale & Gian Luca Clementi & Rui Castro, 2008. "Asset Pricing in a General Equilibrium Production Economy with Chew-Dekel Risk Preferences," Working Papers. Serie AD 2008-14, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    55. Rubio-Ramírez, Juan Francisco & Fernández-Villaverde, Jesús & Koijen, Ralph & van Binsbergen, Jules, 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," CEPR Discussion Papers 7781, C.E.P.R. Discussion Papers.
    56. Jesús Fernández-Villaverde, 2010. "The econometrics of DSGE models," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 1(1), pages 3-49, March.
    57. Dario Caldara & Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez & Yao Wen, 2012. "Computing DSGE models with recursive preferences and stochastic volatility," Finance and Economics Discussion Series 2012-04, Board of Governors of the Federal Reserve System (U.S.).
    58. Vasco Curdia, 2008. "Optimal monetary policy under sudden stops," Staff Reports 323, Federal Reserve Bank of New York.
    59. Guanlong Ren & John Stachurski, 2018. "Dynamic Programming with Recursive Preferences: Optimality and Applications," Papers 1812.05748, arXiv.org, revised Jun 2020.
    60. Anastasios Karantounias, 2019. "A dynamic theory of the excess burden of taxation," 2019 Meeting Papers 1356, Society for Economic Dynamics.
    61. Patrick Augustin & Roméo Tédongap, 2021. "Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets," Management Science, INFORMS, vol. 67(10), pages 6266-6293, October.
    62. David Backus & Axelle Ferriere & Stanley Zin, 2014. "Risk and Ambiguity in Models of Business Cycles," NBER Working Papers 20319, National Bureau of Economic Research, Inc.
    63. Miller, Marcus, 2006. "Fear and Market Failure: Global Imbalances and 'Self-insurance'," CEPR Discussion Papers 6000, C.E.P.R. Discussion Papers.
    64. Yulei Luo & Eric R. Young, 2010. "Risk-Sensitive Consumption and Savings under Rational Inattention," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(4), pages 281-325, October.
    65. Kaiji Chen & Patrick Higgins & Daniel F. Waggoner & Tao Zha, 2016. "Impacts of Monetary Stimulus on Credit Allocation and the Macroeconomy: Evidence from China," NBER Working Papers 22650, National Bureau of Economic Research, Inc.
    66. Ljungqvist, Lars & Sargent, Thomas, 2021. "The Fundamental Surplus Strikes Again," CEPR Discussion Papers 16077, C.E.P.R. Discussion Papers.
    67. Nason James M. & Smith Gregor W, 2008. "Great Moderation(s) and US Interest Rates: Unconditional Evidence," The B.E. Journal of Macroeconomics, De Gruyter, vol. 8(1), pages 1-33, November.
    68. Jaime Casassus & Pierre Collin-Dufresne & Bryan R. Routledge, "undated". "Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technologies," GSIA Working Papers 2004-E54, Carnegie Mellon University, Tepper School of Business.
    69. Binswanger, Johannes, 2007. "Risk management of pensions from the perspective of loss aversion," Journal of Public Economics, Elsevier, vol. 91(3-4), pages 641-667, April.
    70. Meyer-Gohde, Alexander, 2015. "Risk-Sensitive Linear Approximations," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113057, Verein für Socialpolitik / German Economic Association.
    71. Cordoba, Juan Carlos & Ripoll, Marla, 2011. "A Contribution to the Economic Theory of Fertility," Staff General Research Papers Archive 33899, Iowa State University, Department of Economics.
    72. Eduardo de Sá Fortes Leitão Rodrigues, 2021. "Uncertainty and Effectiveness of Public Consumption," Working Papers REM 2021/0180, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    73. Secomandi, Nicola & Seppi, Duane J., 2014. "Real Options and Merchant Operations of Energy and Other Commodities," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 6(3-4), pages 161-331, July.
    74. Gulcin Ozkan & Filiz Unsal, "undated". "External finance, sudden stops and financial crisis: what is different this time?," Discussion Papers 09/22, Department of Economics, University of York.
    75. Grüne, Lars & Semmler, Willi, 2008. "Asset pricing with loss aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3253-3274, October.
    76. Pierpaolo Benigno & Salvatore Nisticò, 2009. "International Portfolio Allocation under Model Uncertainty," NBER Working Papers 14734, National Bureau of Economic Research, Inc.
    77. Panetti, Ettore, 2022. "Banks’ liquidity provision and panic runs with recursive preferences," Finance Research Letters, Elsevier, vol. 47(PA).
    78. Hashimzade, Nigar & Kirsanov, Oleg & Kirsanova, Tatiana, 2023. "Distributional effects of endogenous discounting," Mathematical Social Sciences, Elsevier, vol. 122(C), pages 1-6.
    79. Pritsker, Matthew, 2013. "Knightian uncertainty and interbank lending," Journal of Financial Intermediation, Elsevier, vol. 22(1), pages 85-105.
    80. Ben Heijdra & Fabian Kindermann & Laurie Reijnders, 2016. "Online Appendix to "Life in shakles? The quantitative implications of reforming the educational financing system"," Online Appendices 16-86, Review of Economic Dynamics.
    81. Aloisio Araujo & Juan Pablo Gamay & Rodrigo Novinskiz & Mario R. Pascoa, 2019. "Endogenous Discounting, Wariness, and Effcient Capital Taxation," School of Economics Discussion Papers 0619, School of Economics, University of Surrey.
    82. Zhao, Guihai, 2017. "Confidence, bond risks, and equity returns," Journal of Financial Economics, Elsevier, vol. 126(3), pages 668-688.
    83. Andrea Ferrero, 2007. "The long-run determinants of U.S. external imbalances," Staff Reports 295, Federal Reserve Bank of New York.
    84. Ben J. Heijdra & Fabian Kindermann & Laurie S. M. Reijnders, 2014. "Life in Shackles? The Quantitative Implications of Reforming the Educational Loan System," CESifo Working Paper Series 5013, CESifo.
    85. Luo, Yulei & Young, Eric, 2013. "Consumption, Market Price of Risk, and Wealth Accumulation under Induced Uncertainty," MPRA Paper 50998, University Library of Munich, Germany.
    86. Kraus, Alan & Sagi, Jacob S., 2006. "Asset pricing with unforeseen contingencies," Journal of Financial Economics, Elsevier, vol. 82(2), pages 417-453, November.
    87. Raghu Suryanarayanan, 2006. "Implications of Anticipated Regret and Endogenous Beliefs for Equilibrium Asset Prices: A Theoretical Framework," CSEF Working Papers 162, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    88. Bloise, Gaetano & Vailakis, Yiannis, 2018. "Convex dynamic programming with (bounded) recursive utility," Journal of Economic Theory, Elsevier, vol. 173(C), pages 118-141.
    89. Martin Cincibuch & Matrina Horníková, 2008. "Measuring the Financial Markets’ Perception of EMU Enlargement: The Role of Ambiguity Aversion," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(05-06), pages 210-230, August.
    90. Philipp Karl ILLEDITSCH, 2009. "Ambiguous Information, Risk Aversion, and Asset Pricing," 2009 Meeting Papers 802, Society for Economic Dynamics.
    91. John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
    92. Rigotti, Luca & Shannon, Chris, 2012. "Sharing risk and ambiguity," Journal of Economic Theory, Elsevier, vol. 147(5), pages 2028-2039.
    93. Gierlinger, Johannes & Gollier, Christian, 2008. "Socially Efficient Discounting under Ambiguity Aversion," IDEI Working Papers 561, Institut d'Économie Industrielle (IDEI), Toulouse.
    94. Furlanetto, Francesco & Seneca, Martin, 2014. "Investment shocks and consumption," European Economic Review, Elsevier, vol. 66(C), pages 111-126.
    95. Niklas Karlsson & George Loewenstein & Duane Seppi, 2009. "The ostrich effect: Selective attention to information," Journal of Risk and Uncertainty, Springer, vol. 38(2), pages 95-115, April.

  17. Stan Zin & David Backus & Bryan Routledge, 2004. "International Risk Sharing with exotic preferences," 2004 Meeting Papers 149, Society for Economic Dynamics.

    Cited by:

    1. Asen Kochov & Yangwei Song, 2023. "Intertemporal Hedging and Trade in Repeated Games With Recursive Utility," Econometrica, Econometric Society, vol. 91(6), pages 2333-2369, November.

  18. David Backus & Silverio Foresi & Liuren Wu, 2002. "Accouting for Biases in Black-Scholes," Finance 0207008, University Library of Munich, Germany.

    Cited by:

    1. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," Center for Financial Institutions Working Papers 99-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
    2. Peter Carr & Liuren Wu, 2003. "The Finite Moment Log Stable Process and Option Pricing," Journal of Finance, American Finance Association, vol. 58(2), pages 753-777, April.
    3. Alessandro Beber & Michael W. Brandt, 2003. "The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market," NBER Working Papers 9914, National Bureau of Economic Research, Inc.
    4. Gabriele Fiorentini & Angel León & Gonzalo Rubio, "undated". "Short-term options with stochastic volatility: Estimation and empirical performance," Studies on the Spanish Economy 02, FEDEA.
    5. Alessandro Beber & Luca Erzegovesi, 1999. "Distribuzioni di probabilità implicite nei prezzi delle opzioni," Alea Tech Reports 008, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    6. Stefano Galluccio & Yann Le Cam, 2005. "Implied Calibration of Stochastic Volatility Jump Diffusion Models," Finance 0510028, University Library of Munich, Germany.
    7. Liuren Wu, 2006. "Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1445-1474, May.
    8. David K. Backus & Silverio Foresi & Chris Telmer, "undated". "Discrete time models of bond pricing," GSIA Working Papers 251, Carnegie Mellon University, Tepper School of Business.
    9. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001. "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers 8510, National Bureau of Economic Research, Inc.
    10. Benjamin Miranda Tabak & Sandro Canesso de Andrade & Eui Jung Chang, 2004. "Tracking Brazilian Exchange Rate Volatility," Econometric Society 2004 Far Eastern Meetings 487, Econometric Society.
    11. Eva Ferreira & Mónica Gago & Angel León & Gonzalo Rubio, 2005. "An empirical comparison of the performance of alternative option pricing models," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 483-523, September.
    12. Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2007. "Forward-Looking Betas," CREATES Research Papers 2007-39, Department of Economics and Business Economics, Aarhus University.
    13. Gabriel Drimus, 2010. "A forward started jump-diffusion model and pricing of cliquet style exotics," Review of Derivatives Research, Springer, vol. 13(2), pages 125-140, July.
    14. Li, Minqiang, 2008. "Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern," MPRA Paper 11530, University Library of Munich, Germany.
    15. Peter Christoffersen & Silvia Gonçalves, 2004. "Estimation Risk in Financial Risk Management," CIRANO Working Papers 2004s-15, CIRANO.

  19. David Backus & Silverio Foresi & Liuren Wu, 2002. "Contagion in Financial Markets," Finance 0207009, University Library of Munich, Germany.

    Cited by:

    1. Haibin Zhu, 2001. "Bank runs without self-fulfilling prophecies," BIS Working Papers 106, Bank for International Settlements.
    2. Haibin Zhu, 2000. "Optimal Bank Runs without Self-Fulfilling Prophecies," Econometric Society World Congress 2000 Contributed Papers 1753, Econometric Society.
    3. Haibin Zhu, 2001. "Bank runs, welfare and policy implications," BIS Working Papers 107, Bank for International Settlements.

  20. David K. Backus & Chris I. Telmer & Liuren Wu, 1999. "Design and Estimation of Affine Yield Models," GSIA Working Papers 2000-E17, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. Markus Leippold & Liuren Wu, 2002. "Asset Pricing Under The Quadratic Class," Finance 0207015, University Library of Munich, Germany.
    2. Luca Benati, 2006. "Affine term structure models for the foreign exchange risk premium," Bank of England working papers 291, Bank of England.
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  22. David Backus & Silverio Foresi & Abon Mozumdar & Liuren Wu, 1998. "Predictable Changes in Yields and Forward Rates," NBER Working Papers 6379, National Bureau of Economic Research, Inc.

