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Leland E. Farmer

Personal Details

First Name:Leland
Middle Name:E.
Last Name:Farmer
Suffix:
RePEc Short-ID:pfa503
[This author has chosen not to make the email address public]
http://lelandfarmer.com

Affiliation

Department of Economics
University of Virginia

Charlottesville, Virginia (United States)
http://www.virginia.edu/economics/
RePEc:edi:deuvaus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Hie Joo Ahn & Leland E. Farmer, 2024. "Disagreement About the Term Structure of Inflation Expectations," Finance and Economics Discussion Series 2024-084, Board of Governors of the Federal Reserve System (U.S.).
  2. Farmer, Roger & Farmer, Leland, 2022. "Zoomers and Boomers: Asset Prices and Intergenerational Inequality," CEPR Discussion Papers 17594, C.E.P.R. Discussion Papers.
  3. Gaurab Aryal & Federico Ciliberto & Leland E. Farmer & Ekaterina Khmelnitskaya, 2022. "Valuing Pharmaceutical Drug Innovations," Papers 2212.07384, arXiv.org, revised Apr 2024.
  4. Leland Farmer & Emi Nakamura & Jón Steinsson, 2021. "Learning About the Long Run," NBER Working Papers 29495, National Bureau of Economic Research, Inc.
  5. Timmermann, Allan & Farmer, Leland E. & Schmidt, Lawrence, 2018. "Pockets of Predictability," CEPR Discussion Papers 12885, C.E.P.R. Discussion Papers.
  6. Farmer, Leland E. & Toda, Alexis Akira, 2017. "Discretizing Nonlinear, Non-Gaussian Markov Processes with Exact Conditional Moments," University of California at San Diego, Economics Working Paper Series qt4jk1h0kk, Department of Economics, UC San Diego.

Articles

  1. Leland E. Farmer & Lawrence Schmidt & Allan Timmermann, 2023. "Pockets of Predictability," Journal of Finance, American Finance Association, vol. 78(3), pages 1279-1341, June.
  2. Leland E. Farmer, 2021. "The discretization filter: A simple way to estimate nonlinear state space models," Quantitative Economics, Econometric Society, vol. 12(1), pages 41-76, January.
  3. Leland E. Farmer & Alexis Akira Toda, 2017. "Discretizing nonlinear, non‐Gaussian Markov processes with exact conditional moments," Quantitative Economics, Econometric Society, vol. 8(2), pages 651-683, July.

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.

Working papers

  1. Leland Farmer & Emi Nakamura & Jón Steinsson, 2021. "Learning About the Long Run," NBER Working Papers 29495, National Bureau of Economic Research, Inc.

    Cited by:

    1. Michael D. Bauer & Eric T. Swanson, 2022. "A