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    1. Markus Leippold & Liuren Wu, 2002. "Asset Pricing Under The Quadratic Class," Finance 0207015, University Library of Munich, Germany.
    2. Michael F. Gallmeyer & Burton Hollifield, 2005. "Taylor Rules, McCallum Rules and the Term Structure of Interest Rates," 2005 Meeting Papers 676, Society for Economic Dynamics.
    3. Peng Cheng & Olivier Scaillet, 2002. "Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility," FAME Research Paper Series rp67, International Center for Financial Asset Management and Engineering.
    4. Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 2001. "Peso problem explanations for term structure anomalies," Journal of Monetary Economics, Elsevier, vol. 48(2), pages 241-270, October.
    5. Daniel L. Thornton & Giorgio Valente, 2009. "Revisiting the predictability of bond risk premia," Working Papers 2009-009, Federal Reserve Bank of St. Louis.
    6. James McNeil, 2020. "Estimation of Impulse response functions with term structure local projections," Working Papers daleconwp2020-05, Dalhousie University, Department of Economics.
    7. Christiansen, Charlotte, 2003. "Testing the expectations hypothesis using long-maturity forward rates," Economics Letters, Elsevier, vol. 78(2), pages 175-180, February.
    8. Andrew Atkeson & Patrick J. Kehoe, 2008. "On the need for a new approach to analyzing monetary policy," Working Papers 662, Federal Reserve Bank of Minneapolis.
    9. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, University Library of Munich, Germany.
    10. Ang, Andrew & Piazzesi, Monika, 2003. "A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables," Journal of Monetary Economics, Elsevier, vol. 50(4), pages 745-787, May.
    11. Markus Leippold & Liuren Wu, 2002. "Design and Estimation of Quadratic Term Structure Models," Finance 0207014, University Library of Munich, Germany.
    12. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2016. "The economic value of predicting bond risk premia," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 247-267.
    13. Campbell, John, 2000. "Asset Pricing at the Millennium," Scholarly Articles 3294737, Harvard University Department of Economics.
    14. Jagannathan, Ravi & Kaplin, Andrew & Sun, Steve, 2003. "An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 113-146.
    15. Casper de Vries & Xuedong Wang, 2015. "Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates," Tinbergen Institute Discussion Papers 15-066/VI, Tinbergen Institute.
    16. C. N. V. Krishnan & Peter H. Ritchken & James B. Thomson, 2004. "On credit spread slopes and predicting bank risk," Proceedings 938, Federal Reserve Bank of Chicago.
    17. Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui, 2014. "Nonlinear Kalman Filtering in Affine Term Structure Models," Management Science, INFORMS, vol. 60(9), pages 2248-2268, September.
    18. Duarte, Jefferson., 2003. "Evaluating an Alternative Risk Preference in Affine Term Structure Models," Finance Lab Working Papers flwp_49, Finance Lab, Insper Instituto de Ensino e Pesquisa.
    19. Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
    20. Driessen, J.J.A.G. & Melenberg, B. & Nijman, T.E., 1999. "Testing Affine Term Structure Models in Case of Transaction Costs," Discussion Paper 1999-84, Tilburg University, Center for Economic Research.
    21. Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Econometric Society World Congress 2000 Contributed Papers 1504, Econometric Society.
    22. Lothian, James R. & Koedijk, Kees & Mahieu, Ronald & Campbell, Rachel, 2007. "Irving Fisher, Expectational Errors, and the UIP Puzzle," CEPR Discussion Papers 6294, C.E.P.R. Discussion Papers.
    23. Campbell-Pownall, R.A.J. & Koedijk, C.G. & Lothian, J.R. & Mahieu, R.J., 2007. "Irving Fisher and the UIP Puzzle: Meeting the Expectations a Century Later," ERIM Report Series Research in Management ERS-2007-088-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    24. Lothian, James R. & Wu, Liuren, 2011. "Uncovered interest-rate parity over the past two centuries," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 448-473, April.
    25. Allan Jonathan da Silva & Jack Baczynski, 2024. "Exploring non-analytical affine jump-diffusion models for path-dependent interest rate derivatives," Computational Management Science, Springer, vol. 21(1), pages 1-32, June.
    26. Andres Vesilind, 2006. "Profitability of simple trading strategies exploiting the forward premium bias in foreign exchange markets and the time premium in yield curves," Bank of Estonia Working Papers 2006-04, Bank of Estonia, revised 12 Oct 2006.
    27. Dai, Qiang & Singleton, Kenneth J., 2002. "Expectation puzzles, time-varying risk premia, and affine models of the term structure," Journal of Financial Economics, Elsevier, vol. 63(3), pages 415-441, March.
    28. Carmelo Giaccotto & Erasmo Giambona & Yanhui Zhao, 2021. "Short-Term and Long-Term Discount Rates For Real Estate Investment Trusts," The Journal of Real Estate Finance and Economics, Springer, vol. 63(3), pages 493-524, October.
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    31. D H Kim, 2005. "Nonlinearity in the Term Structure," Centre for Growth and Business Cycle Research Discussion Paper Series 51, Economics, The University of Manchester.
    32. David K. Backus & Silverio Foresi & Chris Telmer, "undated". "Discrete time models of bond pricing," GSIA Working Papers 251, Carnegie Mellon University, Tepper School of Business.
    33. Luis Ceballos & Alberto Naudon & Damián Romero, 2015. "Nominal Term Structure and Term Premia: Evidence from Chile," Working Papers Central Bank of Chile 752, Central Bank of Chile.
    34. Tunaru, Diana, 2017. "Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 119-129.
    35. Chen, Cathy Yi-Hsuan & Kuo, I-Doun & Chiang, Thomas C., 2014. "What explains deviations in the unbiased expectations hypothesis? Market irrationality vs. the peso problem," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 172-190.
    36. David Backus & Mikhail Chernov & Stanley Zin, 2011. "Sources of Entropy in Representative Agent Models," Working Papers 11-21, New York University, Leonard N. Stern School of Business, Department of Economics.
    37. Ippei Fuijwara & Lena Mareen Korber & Daisuke Nagakura, 2013. "Asymmetry in Government Bond Returns," Macroeconomics Working Papers 23399, East Asian Bureau of Economic Research.
    38. Yung, Julieta, 2021. "Can interest rate factors explain exchange rate fluctuations?," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 34-56.
    39. Giaccotto, Carmelo & Lin, Xiao & Zhao, Yanhui, 2020. "Term structure of discount rates for firms in the insurance industry," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 147-158.
    40. Almeida, Caio Ibsen Rodrigues de, 2005. "A Note on the Relation Between Principal Components and Dynamic Factors in Affine Term Structure Models," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 25(1), May.
    41. Qiang Dai & Kenneth J. Singleton, 2001. "Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure," NBER Working Papers 8167, National Bureau of Economic Research, Inc.
    42. Glenn D. Rudebusch & Tao Wu, 2007. "Accounting for a Shift in Term Structure Behavior with No‐Arbitrage and Macro‐Finance Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2‐3), pages 395-422, March.
    43. Refet S. Gürkaynak & Jonathan H. Wright, 2012. "Macroeconomics and the Term Structure," Journal of Economic Literature, American Economic Association, vol. 50(2), pages 331-367, June.
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    45. Enlin Pan & Liuren Wu, 2006. "Taking Positive Interest Rates Seriously," World Scientific Book Chapters, in: Cheng-Few Lee (ed.), Advances In Quantitative Analysis Of Finance And Accounting, chapter 14, pages 327-356, World Scientific Publishing Co. Pte. Ltd..
    46. David Bolder, 2006. "Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective," Staff Working Papers 06-48, Bank of Canada.
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    49. Liuren Wu & Frank Xiaoling Zhang, 2008. "A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure," Management Science, INFORMS, vol. 54(6), pages 1160-1175, June.
    50. Longstaff, Francis A., 2000. "The term structure of very short-term rates: New evidence for the expectations hypothesis," Journal of Financial Economics, Elsevier, vol. 58(3), pages 397-415, December.
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    53. Tao Wu & Glenn Rudebusch, 2005. "The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective," Computing in Economics and Finance 2005 3, Society for Computational Economics.
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    211. Donato Masciandaro & Davide Romelli, 2018. "To Be or not to Be a Euro Country? The Behavioural Political Economics of Currency Unions," BAFFI CAREFIN Working Papers 1883, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    212. Andrew Hughes Hallett & Jan Libich, 2007. "Fiscal-monetary Interactions: The Effect of Fiscal Restraint and Public Monitoring on Central Bank Credibility," Open Economies Review, Springer, vol. 18(5), pages 559-576, November.
    213. Vîntu, Denis, 2022. "An Optimizing IS-LM Model Specification with Inflation Targeting. Microeconomic Evidence for Price Adjustment," MPRA Paper 112805, University Library of Munich, Germany, revised Dec 2021.
    214. Biagio Bossone, 2021. "Global Capital, the Exchange Rate, and Policy (In)Effectiveness," Working Papers PKWP2113, Post Keynesian Economics Society (PKES).
    215. José I. Garcia de Paso, 1996. "A partisan model of political monetary cycles," Investigaciones Economicas, Fundación SEPI, vol. 20(2), pages 243-262, May.
    216. Bugarin, Mauricio Soares & Carvalho, Fábia Aparecida de, 2020. "Elections, Heterogeneity of Central Bankers and Inflationary Pressure: The case for staggered terms for the president and the central banker," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 74(4), December.
    217. Tenreyro, Silvana & Drechsel, Thomas & McLeay, Michael, 2019. "Monetary policy for commodity booms and busts," CEPR Discussion Papers 14030, C.E.P.R. Discussion Papers.
    218. Andrew G Haldane, 1995. "Rules, Discretion and the United Kingdom's New Monetary Framework," Bank of England working papers 40, Bank of England.
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    223. Kirsanova Tatiana & Vines David & Wren-Lewis Simon, 2009. "Inflation Bias with Dynamic Phillips Curves and Impatient Policy Makers," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-26, August.
    224. John McDermott, 1998. "Eric Schaling, Institutions and monetary policy: Credibility, flexibility, and central bank independence," Public Choice, Springer, vol. 94(3), pages 429-433, March.
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    227. R. Cellini & L. Lambertini, 2003. "On the Dynamic Consistency of Optimal Monetary Policy," Working Papers 463, Dipartimento Scienze Economiche, Universita' di Bologna.
    228. Andrew Atkeson & Patrick J. Kehoe, 2006. "The advantage of transparency in monetary policy instruments," Staff Report 297, Federal Reserve Bank of Minneapolis.
    229. Bossone, Biagio & Cuccia, Andrea, 2020. "The portfolio theory of inflation and policy (in)effectiveness revisited: Corroborating evidence," Economics Discussion Papers 2020-2, Kiel Institute for the World Economy (IfW Kiel).
    230. Hartmann, Matthias & Roestel, Jan, 2013. "Inflation, output and uncertainty in the era of inflation targeting – A multi-economy view on causal linkages," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 98-112.
    231. Leonardo Hernández, 1991. "Credibilidad, Problema Peso y Comportamiento de las Tasas de Interés: Chile 1979-1982," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 28(85), pages 385-410.
    232. Fernando M. Gonçalves, 2008. "Accumulating Foreign Reserves Under Floating Exchange Rates," IMF Working Papers 2008/096, International Monetary Fund.
    233. Ludovic Desmedt & Matthieu Llorca, 2016. "L’euro, le bourdon et le banquier central," Post-Print hal-01430375, HAL.
    234. Thierry Warin, 2005. "Monetary Policy: From Theory to Practices," Middlebury College Working Paper Series 0508, Middlebury College, Department of Economics.

  24. David Backus & Silverio Foresi & Liuren Wu, 1997. "Macroeconomic Foundations of Higher Moments in Bond Yields," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-10, New York University, Leonard N. Stern School of Business-.

    Cited by:

    1. Das, Sanjiv R., 2002. "The surprise element: jumps in interest rates," Journal of Econometrics, Elsevier, vol. 106(1), pages 27-65, January.
    2. Sanjiv R. Das, 1998. "Poisson-Guassian Processes and the Bond Markets," NBER Working Papers 6631, National Bureau of Economic Research, Inc.
    3. Li, Xiao-Ping & Feng, Yun & Wu, Chong-Feng & Xu, Wei-Dong, 2013. "Response of the term structure of forward exchange rate to jump in the interest rate," Economic Modelling, Elsevier, vol. 30(C), pages 863-874.

  25. David Backus & Silverio Foresi & Chris Telmer, 1996. "Affine Models of Currency Pricing," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-9, New York University, Leonard N. Stern School of Business-.

    Cited by:

    1. Xavier Gabaix & Samuel Fraiberg & Romain Ranciere & Adrien Verdehlha & Emmanuel Farhi, 2010. "Crash Risk in Currency Market," 2010 Meeting Papers 640, Society for Economic Dynamics.
    2. Frankel, Jeffrey & Poonawala, Jumana, 2009. "The Forward Market in Emerging Currencies: Less Biased Than in Major Currencies," Working Paper Series rwp09-023, Harvard University, John F. Kennedy School of Government.
    3. Martin Bodenstein, 2006. "International Asset Markets and Real Exchange Rate Volatility," International Finance Discussion Papers 884, Board of Governors of the Federal Reserve System (U.S.).
    4. Paul Soderlind & Lars E. O. Svensson, 1997. "New Techniques to Extract Market Expectations from Financial Instruments," NBER Working Papers 5877, National Bureau of Economic Research, Inc.
    5. Jon Faust & John H. Rogers, 1999. "Monetary policy's role in exchange rate behavior," International Finance Discussion Papers 652, Board of Governors of the Federal Reserve System (U.S.).
    6. Richter, Martin & Sørensen, Carsten, 2002. "Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans," Working Papers 2002-4, Copenhagen Business School, Department of Finance.
    7. Speck, Christian, 2023. "Pricing the Bund term structure with linear regressions – without an observable short rate," Discussion Papers 08/2023, Deutsche Bundesbank.
    8. Arnold, Ivo J. M. & de Vries, Casper G., 2000. "Endogeneity in European money demand," European Journal of Political Economy, Elsevier, vol. 16(4), pages 587-609, November.
    9. Sercu, Piet & Uppal, Raman, 2003. "Exchange rate volatility and international trade: A general-equilibrium analysis," European Economic Review, Elsevier, vol. 47(3), pages 429-441, June.
    10. Luca Benati, 2006. "Affine term structure models for the foreign exchange risk premium," Bank of England working papers 291, Bank of England.
    11. P. Sercu, 2005. "The Exchange Rate and Purchasing Power Parity in Arbitrage-Free Models of Asset Pricing," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(5), pages 825-854.
    12. Javier Hualde, 2005. "Unbalanced Cointegration," Faculty Working Papers 06/05, School of Economics and Business Administration, University of Navarra.
    13. Bansal, Ravi & Dahlquist, Magnus, 1999. "The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies," CEPR Discussion Papers 2169, C.E.P.R. Discussion Papers.
    14. Elliott, Graham & Ito, Takatoshi, 1999. "Heterogeneous expectations and tests of efficiency in the yen/dollar forward exchange rate market," Journal of Monetary Economics, Elsevier, vol. 43(2), pages 435-456, April.
    15. Doriana Ruffino & Jonathan Treussard, 2006. "A Study of Inaction in Investment Games via the Early Exercise Premium Representation," Boston University - Department of Economics - Working Papers Series WP2006-040, Boston University - Department of Economics.
    16. Pierre-Olivier Gourinchas & Aaron Tornell, 2002. "Exchange Rate Dynamics, Learning and Misperception," NBER Working Papers 9391, National Bureau of Economic Research, Inc.
    17. Antonio E. Bernardo & Olivier Ledoit, 2000. "Gain, Loss, and Asset Pricing," Journal of Political Economy, University of Chicago Press, vol. 108(1), pages 144-172, February.
    18. Mariano M. Croce & Riccardo Colacito, 2010. "International Asset Pricing with Risk-Sensitive Rare Events," 2010 Meeting Papers 176, Society for Economic Dynamics.
    19. Uppal, Raman & Sercu, Piet & Apte, Prakesh, 2002. "The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests," CEPR Discussion Papers 3343, C.E.P.R. Discussion Papers.
    20. Masao Ogaki & Julio Santaella, 1999. "The Exchange Rate and the Term Structure of Interest Rates in Mexico," Working Papers 99-21, Ohio State University, Department of Economics.
    21. Hollifield, Burton & Yaron, Amir, 2001. "The Foreign Exchange Risk Premium: Real and Nominal Factors," Working Papers 01-1, University of Pennsylvania, Wharton School, Weiss Center.
    22. Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2011. "Common Risk Factors in Currency Markets," The Review of Financial Studies, Society for Financial Studies, vol. 24(11), pages 3731-3777.
    23. Shu Wu, 2007. "Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2‐3), pages 423-442, March.
    24. David K. Backus & Silverio Foresi & Chris Telmer, "undated". "Discrete time models of bond pricing," GSIA Working Papers 251, Carnegie Mellon University, Tepper School of Business.
    25. Roberds, William & Whiteman, Charles H., 1999. "Endogenous term premia and anomalies in the term structure of interest rates: Explaining the predictability smile," Journal of Monetary Economics, Elsevier, vol. 44(3), pages 555-580, December.
    26. Michael W. Brandt & Pedro Santa-Clara, 2001. "Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets," NBER Technical Working Papers 0274, National Bureau of Economic Research, Inc.
    27. Qiang Dai & Kenneth J. Singleton, 2000. "Specification Analysis of Affine Term Structure Models," Journal of Finance, American Finance Association, vol. 55(5), pages 1943-1978, October.
    28. Fendel, Ralf, 2008. "A Joint Characterization of German Monetary Policy and the Dynamics of the German Term Structure of Interest Rates," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 4(1-2), pages 1-19.
    29. Peter N Smith & Michael R Wickens, "undated". "Asset Pricing with Observable Stochastic Discount Factors," Discussion Papers 02/03, Department of Economics, University of York.
    30. Lustig, H. & Verdelhan, A., 2006. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk," Working papers 155, Banque de France.
    31. Rui Albuquerque, 2004. "The Forward Premium Puzzle in a Model of Imperfect Information: Theory and Evidence," International Finance 0405007, University Library of Munich, Germany.
    32. Kozicki, Sharon & Tinsley, P. A., 2001. "Term structure views of monetary policy under alternative models of agent expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 25(1-2), pages 149-184, January.
    33. M. Hadzi-Vaskov & C.J.M. Kool, 2007. "Stochastic Discount Factor Approach to International Risk-Sharing: Evidence from Fixed Exchange Rate Episodes," Working Papers 07-33, Utrecht School of Economics.
    34. Markus Leippold & Liuren Wu, 1999. "The Potential Approach to Bond and Currency Pricing," Finance 9903004, University Library of Munich, Germany.
    35. Metodij Hadzi-Vaskov & Clemens J.M. Kool, 2007. "Stochastic Discount Factor Approach to International Risk-Sharing: A Trilateral Framework," EcoMod2007 23900031, EcoMod.
    36. M. Hadzi-Vaskov & C.J.M. Kool, 2007. "Stochastic Discount Factor Approach to International Risk-Sharing:A Robustness Check of the Bilateral Setting," Working Papers 07-34, Utrecht School of Economics.
    37. Baillie, Richard T. & Bollerslev, Tim, 2000. "The forward premium anomaly is not as bad as you think," Journal of International Money and Finance, Elsevier, vol. 19(4), pages 471-488, August.
    38. Richard Clarida & Josh Davis & Niels Pedersen, 2009. "Currency Carry Trade Regimes: Beyond the Fama Regression," NBER Working Papers 15523, National Bureau of Economic Research, Inc.
    39. Aaron Tornell, 2003. "Exchange Rate Puzzles and Distorted Beleifs (June 2003), with Pierre-Olivier Gourinchas," UCLA Economics Online Papers 265, UCLA Department of Economics.
    40. Ben Fung & Scott Mitnick & Eli Remolona, 1999. "Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets," Staff Working Papers 99-6, Bank of Canada.
    41. Fendel, Ralf, 2004. "Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates," Discussion Paper Series 1: Economic Studies 2004,24, Deutsche Bundesbank.
    42. Hanno Lustig, 2005. "Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution (joint with Adrien Verdelhan, BU, forthcoming in Papers and Proceedings JEEA)," UCLA Economics Online Papers 368, UCLA Department of Economics.

  26. Backus, D.K. & Foresi, S. & Zin, S.E., 1994. "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," Papers 95-02, Columbia - Graduate School of Business.

    Cited by:

    1. Das, Sanjiv R., 2002. "The surprise element: jumps in interest rates," Journal of Econometrics, Elsevier, vol. 106(1), pages 27-65, January.
    2. Kristensen, Dennis, 2004. "A semiparametric single-factor model of the term structure," LSE Research Online Documents on Economics 24741, London School of Economics and Political Science, LSE Library.
    3. Almeida, Thiago Ramos, 2024. "Estimating time-varying factors’ variance in the string-term structure model with stochastic volatility," Research in International Business and Finance, Elsevier, vol. 70(PA).
    4. Adam Golinski & Peter Spencer, 2012. "The Meiselman forward interest rate revision regression as an Affine Term Structure Model," Discussion Papers 12/27, Department of Economics, University of York.
    5. Issler, João Victor, 1995. "Estimating the term structure of volatility and fixed income derivative pricing," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 272, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    6. Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
    7. Joseph Dziwura & Irene Pedraza & Eli M. Remolona, 1995. "The short end of the forward convergence curve and asymmetric cat's tail convergence," Research Paper 9523, Federal Reserve Bank of New York.
    8. Jin-Chuan Duan & Kris Jacobs, 2001. "Short and Long Memory in Equilibrium Interest Rate Dynamics," CIRANO Working Papers 2001s-22, CIRANO.
    9. Zhang, Xibin & Brooks, Robert D. & King, Maxwell L., 2009. "A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation," Journal of Econometrics, Elsevier, vol. 153(1), pages 21-32, November.
    10. David K. Backus & Silverio Foresi & Chris Telmer, "undated". "Discrete time models of bond pricing," GSIA Working Papers 251, Carnegie Mellon University, Tepper School of Business.
    11. Orazio Di Miscia, 2005. "Term structure of interest models: concept and estimation problem in a continuous-time setting," Finance 0504017, University Library of Munich, Germany.
    12. Orazio Di Miscia, 2005. "Estimation of continuous-time interest rate models: a nonparametric approach," Finance 0504015, University Library of Munich, Germany.
    13. Teresa Corzo Santamaría & Javier Gómez Biscarri, 2005. "Nonparametric estimation of convergence of interest rates: Effects on bond pricing," Spanish Economic Review, Springer;Spanish Economic Association, vol. 7(3), pages 167-190, September.
    14. Jonathan Berk & Richard C. Green & Vasant Naik, 1998. "Optimal Investment, Growth Options, and Security Returns," NBER Working Papers 6627, National Bureau of Economic Research, Inc.
    15. Choong Tze Chua & Dean Foster & Krishna Ramaswamy & Robert Stine, 2008. "A Dynamic Model for the Forward Curve," The Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 265-310, January.
    16. Longstaff, Francis A. & Santa-Clara, Pedro & Schwartz, Eduardo S., 2001. "Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market," Journal of Financial Economics, Elsevier, vol. 62(1), pages 39-66, October.
    17. Sergio Ortobelli & Noureddine Kouaissah & Tomáš Tichý, 2019. "On the use of conditional expectation in portfolio selection problems," Annals of Operations Research, Springer, vol. 274(1), pages 501-530, March.
    18. J. C. Arismendi-Zambrano & T. Ramos-Almeida & J. C. Reboredo & M. A. Rivera-Castro, 2020. "Identifying Statistical Arbitrage in Interest Rate Markets: A Genetic Algorithm Approach," Economics Department Working Paper Series n305-20.pdf, Department of Economics, National University of Ireland - Maynooth.
    19. Yunbi An & Wulin Suo, 2009. "An Empirical Comparison of Option‐Pricing Models in Hedging Exotic Options," Financial Management, Financial Management Association International, vol. 38(4), pages 889-914, December.
    20. Michael W. Brandt & Amir Yaron, 2003. "Time-Consistent No-Arbitrage Models of the Term Structure," NBER Working Papers 9458, National Bureau of Economic Research, Inc.
    21. Leo Krippner, 2005. "An Intertemporally-Consistent and Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models," Working Papers in Economics 05/01, University of Waikato.

  27. Backus, D.K. & Foresi, S. & Telmer, C.I., 1994. "The Forward Premium Anomaly: Three Examples in Serach of Solution," Papers 95-01, Columbia - Graduate School of Business.

    Cited by:

    1. Engel, Charles, 1996. "The forward discount anomaly and the risk premium: A survey of recent evidence," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 123-192, June.
    2. Heeho Kim, 2013. "Uncertainty and risk premium puzzle," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(1), pages 62-79, January.
    3. Nelson C. Mark & Yangru Wu, 1997. "Risk, Policy Rules, and Noise: Rethinking Deviations from Uncovered Interest Parity," Tinbergen Institute Discussion Papers 97-041/2, Tinbergen Institute.

  28. David K. Backus & Stanley E. Zin, 1994. "Reverse Engineering the Yield Curve," NBER Working Papers 4676, National Bureau of Economic Research, Inc.

    Cited by:

    1. Frank F. Gong & Eli M. Remolona, 1996. "Two factors along the yield curve," Research Paper 9613, Federal Reserve Bank of New York.
    2. Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 2001. "Peso problem explanations for term structure anomalies," Journal of Monetary Economics, Elsevier, vol. 48(2), pages 241-270, October.
    3. Ben R. Craig & Joseph G. Haubrich, 2003. "Pricing kernels, inflation, and the term structure of interest rates," Working Papers (Old Series) 0308, Federal Reserve Bank of Cleveland.
    4. Shiller, Robert J. & Campbell, John Y. & Viceira, Luis Manuel, 2009. "Understanding Inflation-Indexed Bond Markets," Scholarly Articles 10885503, Harvard University Department of Economics.
    5. Fabio Fornari & Roberto Violi, 1998. "The Probability Density Function of Interest Rates Implied in the Price of Options," Temi di discussione (Economic working papers) 339, Bank of Italy, Economic Research and International Relations Area.
    6. Greg Duffee, 2011. "Forecasting with the term structure: The role of no-arbitrage restrictions," Economics Working Paper Archive 576, The Johns Hopkins University,Department of Economics.
    7. Luca Benati, 2006. "Affine term structure models for the foreign exchange risk premium," Bank of England working papers 291, Bank of England.
    8. Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
    9. Driessen, J.J.A.G. & Melenberg, B. & Nijman, T.E., 1999. "Testing Affine Term Structure Models in Case of Transaction Costs," Discussion Paper 1999-84, Tilburg University, Center for Economic Research.
    10. Lars Peter Hansen & Jose A Sheinkman, 2007. "Long-term Risk: An Operator Approach," Levine's Bibliography 122247000000001669, UCLA Department of Economics.
    11. Gonzalez-Astudillo, Manuel, 2009. "An Equilibrium Model of the Term Structure of Interest Rates: Recursive Preferences at Play," MPRA Paper 19153, University Library of Munich, Germany.
    12. Howard Kung & Gonzalo Morales & Alexandre Corhay, 2017. "Fiscal Discount Rates and Debt Maturity," 2017 Meeting Papers 840, Society for Economic Dynamics.
    13. Gregory R. Duffee, 2012. "Forecasting interest rates," Economics Working Paper Archive 599, The Johns Hopkins University,Department of Economics.
    14. Joseph Dziwura & Irene Pedraza & Eli M. Remolona, 1995. "The short end of the forward convergence curve and asymmetric cat's tail convergence," Research Paper 9523, Federal Reserve Bank of New York.
    15. Jin-Chuan Duan & Kris Jacobs, 2001. "Short and Long Memory in Equilibrium Interest Rate Dynamics," CIRANO Working Papers 2001s-22, CIRANO.
    16. Mark Fisher, 1999. "Consumption and Asset Prices with Recursive Preferences: Continuous-Time Approximations to Discrete-Time Models," Computing in Economics and Finance 1999 934, Society for Computational Economics.
    17. Ravi Bansal & Hao Zhou, 2002. "Term Structure of Interest Rates with Regime Shifts," Journal of Finance, American Finance Association, vol. 57(5), pages 1997-2043, October.
    18. Lars Lochstoer & Harjoat S. Bhamra, 2009. "Return Predictability and Labor Market Frictions in a Real Business Cycle Model," 2009 Meeting Papers 1257, Society for Economic Dynamics.
    19. Edmond, Chris & Weill, Pierre-Olivier, 2012. "Aggregate implications of micro asset market segmentation," Journal of Monetary Economics, Elsevier, vol. 59(4), pages 319-335.
    20. Qiang Dai & Kenneth J. Singleton, 2000. "Specification Analysis of Affine Term Structure Models," Journal of Finance, American Finance Association, vol. 55(5), pages 1943-1978, October.
    21. Kozicki, Sharon & Tinsley, P. A., 2001. "Shifting endpoints in the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 613-652, June.
    22. David Backus & Mikhail Chernov & Stanley Zin, 2011. "Sources of Entropy in Representative Agent Models," Working Papers 11-21, New York University, Leonard N. Stern School of Business, Department of Economics.
    23. Carlos E. Zarazaga, 2010. "The difficult art of eliciting long-run inflation expectations from government bond prices," Staff Papers, Federal Reserve Bank of Dallas, issue Mar.
    24. Michael J. Fleming & Eli M. Remolona, 1999. "The term structure of announcement effects," Staff Reports 76, Federal Reserve Bank of New York.
    25. Michael F. Gallmeyer & Burton Hollifield & Francisco J. Palomino & Stanley E. Zin, 2007. "Arbitrage-free bond pricing with dynamic macroeconomic models," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 305-326.
    26. Hanno Lustig, 2004. "Can Housing Collateral Explain Long-Run Swings in Asset Returns? (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 322, UCLA Department of Economics.
    27. David Backus & Silverio Foresi & Chris I. Telmer, 1996. "Affine Models of Currency Pricing," NBER Working Papers 5623, National Bureau of Economic Research, Inc.
    28. Riccardo Colacito & Mariano M. Croce, 2011. "Risks for the Long Run and the Real Exchange Rate," Journal of Political Economy, University of Chicago Press, vol. 119(1), pages 153-181.
    29. Refet S. Gürkaynak & Jonathan H. Wright, 2012. "Macroeconomics and the Term Structure," Journal of Economic Literature, American Economic Association, vol. 50(2), pages 331-367, June.
    30. Hanno Lustig & Stijn Van Nieuwerburgh, 2004. "A Theory of Housing Collateral, Consumption Insurance and Risk Premia," NBER Working Papers 10955, National Bureau of Economic Research, Inc.
    31. Chunsheng Zhou, 1996. "Stock market fluctuations and the term structure," Finance and Economics Discussion Series 96-3, Board of Governors of the Federal Reserve System (U.S.).
    32. Georg Kaltenbrunner & Lars Lochstoer, 2007. "Long-Run Risk through Consumption Smoothing," 2007 Meeting Papers 25, Society for Economic Dynamics.
    33. Alex Hsu & Erica X. N. Li & Francisco Palomino, 2021. "Real and Nominal Equilibrium Yield Curves," Management Science, INFORMS, vol. 67(2), pages 1138-1158, February.
    34. Duan, Jin-Chuan & Jacobs, Kris, 2008. "Is long memory necessary? An empirical investigation of nonnegative interest rate processes," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 567-581, June.
    35. Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 1999. "Money and interest rates with endogeneously segmented markets," Staff Report 260, Federal Reserve Bank of Minneapolis.
    36. R.C. Stapleton & Marti G. Subrahmanyam, 1999. "The Term Structure of Interest Rate-Futures Prices," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-045, New York University, Leonard N. Stern School of Business-.
    37. Michael Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley Zin, 2017. "Term Premium Dynamics and the Taylor Rule," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 1-39, December.
    38. John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
    39. Gregory R. Duffee, 2012. "Bond pricing and the macroeconomy," Economics Working Paper Archive 598, The Johns Hopkins University,Department of Economics.
    40. Ben Fung & Scott Mitnick & Eli Remolona, 1999. "Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets," Staff Working Papers 99-6, Bank of Canada.
    41. Arne Andresen & Fred Espen Benth & Steen Koekebakker & Valeriy Zakamulin, 2014. "The Carma Interest Rate Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(02), pages 1-27.

  29. David Backus & Silverio Foresi & Chris Telmer, 1994. "The Forward Premium Anamoly: Three Examples in Search of a Solution," GSIA Working Papers 7, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. Mark, Nelson C & Wu, Yangru, 1998. "Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise," Economic Journal, Royal Economic Society, vol. 108(451), pages 1686-1706, November.
    2. Engel, Charles, 1996. "The forward discount anomaly and the risk premium: A survey of recent evidence," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 123-192, June.
    3. Heeho Kim, 2013. "Uncertainty and risk premium puzzle," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(1), pages 62-79, January.
    4. Graham Elliott & Takatoshi Ito, 1995. "Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market," NBER Working Papers 5376, National Bureau of Economic Research, Inc.
    5. Hodrick, Robert J & Vassalou, Maria, 2001. "Do We Need Multi-Country Models to Explain Exchange Rate, Interest Rate and Bond Return Dynamics?," CEPR Discussion Papers 3056, C.E.P.R. Discussion Papers.

  30. David K. Backus & Gregor W. Smith, 1993. "Consumption And Real Exchange Rates In Dynamic Economies With Non-traded Goods," Working Paper 1252, Economics Department, Queen's University.

    Cited by:

    1. Andrea Raffo, 2008. "Technology Shocks: Novel Implications for International Business Cycles," 2008 Meeting Papers 511, Society for Economic Dynamics.
    2. Fabrizio Perri & Jonathan Heathcote, 2007. "The International Diversification Puzzle Is Not as Bad as You Think," Working Papers 2007-3, University of Minnesota, Department of Economics, revised 08 Oct 2007.
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    8. Maria Caporale, Guglielmo & A. Gil-Alana, Luis, 2011. "Multi-Factor Gegenbauer Processes and European Inflation Rates," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 26, pages 386-409.
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    36. Gil-Alana, Luis A., 2004. "Long memory in the U.S. interest rate," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 265-276.
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  54. David Backus & William C. Brainard & Gary Smith & James Tobin, 1980. "A Model of U.S. Financial and Nonfinancial Economic Behavior," Cowles Foundation Discussion Papers 548, Cowles Foundation for Research in Economics, Yale University.

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    8. Pérez Caldentey, Esteban & Rojas Rodríguez, Leonardo, 2020. "A stock-flow approach to investment requirements within balance-of-payments constrained growth," Documentos de Proyectos 46514, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
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    15. Alex Izurieta, 2001. "Can Countries under A Common Currency Conduct Their Own Fiscal Policies?," Macroeconomics 0108008, University Library of Munich, Germany.
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    32. Schoburgh, Eris D., 2009. "Informal economy and informal citizenship: exploring causation and connectivity in socio-politico shifts in Jamaica," Documentos de Proyectos 3698, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    33. Freeland, Gregory, 2009. "Preparedness for rain during sunny weather: Caribbean environmental sustainability in a nuclear age," Documentos de Proyectos 3706, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
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    40. Mr. Segismundo Fassler & Mr. Manik L. Shrestha & Mr. Reimund Mink, 2012. "An Integrated Framework for Financial Positions and Flowson a From-Whom-To-Whom Basis: Concepts, Status, and Prospects," IMF Working Papers 2012/057, International Monetary Fund.
    41. Pérez Caldentey, Esteban, 2009. "Balance of payments constrained growth within a consistent stock-flow framework: an application to the economies of CARICOM," Documentos de Proyectos 3708, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    42. Tomoe Moore & Christopher Green, 2005. "Other financial institutions' portfolio behaviour and policy implications: A study of India," International Economic Journal, Taylor & Francis Journals, vol. 19(4), pages 543-562.
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    44. Claudio Dos Santos, 2004. "Keynesian Theorizing During Hard Times: SStock-Flow Consistent Models as an Unexplored 'Frontier' of Keynesian Macroeconomics'," Macroeconomics 0405023, University Library of Munich, Germany.
    45. Lorenzo Nalin & Giuliano Toshiro Yajima, 2020. "Balance Sheet Effects of a Currency Devaluation: A Stock-Flow Consistent Framework for Mexico?," Economics Working Paper Archive wp_980, Levy Economics Institute.
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    49. Hendrickson, Michael, 2009. "Trade liberalisation, trade performance and competitiveness in the Caribbean," Documentos de Proyectos 3709, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
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  55. David Backus & Douglas D. Purvis, 1978. "An Integrated Model of Household Flow-of-Funds Allocations," Cowles Foundation Discussion Papers 493, Cowles Foundation for Research in Economics, Yale University.

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    1. Tony Hall & Jan Jacobs & Adrian Pagan, 2013. "Macro-Econometric System Modelling @75," CAMA Working Papers 2013-67, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    2. Christopher J. Green & Victor Murinde, 2003. "Flow of funds: implications for research on financial sector development and the real economy," Journal of International Development, John Wiley & Sons, Ltd., vol. 15(8), pages 1015-1036.
    3. Carl E. Walsh, 1981. "Measurement Error and the Flow of Funds Accounts: Estimates of HouseholdAsset Demand Equations," NBER Working Papers 0732, National Bureau of Economic Research, Inc.
    4. Alho, Kari, . "Analysis of Financial Markets and Central Bank Policy in the Flow-of-Funds Framework. An Application to the Case of Finland," ETLA A, The Research Institute of the Finnish Economy, number 12, June.
    5. R. MacDonald & Hassan Molana, 2000. "Does Consumption Deviate from the Permanent Income Path? An Empirical Study of UK Data," Dundee Discussion Papers in Economics 107, Economic Studies, University of Dundee.
    6. Duca, John & Muellbauer, John, 2013. "Tobin LIVES: Integrating evolving credit market architecture into flow of funds based macro-models," Working Paper Series 1581, European Central Bank.
    7. Kim Kowalewski & Gary Smith, 1979. "The Spending Behavior of Wealth- and Liquidity-Constrained Consumers," Cowles Foundation Discussion Papers 536, Cowles Foundation for Research in Economics, Yale University.
    8. Han Chen & James A. Clouse & Jane E. Ihrig & Elizabeth C. Klee, 2014. "The Federal Reserve's Tools for Policy Normalization in a Preferred Habitat Model of Financial Markets," Finance and Economics Discussion Series 2014-83, Board of Governors of the Federal Reserve System (U.S.).

  56. David K. Backus & Silverio Foresi & Chris Telmer, "undated". "Discrete time models of bond pricing," GSIA Working Papers 251, Carnegie Mellon University, Tepper School of Business.

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    1. Driffill, John & Sola, Martin & Kenc, Turalay & Spagnolo, Fabio, 2004. "On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts," CEPR Discussion Papers 4165, C.E.P.R. Discussion Papers.
    2. Juan Carlos Hatchondo & Mr. Francisco Roch & Mr. Leonardo Martinez, 2012. "Fiscal Rules and the Sovereign Default Premium," IMF Working Papers 2012/030, International Monetary Fund.
    3. Das, Sanjiv R., 2002. "The surprise element: jumps in interest rates," Journal of Econometrics, Elsevier, vol. 106(1), pages 27-65, January.
    4. Theofanis Archontakis & Wolfgang Lemke, 2008. "Threshold Dynamics of Short‐term Interest Rates: Empirical Evidence and Implications for the Term Structure," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 37(1), pages 75-117, February.
    5. Wolfgang Lemke & Theofanis Archontakis, 2008. "Bond pricing when the short-term interest rate follows a threshold process," Quantitative Finance, Taylor & Francis Journals, vol. 8(8), pages 811-822.
    6. Hibiki Ichiue, 2004. "Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with Affine Term Structure Model," Econometric Society 2004 Far Eastern Meetings 581, Econometric Society.
    7. Campbell, John, 2000. "Asset Pricing at the Millennium," Scholarly Articles 3294737, Harvard University Department of Economics.
    8. Michiel De Pooter & Francesco Ravazzolo & Dick van Dijk, 2010. "Term structure forecasting using macro factors and forecast combination," International Finance Discussion Papers 993, Board of Governors of the Federal Reserve System (U.S.).
    9. David Bolder, 2001. "Affine Term-Structure Models: Theory and Implementation," Staff Working Papers 01-15, Bank of Canada.
    10. Gil-Bazo Javier & Rubio Gonzalo, 2004. "A Nonparametric Dimension Test of the Term Structure," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(3), pages 1-28, September.
    11. Paolo M. Panteghini, 2001. "Dual income taxation : the choice of the imputed rate of return," Finnish Economic Papers, Finnish Economic Association, vol. 14(1), pages 5-13, Spring.
    12. H. Bertholon & A. Monfort & F. Pegoraro, 2008. "Econometric Asset Pricing Modelling," Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 407-458, Fall.
    13. Luca Benati, 2006. "Affine term structure models for the foreign exchange risk premium," Bank of England working papers 291, Bank of England.
    14. Hibiki Ichiue, 2005. "How Do Monetary Policy Rules Affect Term Premia?," Bank of Japan Working Paper Series 05-E-14, Bank of Japan.
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    16. Lothian, James R. & Koedijk, Kees & Mahieu, Ronald & Campbell, Rachel, 2007. "Irving Fisher, Expectational Errors, and the UIP Puzzle," CEPR Discussion Papers 6294, C.E.P.R. Discussion Papers.
    17. Xavier Ragot & Francois Le Grand & Edouard Challe, 2007. "Incomplete markets and the yield curve," 2007 Meeting Papers 715, Society for Economic Dynamics.
    18. Lothian, James R. & Wu, Liuren, 2011. "Uncovered interest-rate parity over the past two centuries," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 448-473, April.
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    24. Christian Gollier, 2005. "The Consumption-Based Determinants of the Term Structure of Discount Rates," CESifo Working Paper Series 1375, CESifo.
    25. Yin, Weiwei & Li, Junye, 2014. "Macroeconomic fundamentals and the exchange rate dynamics: A no-arbitrage macro-finance approach," Journal of International Money and Finance, Elsevier, vol. 41(C), pages 46-64.
    26. Lemke, Wolfgang, 2007. "An affine macro-finance term structure model for the euro area," Discussion Paper Series 1: Economic Studies 2007,13, Deutsche Bundesbank.
    27. Fendel, Ralf, 2008. "A Joint Characterization of German Monetary Policy and the Dynamics of the German Term Structure of Interest Rates," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 4(1-2), pages 1-19.
    28. Wolfgang Lemke & Deutsche Bundesbank, 2006. "Term Structure Modeling and Estimation in a State Space Framework," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-28344-7, October.
    29. Leonardo Martinez & Juan Hatchondo, 2017. "Sovereign Cocos and the Reprofiling of Debt Payments," 2017 Meeting Papers 1435, Society for Economic Dynamics.
    30. Peter N Smith & Michael R Wickens, "undated". "Asset Pricing with Observable Stochastic Discount Factors," Discussion Papers 02/03, Department of Economics, University of York.
    31. Philippe Mueller & Mikhail Chernov, 2008. "The Term Structure of Inflation Expectations," 2008 Meeting Papers 346, Society for Economic Dynamics.
    32. Andrew Jeffrey & Linton, Oliver Linton & Thong Nguyen & Peter C.B. Phillips, 2001. "Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach," Cowles Foundation Discussion Papers 1311, Cowles Foundation for Research in Economics, Yale University.
    33. GOLLIER Christian, 2008. "Discounting with fat-tailed economic growth," LERNA Working Papers 08.19.263, LERNA, University of Toulouse.
    34. Scheffel, Eric, 2008. "A Credit-Banking Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles," Cardiff Economics Working Papers E2008/30, Cardiff University, Cardiff Business School, Economics Section.
    35. Barros Luís, Jorge & Cassola, Nuno, 2001. "A two-factor model of the German term structure of interest rates," Working Paper Series 46, European Central Bank.
    36. Liuren Wu & Frank Xiaoling Zhang, 2008. "A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure," Management Science, INFORMS, vol. 54(6), pages 1160-1175, June.
    37. Lu, Biao & Wu, Liuren, 2009. "Macroeconomic releases and the interest rate term structure," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 872-884, September.
    38. Markus Leippold & Liuren Wu, 1999. "The Potential Approach to Bond and Currency Pricing," Finance 9903004, University Library of Munich, Germany.
    39. Joyce, Michael & Kaminska, Iryna & Lildholdt, Peter, 2008. "Understanding the real rate conundrum: an application of no-arbitrage finance models to the UK real yield curve," Bank of England working papers 358, Bank of England.
    40. Adrien Verdelhan & Hanno Lustig, 2016. "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," 2016 Meeting Papers 1183, Society for Economic Dynamics.
    41. Tatyana Krivobokova & Göran Kauermann & Theofanis Archontakis, 2006. "Estimating the term structure of interest rates using penalized splines," Statistical Papers, Springer, vol. 47(3), pages 443-459, June.
    42. Michiel D. de Pooter & Francesco Ravazzolo & Dick van Dijk, 2007. "Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information," Tinbergen Institute Discussion Papers 07-028/4, Tinbergen Institute.
    43. Scott Gilbert & Petr Zemčík, 2005. "Testing for Latent Factors in Models with Autocorrelation and Heteroskedasticity of Unknown Form," Southern Economic Journal, John Wiley & Sons, vol. 72(1), pages 236-252, July.
    44. Zbynek Stork, 2016. "Term Structure of Interest Rates: Macro-Finance Approach," EcoMod2016 9566, EcoMod.
    45. Michael W. Brandt & Amir Yaron, 2003. "Time-Consistent No-Arbitrage Models of the Term Structure," NBER Working Papers 9458, National Bureau of Economic Research, Inc.
    46. Jappelli, Ruggero & Pelizzon, Loriana & Subrahmanyam, Marti G., 2023. "Quantitative easing, the repo market, and the term structure of interest rates," SAFE Working Paper Series 395, Leibniz Institute for Financial Research SAFE.
    47. Fendel, Ralf, 2004. "Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates," Discussion Paper Series 1: Economic Studies 2004,24, Deutsche Bundesbank.
    48. Arne Andresen & Fred Espen Benth & Steen Koekebakker & Valeriy Zakamulin, 2014. "The Carma Interest Rate Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(02), pages 1-27.
    49. Timothy Cogley, 2005. "Changing Beliefs and the Term Structure of Interest Rates: Cross-Equation Restrictions with Drifting Parameters," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 420-451, April.

  57. David Backus & Silverio Foresi & Chris Telmer, "undated". "Interpreting the Forward Premium Anomoly," GSIA Working Papers 15, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. Karen K. Lewis, 2011. "Global Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 435-466, December.
    2. Costa, Carlos Eugênio da & Issler, João Victor & Matos, Paulo Rogério Faustino, 2009. "The forward- and the equity-premium puzzles: two symptoms of the same illness?," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 697, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    3. Moore, Michael J. & Roche, Maurice J., 2002. "Less of a puzzle: a new look at the forward forex market," Journal of International Economics, Elsevier, vol. 58(2), pages 387-411, December.
    4. Inci, Ahmet Can & Lu, Biao, 2004. "Exchange rates and interest rates: can term structure models explain currency movements?," Journal of Economic Dynamics and Control, Elsevier, vol. 28(8), pages 1595-1624, June.
    5. McMahon, Michael & Peiris, M. Udara & Polemarchakis, Herakles, 2018. "Perils of unconventional monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 92-114.
    6. Peiris, M.Udara & Polemarchakis, Herakles, 2015. "Quantitative Easing in an Open Economy : Prices, Exchange Rates and Risk Premia," The Warwick Economics Research Paper Series (TWERPS) 1094, University of Warwick, Department of Economics.
    7. Pérez, Rafaela & Ruiz, Jesús & Lafuente Luengo, Juan Ángel, 2012. "Monetary policy regimes and the forward bias for foreign exchange," DEE - Working Papers. Business Economics. WB 12960, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    8. Jonas Heipertz & Ilian Mihov & Ana Maria Santacreu, 2017. "Managing Macroeconomic Fluctuations with Flexible Exchange Rate Targeting," Working Papers 2017-028, Federal Reserve Bank of St. Louis, revised 16 Jan 2022.
    9. Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2009. "Time-Varying Risk, Interest Rates, and Exchange Rates in General Equilibrium," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 76(3), pages 851-878.
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    592. Kim J. Ruhl, 2008. "The International Elasticity Puzzle," Working Papers 08-30, New York University, Leonard N. Stern School of Business, Department of Economics.
    593. Mazhikeyev, Arman & Edwards, T. Huw & Rizov, Marian, 2015. "Openness and isolation: The trade performance of the former Soviet Central Asian countries," International Business Review, Elsevier, vol. 24(6), pages 935-947.
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Articles

  1. Backus, David & Boyarchenko, Nina & Chernov, Mikhail, 2018. "Term structures of asset prices and returns," Journal of Financial Economics, Elsevier, vol. 129(1), pages 1-23.
    See citations under working paper version above.
  2. Backus, David & Coleman, Chase & Ferriere, Axelle & Lyon, Spencer, 2016. "Pareto weights as wedges in two-country models," Journal of Economic Dynamics and Control, Elsevier, vol. 72(C), pages 98-110.
    See citations under working paper version above.
  3. Backus, David & Ferriere, Axelle & Zin, Stanley, 2015. "Risk and ambiguity in models of business cycles," Journal of Monetary Economics, Elsevier, vol. 69(C), pages 42-63.
    See citations under working paper version above.
  4. David Backus & Mikhail Chernov & Stanley Zin, 2014. "Sources of Entropy in Representative Agent Models," Journal of Finance, American Finance Association, vol. 69(1), pages 51-99, February.
    See citations under working paper version above.
  5. David Backus & Mikhail Chernov & Ian Martin, 2011. "Disasters Implied by Equity Index Options," Journal of Finance, American Finance Association, vol. 66(6), pages 1969-2012, December.
    See citations under working paper version above.
  6. Backus, David & Henriksen, Espen & Storesletten, Kjetil, 2008. "Taxes and the global allocation of capital," Journal of Monetary Economics, Elsevier, vol. 55(1), pages 48-61, January.
    See citations under working paper version above.
  7. David K. Backus & Jonathan H. Wright, 2007. "Cracking the Conundrum," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 38(1), pages 293-329.
    See citations under working paper version above.
  8. Backus, David K., 2005. "Comment on: "Exchange rate regime durability and performance in developing versus advanced economies"," Journal of Monetary Economics, Elsevier, vol. 52(1), pages 65-68, January.

    Cited by:

    1. Mohammad Karimi & Marcel-Cristian Voia, 2014. "Currency Crises, Exchange Rate Regimes and Capital Account Liberalization: A Duration Analysis Approach," Dynamic Modeling and Econometrics in Economics and Finance, in: Frauke Schleer-van Gellecom (ed.), Advances in Non-linear Economic Modeling, edition 127, pages 233-262, Springer.
    2. KAFANDO, Namalguebzanga, 2014. "L'industrialisation de l'Afrique: l'importance des facteurs structurels et du régime de change [The industrialization of Africa: the importance of structural factors and exchange rate regime]," MPRA Paper 68736, University Library of Munich, Germany.
    3. Cunha, Alexandre B., 2005. "A Direct Proof of the First Welfare Theorem," Insper Working Papers wpe_30, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    4. Sajid Anwar & Lan Nguyen, 2011. "Financial development and economic growth in Vietnam," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 35(3), pages 348-360, July.

  9. David K. Backus & Silverio Foresi & Chris I. Telmer, 2001. "Affine Term Structure Models and the Forward Premium Anomaly," Journal of Finance, American Finance Association, vol. 56(1), pages 279-304, February.

    Cited by:

    1. Park, Sunjin, 2022. "Heterogeneous beliefs in macroeconomic growth prospects and the carry risk premium," Journal of Banking & Finance, Elsevier, vol. 136(C).
    2. Giorgio Valente & Mr. Gene L. Leon & Lucio Sarno, 2006. "Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," IMF Working Papers 2006/136, International Monetary Fund.
    3. Sarno, Lucio & Della Corte, Pasquale & Tsiakas, Ilias, 2010. "Spot and Forward Volatility in Foreign Exchange," CEPR Discussion Papers 7893, C.E.P.R. Discussion Papers.
    4. Astrid Eisenberg & Markus Rudolf, 2007. "Exchange Rates and the Conversion of Currency‐Specific Risk Premia," European Financial Management, European Financial Management Association, vol. 13(4), pages 672-701, September.
    5. Gavazzoni, Federico & Santacreu, Ana Maria, 2020. "International R&D spillovers and asset prices," Journal of Financial Economics, Elsevier, vol. 136(2), pages 330-354.
    6. Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L., 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
    7. Markus Leippold & Liuren Wu, 2002. "Asset Pricing Under The Quadratic Class," Finance 0207015, University Library of Munich, Germany.
    8. Lloyd, Simon & Marin, Emile, 2020. "Exchange rate risk and business cycles," Bank of England working papers 872, Bank of England.
    9. Hakon Tretvoll, 2018. "Real Exchange Variability in a Two-Country Business Cycle Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 27, pages 123-145, January.
    10. Rossi, Barbara, 2013. "Exchange Rate Predictability," CEPR Discussion Papers 9575, C.E.P.R. Discussion Papers.
    11. Peng Cheng & Olivier Scaillet, 2002. "Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility," FAME Research Paper Series rp67, International Center for Financial Asset Management and Engineering.
    12. Copeland, Laurence & Lu, Wenna, 2016. "Dodging the steamroller: Fundamentals versus the carry trade," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 115-131.
    13. David R. Haab & Thomas Nitschka, 2020. "Carry trade and forward premium puzzle from the perspective of a safe‐haven currency," Review of International Economics, Wiley Blackwell, vol. 28(2), pages 376-394, May.
    14. Matteo Maggiori, 2013. "The U.S. Dollar Safety Premium," 2013 Meeting Papers 75, Society for Economic Dynamics.
    15. Moore, Michael J. & Roche, Maurice J., 2010. "Solving exchange rate puzzles with neither sticky prices nor trade costs," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 1151-1170, October.
    16. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias, 2007. "Evaluating An Estimated New Keynesian Small Open Economy Model," Working Paper Series 203, Sveriges Riksbank (Central Bank of Sweden).
    17. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2022. "The time-varying risk price of currency portfolios," Journal of International Money and Finance, Elsevier, vol. 124(C).
    18. Adrien Verdelhan, 2012. "The Share of Systematic Variation in Bilateral Exchange Rates," 2012 Meeting Papers 763, Society for Economic Dynamics.
    19. Baillie, Richard T. & Cho, Dooyeon, 2014. "Time variation in the standard forward premium regression: Some new models and tests," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 52-63.
    20. Li, Shaoyu & Huang, Henry H. & Zhang, Teng, 2020. "Generalized affine transform on pricing quanto range accrual note," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    21. Hans Dewachter & Kristien Smedts, 2007. "Limits to international arbitrage: an empirical evaluation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(3), pages 273-285.
    22. Andrew Atkeson & Patrick J. Kehoe, 2008. "On the need for a new approach to analyzing monetary policy," Working Papers 662, Federal Reserve Bank of Minneapolis.
    23. Jon Faust & John H. Rogers, 1999. "Monetary policy's role in exchange rate behavior," International Finance Discussion Papers 652, Board of Governors of the Federal Reserve System (U.S.).
    24. Mo, Henry & Wu, Liuren, 2007. "International capital asset pricing: Evidence from options," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 465-498, September.
    25. Markus Leippold & Liuren Wu, 2002. "Design and Estimation of Quadratic Term Structure Models," Finance 0207014, University Library of Munich, Germany.
    26. Ahmet Can Inci, 2006. "Co‐integrating currencies and yield differentials," Review of Financial Economics, John Wiley & Sons, vol. 15(2), pages 159-175.
    27. Wachter, Jessica A., 2006. "A consumption-based model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 79(2), pages 365-399, February.
    28. Anella Munro, 2014. "Exchange rates, expected returns and risk: UIP unbound," CAMA Working Papers 2014-73, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    29. Hakon Tretvoll, 2013. "Investment-Specific Technology Shocks and Recursive Preferences," 2013 Meeting Papers 1207, Society for Economic Dynamics.
    30. Giovanni Calice & Ming Zeng, 2021. "The term structure of sovereign credit default swap and the cross‐section of exchange rate predictability," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 445-458, January.
    31. Darrel Duffie & Damir Filipović & Walter Schachermayer, 2002. "Affine Processes and Application in Finance," NBER Technical Working Papers 0281, National Bureau of Economic Research, Inc.
    32. Bernoth, Kerstin & von Hagen, Jürgen & de Vries, Caspar, 2022. "The Term Structure of Currency Futures' Risk Premia," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 54(1), pages 5-38.
    33. Francesco Ravazzolo & Tommy Sveen & Sepideh K. Zahiri, 2016. "Commodity Futures and Forecasting Commodity Currencies," Working Papers No 7/2016, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    34. Juan-Ángel Jiménez-Martín & Alfonso Novales Cinca, 2009. "State-Uncertainty preferences and the Risk Premium in the Exchange rate market," Documentos de Trabajo del ICAE 2009-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    35. S. Mouabbi, 2014. "An arbitrage-free Nelson-Siegel term structure model with stochastic volatility for the determination of currency risk premia," Working papers 527, Banque de France.
    36. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2012. "Properties of foreign exchange risk premiums," Journal of Financial Economics, Elsevier, vol. 105(2), pages 279-310.
    37. Moore, Michael J. & Roche, Maurice J., 2002. "Less of a puzzle: a new look at the forward forex market," Journal of International Economics, Elsevier, vol. 58(2), pages 387-411, December.
    38. Michael E Araki & Marcelo Cabus Klotzle & Antonio C. F. Pinto, 2018. "Carry trades and economic policy uncertainty: measuring the political dimension of the forward rate bias in emerging countries," Economics Bulletin, AccessEcon, vol. 38(3), pages 1476-1484.
    39. Inci, Ahmet Can & Lu, Biao, 2004. "Exchange rates and interest rates: can term structure models explain currency movements?," Journal of Economic Dynamics and Control, Elsevier, vol. 28(8), pages 1595-1624, June.
    40. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2024. "The Term Structure of Covered Interest Rate Parity Violations," Journal of Finance, American Finance Association, vol. 79(3), pages 2077-2114, June.
    41. Jair N. Ojeda-Joya, 2014. "A Consumption-Based Approach to Exchange Rate Predictability," Borradores de Economia 12339, Banco de la Republica.
    42. Mikhail Golosov & David Evans & anmol bhandari, 2017. "Risk and Monetary Policy in a New Keynesian Model," 2017 Meeting Papers 1359, Society for Economic Dynamics.
    43. Ravi Bansal & Ivan Shaliastovich, 2013. "A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets," The Review of Financial Studies, Society for Financial Studies, vol. 26(1), pages 1-33.
    44. Taboga, Marco & Pericoli, Marcello, 2008. "Bond risk premia, macroeconomic fundamentals and the exchange rate," MPRA Paper 9523, University Library of Munich, Germany.
    45. Jotikasthira, Chotibhak & Le, Anh & Lundblad, Christian, 2015. "Why do term structures in different currencies co-move?," Journal of Financial Economics, Elsevier, vol. 115(1), pages 58-83.
    46. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
    47. Clark, Todd E. & West, Kenneth D., 2006. "Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 155-186.
    48. Rabitsch, Katrin, 2016. "An incomplete markets explanation of the UIP puzzle," FinMaP-Working Papers 53, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    49. Zhenzhen Fan & Juan M. Londono & Xiao Xiao, 2019. "US Equity Tail Risk and Currency Risk Premia," International Finance Discussion Papers 1253, Board of Governors of the Federal Reserve System (U.S.).
    50. Tarek A. Hassan & Thomas M. Mertens & Tony Zhang, 2015. "Not so disconnected: exchange rates and the capital stock," Working Paper Series 2015-21, Federal Reserve Bank of San Francisco.
    51. Sager, Michael & Taylor, Mark P., 2014. "Generating currency trading rules from the term structure of forward foreign exchange premia," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 230-250.
    52. Zhang, Shaojun, 2020. "Dissecting Currency Momentum," Working Paper Series 2020-15, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    53. Jung, Kuk Mo & Lee, Seungduck, 2015. "A Liquidity-Based Resolution of the Uncovered Interest Parity Puzzle," MPRA Paper 64164, University Library of Munich, Germany.
    54. Luca Benati, 2006. "Affine term structure models for the foreign exchange risk premium," Bank of England working papers 291, Bank of England.
    55. Kremens, Lukas & Martin, Ian, 2019. "The quanto theory of exchange rates," LSE Research Online Documents on Economics 89839, London School of Economics and Political Science, LSE Library.
    56. Todd E. Clark & Kenneth D. West, 2005. "Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference," NBER Technical Working Papers 0305, National Bureau of Economic Research, Inc.
    57. Driessen, J.J.A.G. & Melenberg, B. & Nijman, T.E., 1999. "Testing Affine Term Structure Models in Case of Transaction Costs," Discussion Paper 1999-84, Tilburg University, Center for Economic Research.
    58. Kano, Takashi & Wada, Kenji, 2017. "The first arrow hitting the currency target: A long-run risk perspective," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 337-352.
    59. Seungduck Lee & Kuk Mo Jung, 2019. "A Liquidity-Based Resolution of the Uncovered Interest Parity Puzzle," Working Papers 1902, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
    60. Craig Burnside & Martin Eichenbaum & Isaac Kleshchelski & Sergio Rebelo, 2006. "The Returns to Currency Speculation," 2006 Meeting Papers 864, Society for Economic Dynamics.
    61. Lothian, James R. & Koedijk, Kees & Mahieu, Ronald & Campbell, Rachel, 2007. "Irving Fisher, Expectational Errors, and the UIP Puzzle," CEPR Discussion Papers 6294, C.E.P.R. Discussion Papers.
    62. Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2007. "If exchange rates are random walks then almost everything we say about monetary policy is wrong," Working Papers 650, Federal Reserve Bank of Minneapolis.
    63. Dahlquist, Magnus & Pénasse, Julien, 2022. "The missing risk premium in exchange rates," Journal of Financial Economics, Elsevier, vol. 143(2), pages 697-715.
    64. Robert J. Hodrick & Tuomas Tomunen, 2018. "Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications," NBER Working Papers 25092, National Bureau of Economic Research, Inc.
    65. Seungduck Lee & Kuk Mo Jung, 2020. "A Liquidity‐Based Resolution of the Uncovered Interest Parity Puzzle," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(6), pages 1397-1433, September.
    66. Christophe Chamley, 2006. "Complementarities in information acquisition with short-term trades," Boston University - Department of Economics - Working Papers Series WP2006-042, Boston University - Department of Economics.
    67. Atanasov, Victoria & Nitschka, Thomas, 2014. "Currency excess returns and global downside market risk," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 268-285.
    68. Devereux, Michael B. & Engel, Charles, 2002. "Exchange rate pass-through, exchange rate volatility, and exchange rate disconnect," Journal of Monetary Economics, Elsevier, vol. 49(5), pages 913-940, July.
    69. Kumar, Vikram, 2020. "Liquidity shocks: A new solution to the forward premium puzzle," Economic Modelling, Elsevier, vol. 91(C), pages 445-454.
    70. Londono, Juan M. & Zhou, Hao, 2017. "Variance risk premiums and the forward premium puzzle," Journal of Financial Economics, Elsevier, vol. 124(2), pages 415-440.
    71. Egorov, Alexei V. & Li, Haitao & Ng, David, 2011. "A tale of two yield curves: Modeling the joint term structure of dollar and euro interest rates," Journal of Econometrics, Elsevier, vol. 162(1), pages 55-70, May.
    72. Moran, Kevin & Nono, Simplice Aimé, 2018. "Gradual learning about shocks and the forward premium puzzle," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 79-100.
    73. Lothian, James R. & Wu, Liuren, 2011. "Uncovered interest-rate parity over the past two centuries," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 448-473, April.
    74. J. Benson Durham, 2014. "Arbitrage-free affine models of the forward price of foreign currency," Staff Reports 665, Federal Reserve Bank of New York.
    75. Jairo Andrés Rendón, 2020. "Foreign exchange risk in stock returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(3), pages 430-443, July.
    76. Charles Engel, 2015. "Exchange Rates, Interest Rates, and the Risk Premium," NBER Working Papers 21042, National Bureau of Economic Research, Inc.
    77. Aloosh, Arash, 2014. "Global Variance Risk Premium and Forex Return Predictability," MPRA Paper 59931, University Library of Munich, Germany.
    78. Philippe Bacchetta & Eric van Wincoop, 2010. "Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle," American Economic Review, American Economic Association, vol. 100(3), pages 870-904, June.
    79. Elias, Nikolaos & Smyrnakis, Dimitris & Tzavalis, Elias, 2022. "Predicting future exchange rate changes based on interest rates and holding-period returns differentials net of the forward risk premium effects," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 694-715.
    80. Scholl, Almuth & Uhlig, Harald, 2008. "New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates," Journal of International Economics, Elsevier, vol. 76(1), pages 1-13, September.
    81. Martin D D Evans, 2015. "External Balances, Trade and Financial Conditions," Working Papers gueconwpa~15-15-08, Georgetown University, Department of Economics.
    82. Hyoung-Seok Lim & Masao Ogaki, 2013. "A Theory of Exchange Rates and the Term Structure of Interest Rates," Review of Development Economics, Wiley Blackwell, vol. 17(1), pages 74-87, February.
    83. Hanno Lustig & Adrien Verdelhan, 2011. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply," American Economic Review, American Economic Association, vol. 101(7), pages 3477-3500, December.
    84. Charles W. Calomiris & Harry Mamaysky, 2019. "Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes," NBER Working Papers 25714, National Bureau of Economic Research, Inc.
    85. Evžen Koèenda & Tigran Poghosyan, 2010. "Exchange Rate Risk in Central European Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(1), pages 22-39, February.
    86. Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries, 2018. "Estimating a Latent Risk Premium in Exchange Rate Futures," Discussion Papers of DIW Berlin 1733, DIW Berlin, German Institute for Economic Research.
    87. Uppal, Raman & Sercu, Piet & Apte, Prakesh, 2002. "The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests," CEPR Discussion Papers 3343, C.E.P.R. Discussion Papers.
    88. Chernov, Mikhail & Creal, Drew, 2022. "International yield curves and currency puzzles," CEPR Discussion Papers 13252, C.E.P.R. Discussion Papers.
    89. Mr. Phurichai Rungcharoenkitkul, 2011. "Risk Sharing and Financial Contagion in Asia: An Asset Price Perspective," IMF Working Papers 2011/242, International Monetary Fund.
    90. Mariano Kulish & Daniel Rees, 2008. "Monetary Transmission and the Yield Curve in a Small Open Economy," RBA Research Discussion Papers rdp2008-03, Reserve Bank of Australia.
    91. Jung, Kuk Mo, 2015. "Liquidity Risk and Time-Varying Correlation Between Equity and Currency Returns," MPRA Paper 67416, University Library of Munich, Germany.
    92. Brennan, Michael J. & Xia, Yihong, 2004. "International Capital Markets and Foreign Exchange Risk," University of California at Los Angeles, Anderson Graduate School of Management qt53z0s29k, Anderson Graduate School of Management, UCLA.
    93. Hui, Cho-Hoi & Lo, Chi-Fai & Liu, Chi-Hei, 2022. "Exchange rate dynamics with crash risk and interventions," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 18-37.
    94. Dossani, Asad, 2021. "Central bank tone and currency risk premia," Journal of International Money and Finance, Elsevier, vol. 117(C).
    95. Zhang, Shaojun, 2016. "Limited Risk Sharing and International Equity Returns," Working Paper Series 2016-25, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    96. Nikola Mirkov, 2014. "International financial transmission of the Fed's monetary policy," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 7(2), pages 7-49, September.
    97. Wagner, Christian, 2009. "Risk-Premia, Carry-Trade Dynamics, and Economic Value of Currency Speculation," MPRA Paper 21125, University Library of Munich, Germany.
    98. Inci, Ahmet Can, 2008. "The Japanese yen futures returns, spot returns, and the risk premium," Global Finance Journal, Elsevier, vol. 18(3), pages 385-399.
    99. Ken West, 2003. "Monetary policy and the volatility of real exchange rates in New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2003/09, Reserve Bank of New Zealand.
    100. Berg, Kimberly A. & Mark, Nelson C., 2018. "Measures of global uncertainty and carry-trade excess returns," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 212-227.
    101. Brandt, Michael & Cochrane, John & Santa-Clara, Pedro, 2001. "International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth!," University of California at Los Angeles, Anderson Graduate School of Management qt1jw137zd, Anderson Graduate School of Management, UCLA.
    102. Yin, Weiwei & Li, Junye, 2014. "Macroeconomic fundamentals and the exchange rate dynamics: A no-arbitrage macro-finance approach," Journal of International Money and Finance, Elsevier, vol. 41(C), pages 46-64.
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    109. Poghosyan Tigran, 2012. "Determinants of the Foreign Exchange Risk Premium in the Gulf Cooperation Council Countries," Review of Middle East Economics and Finance, De Gruyter, vol. 7(3), pages 1-26, May.
    110. Jiang, Zhengyang, 2021. "US Fiscal cycle and the dollar," Journal of Monetary Economics, Elsevier, vol. 124(C), pages 91-106.
    111. Grossmann, Axel & Simpson, Marc W., 2015. "Bid-ask spreads, deviations from PPP and the forward prediction error: The case of the British pound and the euro," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 124-139.
    112. Stanislav Anatolyev & Nikolay Gospodinov & Ibrahim Jamali & Xiaochun Liu, 2015. "Foreign exchange predictability during the financial crisis: implications for carry trade profitability," FRB Atlanta Working Paper 2015-6, Federal Reserve Bank of Atlanta.
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    116. Chen, Shu-Hsiu, 2017. "Carry trade strategies based on option-implied information: Evidence from a cross-section of funding currencies," Journal of International Money and Finance, Elsevier, vol. 78(C), pages 1-20.
    117. David K. Backus & Federico Gavazzoni & Christopher Telmer & Stanley E. Zin, 2010. "Monetary Policy and the Uncovered Interest Parity Puzzle," NBER Working Papers 16218, National Bureau of Economic Research, Inc.
    118. Yu, Jianfeng, 2013. "A sentiment-based explanation of the forward premium puzzle," Journal of Monetary Economics, Elsevier, vol. 60(4), pages 474-491.
    119. A Craig Burnside & Jeremy J Graveline, 2020. "On the Asset Market View of Exchange Rates," The Review of Financial Studies, Society for Financial Studies, vol. 33(1), pages 239-260.
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  10. Backus, David & Foresi, Silverio & Mozumdar, Abon & Wu, Liuren, 2001. "Predictable changes in yields and forward rates," Journal of Financial Economics, Elsevier, vol. 59(3), pages 281-311, March.
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    1. Breuer, Janice Boucher & Clements, Leianne A., 2003. "The commodity composition of US-Japanese trade and the yen/dollar real exchange rate," Japan and the World Economy, Elsevier, vol. 15(3), pages 307-330, August.
    2. Iwaisako, Tokuo & Nakata, Hayato, 2017. "Impact of exchange rate shocks on Japanese exports: Quantitative assessment using a structural VAR model," Journal of the Japanese and International Economies, Elsevier, vol. 46(C), pages 1-16.

  14. David K. Backus & Silverio Foresi & Chris I. Telmer, 1995. "Interpreting the Forward Premium Anomaly," Canadian Journal of Economics, Canadian Economics Association, vol. 28(s1), pages 108-119, November.
    See citations under working paper version above.
  15. Backus, David K & Kehoe, Patrick J & Kydland, Finn E, 1994. "Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?," American Economic Review, American Economic Association, vol. 84(1), pages 84-103, March.
    See citations under working paper version above.
  16. Backus, David K. & Smith, Gregor W., 1993. "Consumption and real exchange rates in dynamic economies with non-traded goods," Journal of International Economics, Elsevier, vol. 35(3-4), pages 297-316, November.
    See citations under working paper version above.
  17. Backus, David K & Gregory, Allan W & Telmer, Chris I, 1993. "Accounting for Forward Rates in Markets for Foreign Currency," Journal of Finance, American Finance Association, vol. 48(5), pages 1887-1908, December.
    See citations under working paper version above.
  18. Backus, David K., 1993. "Interpreting comovements in the trade balance and the terms of trade," Journal of International Economics, Elsevier, vol. 34(3-4), pages 375-387, May.
    See citations under working paper version above.
  19. Backus, David K & Gregory, Allan W, 1993. "Theoretical Relations between Risk Premiums and Conditional Variances," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 177-185, April.
    See citations under working paper version above.
  20. David K. Backus & Stanley E. Zin, 1993. "Long-memory inflation uncertainty: evidence from the term structure of interest rates," Proceedings, Federal Reserve Bank of Cleveland, pages 681-708.
    See citations under working paper version above.
  21. David K. Backus & Patrick J. Kehoe & Finn E. Kydland, 1993. "International business cycles: theory vs. evidence," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 17(Fall), pages 14-29.

    Cited by:

    1. Auray, Stéphane & Eyquem, Aurélien, 2019. "Episodes of war and peace in an estimated open economy model," Journal of Economic Dynamics and Control, Elsevier, vol. 105(C), pages 203-249.
    2. Hafedh Bouakez & Aurélien Eyquem, 2011. "Government Spending, Monetary Policy, and the Real Exchange Rate," Working Papers 1139, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
    3. Pang, Ke, 2013. "Financial integration, nominal rigidity, and monetary policy," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 75-90.
    4. Zsolt Darvas & György Szapáry, 2008. "Business Cycle Synchronization in the Enlarged EU," Open Economies Review, Springer, vol. 19(1), pages 1-19, February.
    5. Stéphane Auray & Aurélien Eyquem & Paul Gomme, 2014. "A Tale of Tax Policies in Open Economies," Post-Print halshs-01077007, HAL.
    6. Gars, Johan & Olovsson, Conny, 2017. "International business cycles: quantifying the effects of a world market for oil," Working Paper Series 340, Sveriges Riksbank (Central Bank of Sweden).
    7. Mattia Guerini & Duc Thi Luu & Mauro Napoletano, 2019. "Synchronization Patterns in the European Union," GREDEG Working Papers 2019-30, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
    8. Yuko Imura, 2014. "Credit Market Frictions and Sudden Stops," Staff Working Papers 14-49, Bank of Canada.
    9. Aydan Dogan, 2019. "Online Appendix to "Investment Specific Technology Shocks and Emerging Market Business Cycle Dynamics"," Online Appendices 18-377, Review of Economic Dynamics.
    10. Letendre, Marc-André & Wagner, Joel, 2018. "Agency Costs, Risk Shocks, And International Cycles," Macroeconomic Dynamics, Cambridge University Press, vol. 22(5), pages 1134-1172, July.
    11. Jorge Enrique Restrepo & Claudio Soto, 2004. "Regularidades Empíricas de la Economía Chilena," Working Papers Central Bank of Chile 301, Central Bank of Chile.
    12. Andrew Atkeson & Ariel Burstein, 2007. "Pricing-to-market, trade costs, and international relative prices," Working Paper Series 2007-26, Federal Reserve Bank of San Francisco.
    13. D. Siena, 2014. "The European Monetary Union and Imbalances: Is it an Anticipation Story ?," Working papers 501, Banque de France.
    14. Stéphane Auray & Aurélien Eyquem, 2014. "Welfare Reversals in a Monetary Union," Post-Print halshs-00957984, HAL.
    15. Simon Bilo, 2018. "The international business cycle as intertemporal coordination failure," The Review of Austrian Economics, Springer;Society for the Development of Austrian Economics, vol. 31(1), pages 27-49, March.
    16. Aydan Dogan & Timo Bettendorf, 2020. "Revisiting real exchange rate volatility: non-traded goods and cointegrated TFP shocks," Oxford Economic Papers, Oxford University Press, vol. 72(1), pages 80-100.
    17. Gianluca Benigno & Huigang Chen & Christopher Otrok & Alessandro Rebucci & Eric R. Young, 2010. "Financial Crises and Macro-Prudential Policies," CEP Discussion Papers dp1032, Centre for Economic Performance, LSE.
    18. Nikolaos Antonakakis & Ioannis Chatziantoniou & George Filis, 2016. "Business Cycle Spillovers in the European Union: What is the Message Transmitted to the Core?," Manchester School, University of Manchester, vol. 84(4), pages 437-481, July.
    19. Patrick J. Kehoe & Fabrizio Perri, 2000. "International Business Cycles with Endogenous Incomplete Markets," NBER Working Papers 7870, National Bureau of Economic Research, Inc.
    20. Michael R. Pakko, 1998. "Characterizing Cross-Country Consumption Correlations," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 169-174, February.
    21. Karamé, Frédéric & Patureau, Lise & Sopraseuth, Thepthida, 2008. "Limited participation and exchange rate dynamics: Does theory meet the data?," Journal of Economic Dynamics and Control, Elsevier, vol. 32(4), pages 1041-1087, April.
    22. Hideaki Hirata, 2014. "Preference Shocks, International Frictions, and International Business Cycles," Working Paper 164446, Harvard University OpenScholar.
    23. Lise Patureau, 2002. "Pricing-to-market and limited participation : a joint explanation to the exchange rate disconnect puzzle," Computing in Economics and Finance 2002 299, Society for Computational Economics.
    24. Cao, Dan & Evans, Martin & Lua, Wenlan, 2020. "Real Exchange Rate Dynamics Beyond Business Cycles," MPRA Paper 99054, University Library of Munich, Germany, revised 10 Mar 2020.
    25. Stéphane Auray & Aurélien Eyquem, 2015. "War, Taxes and Trade," Post-Print halshs-01232224, HAL.
    26. Beaudry, Paul & Devereux, Michael B., 1995. "Money and the real exchange rate with sticky prices and increasing returns," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 43(1), pages 55-101, December.
    27. Linda Tesar & Ariel Burstein & Chris Kurz, 2005. "Trade, Production Sharing and the International Transmission of Business Cycles," 2005 Meeting Papers 304, Society for Economic Dynamics.
    28. Royuela, Vicente, 2000. "International Real Business Cycles: Can A Two Countries Two Sectors Model Solve The Quantity Anomaly?," ERSA conference papers ersa00p203, European Regional Science Association.
    29. Stéphane Auray & Aurélien Eyquem & Jean-Christophe Poutineau, 2009. "The Welfare Gains of Trade Integration in the European Monetary Union," Post-Print halshs-00464213, HAL.
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    37. Gunnella, Vanessa & Al-Haschimi, Alexander & Benkovskis, Konstantins & Chiacchio, Francesco & de Soyres, François & Di Lupidio, Benedetta & Fidora, Michael & Franco-Bedoya, Sebastian & Frohm, Erik & G, 2019. "The impact of global value chains on the euro area economy," Occasional Paper Series 221, European Central Bank.
    38. Leonardo Barreto, 2018. "Nonconventional monetary policy in a regime-switching model with endogenous financial crises," Documentos CEDE 16382, Universidad de los Andes, Facultad de Economía, CEDE.
    39. Aydan Dogan, 2017. "Investment Specific Technology Shocks and Emerging Market Business Cycle Dynamics," UB School of Economics Working Papers 2017/359, University of Barcelona School of Economics.
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  22. Backus, David K & Kehoe, Patrick J, 1992. "International Evidence of the Historical Properties of Business Cycles," American Economic Review, American Economic Association, vol. 82(4), pages 864-888, September.
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  23. Backus, David K. & Kehoe, Patrick J. & Kehoe, Timothy J., 1992. "In search of scale effects in trade and growth," Journal of Economic Theory, Elsevier, vol. 58(2), pages 377-409, December.
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  24. Backus, David K & Kehoe, Patrick J & Kydland, Finn E, 1992. "International Real Business Cycles," Journal of Political Economy, University of Chicago Press, vol. 100(4), pages 745-775, August.
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  25. Bernhardt, Dan & Backus, David, 1990. "Borrowing Constraints, Occupational Choice, and Labor Supply," Journal of Labor Economics, University of Chicago Press, vol. 8(1), pages 145-173, January.

    Cited by:

    1. Turvey, C. G., 2017. "IFAD RESEARCH SERIES 10 - Inclusive finance and inclusive rural transformation," IFAD Research Series 280048, International Fund for Agricultural Development (IFAD).
    2. José-Ignacio Antón & Rafael Muñoz de Bustillo & Miguel Carrera, 2012. "Raining stones? Female immigrants in the Spanish labour market," Estudios de Economia, University of Chile, Department of Economics, vol. 39(1 Year 20), pages 53-86, June.
    3. Sarit Cohen-Goldner & Chemi Gotlibovski & Nava Kahana, 2009. "The role of marriage in immigrants’ human capital investment under liquidity constraints," Journal of Population Economics, Springer;European Society for Population Economics, vol. 22(4), pages 983-1003, October.
    4. Del Boca, Daniela & Lusardi, Annamaria, 2002. "Credit Market Constraints and Labor Market Decisions," IZA Discussion Papers 598, Institute of Labor Economics (IZA).
    5. Deborah Cobb-Clark & Thomas F. Crossley, 2002. "Revisiting the Family Investment Hypothesis," Department of Economics Working Papers 2002-04, McMaster University.
    6. Tagkalakis, Athanasios, 2008. "The effects of fiscal policy on consumption in recessions and expansions," Journal of Public Economics, Elsevier, vol. 92(5-6), pages 1486-1508, June.
    7. Deborah Cobb-Clark & Marie D. Connolly & Christopher Worswick, 2000. "Does the Family Investment Hypothesis Explain Immigrant Labor Market Activity?," Econometric Society World Congress 2000 Contributed Papers 0828, Econometric Society.

  26. Backus, David K. & Kehoe, Patrick J., 1989. "On the denomination of government debt : A critique of the portfolio balance approach," Journal of Monetary Economics, Elsevier, vol. 23(3), pages 359-376, May.
    See citations under working paper version above.
  27. Backus, David K. & Gregory, Allan W. & Zin, Stanley E., 1989. "Risk premiums in the term structure : Evidence from artificial economies," Journal of Monetary Economics, Elsevier, vol. 24(3), pages 371-399, November.
    See citations under working paper version above.
  28. Backus, David, 1986. "The Canadian-U.S. Exchange Rate: Evidence from a Vector Autoregression," The Review of Economics and Statistics, MIT Press, vol. 68(4), pages 628-637, November.

    Cited by:

    1. Ameet Kumar Banerjee & H. K. Pradhan, 2020. "Order Flows, Investor Sentiments and Feedback Trade in Index Futures Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(4), pages 767-782, December.
    2. Masih, Abul M. M. & Masih, Rumi, 1997. "Can family-planning programs "cause" a significant fertility decline in countries characterized by very low levels of socioeconomic development? New evidence from Bangladesh based on dynamic," Journal of Policy Modeling, Elsevier, vol. 19(4), pages 441-468, August.
    3. Gediminas Adomavicius & Jesse Bockstedt & Alok Gupta, 2012. "Modeling Supply-Side Dynamics of IT Components, Products, and Infrastructure: An Empirical Analysis Using Vector Autoregression," Information Systems Research, INFORMS, vol. 23(2), pages 397-417, June.
    4. David O. Cushman & Tao Zha, 1995. "Identifying monetary policy in a small open economy under flexible exchange rates," FRB Atlanta Working Paper 95-7, Federal Reserve Bank of Atlanta.
    5. Kim, Jin-Ock, 1990. "A time series analysis of the real exchange rate movement in Korea," ISU General Staff Papers 1990010108000010378, Iowa State University, Department of Economics.
    6. Masih, Abul M. M. & Masih, Rumi, 1997. "Dynamic linkages and the propagation mechanism driving major international stock markets: An analysis of the pre- and post-crash eras," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(4), pages 859-885.
    7. Masih, Abul M. M. & Masih, Rumi, 1996. "Energy consumption, real income and temporal causality: results from a multi-country study based on cointegration and error-correction modelling techniques," Energy Economics, Elsevier, vol. 18(3), pages 165-183, July.
    8. Masih, Abul M. M. & Masih, Rumi, 1996. "Empirical tests to discern the dynamic causal chain in macroeconomic activity: new evidence from Thailand and Malaysia based on a multivariate cointegration/vector error-correction modeling approach," Journal of Policy Modeling, Elsevier, vol. 18(5), pages 531-560, October.
    9. George Hondroyiannis & Evangelia Papapetrou, 1999. "Fertility choice and economic growth: Empirical evidence from the U.S," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 5(1), pages 108-120, February.
    10. Threemonkong, Attapol, 1992. "An intertemporal-optimizing general equilibrium model of exchange rates and external imbalances," ISU General Staff Papers 1992010108000012961, Iowa State University, Department of Economics.
    11. Benjamin Cheng, 1997. "The causality between dollar and pound: An application of cointegration and error-correction modeling," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 21(2), pages 19-26, June.
    12. Masih, Rumi & Masih, Abul M. M., 1996. "Macroeconomic activity dynamics and Granger causality: New evidence from a small developing economy based on a vector error-correction modelling analysis," Economic Modelling, Elsevier, vol. 13(3), pages 407-426, July.
    13. Ian Coxhead & Agnes Rola & Kwansoo Kim, 2001. "How Do National Markets and Price Policies Affect Land Use at the Forest Margin? Evidence from the Philippines," Land Economics, University of Wisconsin Press, vol. 77(2), pages 250-267.
    14. Joyce, Theodore & Grossman, Michael, 1990. "The dynamic relationship between low birthweight and induced abortion in New York City : An aggregate time-series analysis," Journal of Health Economics, Elsevier, vol. 9(3), pages 273-288, November.
    15. Kaminski, Jermain & Hopp, Christian & Tykvová, Tereza, 2019. "New technology assessment in entrepreneurial financing – Does crowdfunding predict venture capital investments?," Technological Forecasting and Social Change, Elsevier, vol. 139(C), pages 287-302.
    16. Lebotsa Daniel Metsileng & Ntebogang Dinah Moroke & Johannes Tshepiso Tsoku, 2018. "Modelling the BRICS Exchange Rates Using the Vector Autoregressive (VAR) Model," Journal of Economics and Behavioral Studies, AMH International, vol. 10(5), pages 220-229.
    17. Masih, Abul M. M. & Masih, Rumi, 1997. "On the temporal causal relationship between energy consumption, real income, and prices: Some new evidence from Asian-energy dependent NICs Based on a multivariate cointegration/vector error-correctio," Journal of Policy Modeling, Elsevier, vol. 19(4), pages 417-440, August.

  29. David Backus & John Driffill, 1985. "Rational Expectations and Policy Credibility Following a Change in Regime," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 52(2), pages 211-221.

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    1. Keefer, Philip & Stasavage, David, 2002. "Checks and Balances, Private Information, and the Credibility of Monetary Commitments," International Organization, Cambridge University Press, vol. 56(4), pages 751-774, October.
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    5. Barro, Robert J., 1986. "Reputation in a model of monetary policy with incomplete information," Journal of Monetary Economics, Elsevier, vol. 17(1), pages 3-20, January.
    6. David Andolfatto & Paul Gomme, 1997. "Monetary Policy Regimes and Beliefs," Working Papers 97002, University of Waterloo, Department of Economics, revised Jan 1997.
    7. Strand, Jon, 2012. "Low-level versus high-level equilibrium in public utility services," Journal of Public Economics, Elsevier, vol. 96(1), pages 163-172.
    8. Eijffinger, S.C.W. & Goderis, B.V.G., 2008. "The effect of monetary policy on exchange rates during currency crises : The role of debt, institutions and financial openness," Other publications TiSEM 4302d92e-464e-40f4-b67e-a, Tilburg University, School of Economics and Management.
    9. Paul Levine & Alex Mandilaras & Jun Wang, 2008. "Public Debt Maturity And Currency Crises," Scottish Journal of Political Economy, Scottish Economic Society, vol. 55(1), pages 79-106, February.
    10. Huh, Chan G. & Lansing, Kevin J., 2000. "Expectations, credibility, and disinflation in a small macroeconomic model," Journal of Economics and Business, Elsevier, vol. 52(1-2), pages 51-86.
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    12. Patrick Artus, 1987. "Fixation de l'objectif monétaire et réputation de la Banque Centrale," Revue Économique, Programme National Persée, vol. 38(4), pages 807-836.
    13. Thórarinn G. Pétursson, 2019. "Long-term inflation expectations and inflation dynamics," Economics wp81, Department of Economics, Central bank of Iceland.
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    85. Andrew Hallett & Jan Libich, 2012. "Explicit inflation targets and central bank independence: friends or foes?," Economic Change and Restructuring, Springer, vol. 45(4), pages 271-297, November.
    86. Palmqvist, Stefan, 1999. "Why Central Banks Announce Their Objectives: Monetary Policy with Discretionary Signalling," Working Paper Series 78, Sveriges Riksbank (Central Bank of Sweden).
    87. Dat Thanh Nguyen & Viet Anh Hoang, 2020. "Monetary Consequences of Fiscal Stress in a Game Theoretic Framework," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(special i), pages 125-164.
    88. Carlson, John A. & Valev, Neven T., 2001. "Credibility of a new monetary regime: The currency board in Bulgaria," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 581-594, June.
    89. Eijffinger, S.C.W., 2005. "The new EU member states : Trading off exchange rate stability and price stability," Other publications TiSEM 90606467-67d6-4896-b82e-5, Tilburg University, School of Economics and Management.
    90. Pearce, David & Stacchetti, Ennio, 1997. "Time Consistent Taxation by a Government with Redistributive Goals," Journal of Economic Theory, Elsevier, vol. 72(2), pages 282-305, February.
    91. Baoline Chen and Peter Zadrozny, 2001. "An Anticipative Feedback Solution for Infinite-Horizon Linear-Quadratic Dynamic Stackelberg Games," Computing in Economics and Finance 2001 110, Society for Computational Economics.
    92. Weber, A.A., 1988. "The credibility of monetary policies, policymakers' reputation and the EMS-hypothesis : Empirical evidence from 13 countries," Discussion Paper 1988-3, Tilburg University, Center for Economic Research.
    93. Leonardo Hernández, 1991. "Credibilidad, Problema Peso y Comportamiento de las Tasas de Interés: Chile 1979-1982," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 28(85), pages 385-410.
    94. Maxence Follot, 2024. "The impact of populism on central bank communication: Analyzing theoretical developments and the case of Hungary," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 21(1), pages 65-95, June.

  30. Backus, David & Driffill, John, 1985. "Inflation and Reputation," American Economic Review, American Economic Association, vol. 75(3), pages 530-538, June.
    See citations under working paper version above.
  31. David Backus, 1984. "Empirical Models of the Exchange Rate: Separating the Wheat from the Chaff," Canadian Journal of Economics, Canadian Economics Association, vol. 17(4), pages 824-846, November.
    See citations under working paper version above.
  32. Backus, David, et al, 1980. "A Model of U.S. Financial and Nonfinancial Economic Behavior," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 12(2), pages 259-293, Special I.
    See citations under working paper version above.
  33. Backus, David & Purvis, Douglas, 1980. "An Integrated Model of Household Flow-of-Funds Allocations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 12(2), pages 400-421, Special I.
    See citations under working paper version above.
  34. Jones, Derek C & Backus, David K, 1977. "British Producer Cooperatives in the Footwear Industry: An Empirical Evaluation of the Theory of Financing," Economic Journal, Royal Economic Society, vol. 87(347), pages 488-510, September.

    Cited by:

    1. Burdín, Gabriel & Dean, Andrés, 2012. "Revisiting the objectives of worker-managed firms: An empirical assessment," Economic Systems, Elsevier, vol. 36(1), pages 158-171.
    2. Arando, Saioa & Gago, Monica & Jones, Derek C. & Kato, Takao, 2011. "Efficiency in Employee-Owned Enterprises: An Econometric Case Study of Mondragon," IZA Discussion Papers 5711, Institute of Labor Economics (IZA).
    3. Alí Colina Rojas & Pilar Zarzosa Espina, 2012. "Comparative productivity analysis between labour-managed firms and conventional capitalist companies in Spain," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, vol. 37(33), pages 11-41, January-J.
    4. Booth, Douglas E., 1995. "Economic democracy as an environmental measure," Ecological Economics, Elsevier, vol. 12(3), pages 225-236, March.
    5. Derek C. Jones & Panu Kalmi, 2012. "Economies of Scale Versus Participation: a Co-operative Dilemma?," Journal of Entrepreneurial and Organizational Diversity, European Research Institute on Cooperative and Social Enterprises, vol. 1(1), pages 37-64, December.
    6. Ornella Wanda Maietta & Vania Sena, 2008. "Shadow price of capital and the Furubotn–Pejovich effect: Some empirical evidence for Italian wine cooperatives," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 24(5), pages 495-505, September.
    7. Derek C. Jones & Panu Kalmi, 2013. "Cooperative enterprise," Chapters, in: Luigino Bruni & Stefano Zamagni (ed.), Handbook on the Economics of Reciprocity and Social Enterprise, chapter 8, pages 85-93, Edward Elgar Publishing.
    8. Ohnishi, Kazuhiro, 2024. "A labor-managed Bertrand oligopoly game with lifetime employment as a strategic commitment," MPRA Paper 121486, University Library of Munich, Germany.
    9. Jacques DEFOURNY, 1983. "L'autofinancement Des CoopÉRatives De Travailleurs et la ThÉOrie ÉConomique ()," Annals of Public and Cooperative Economics, Wiley Blackwell, vol. 54(2), pages 201-224, April.
    10. Kazuhiro Ohnishi, 2009. "Strategic Commitment and Three-Stage Games with Labour-Managed and Profit-Maximizing Firms," Finnish Economic Papers, Finnish Economic Association, vol. 22(2), pages 63-74, Autumn.
    11. Chris Doucouliagos, 1997. "The Comparative Efficiency and Productivity of Labor-Managed and Capital-Managed Firms," Review of Radical Political Economics, Union for Radical Political Economics, vol. 29(2), pages 45-69, June.

Software components

    Sorry, no citations of software components recorded.

Chapters

  1. David Backus & Thomas Cooley & Espen Henriksen, 2013. "Demography and Low-Frequency Capital Flows," NBER Chapters, in: NBER International Seminar on Macroeconomics 2013, pages 94-102, National Bureau of Economic Research, Inc.
    See citations under working paper version above.
  2. David K. Backus & Bryan R. Routledge & Stanley E. Zin, 2005. "Exotic Preferences for Macroeconomists," NBER Chapters, in: NBER Macroeconomics Annual 2004, Volume 19, pages 319-414, National Bureau of Economic Research, Inc.
    See citations under working paper version above.
  3. David Backus & Michael B. Devereux & Douglas Purvis, 1988. "A Positive Theory of Fiscal Policy in Open Economies," NBER Chapters, in: International Aspects of Fiscal Policies, pages 173-196, National Bureau of Economic Research, Inc.
    See citations under working paper version above.Sorry, no citations of chapters recorded.
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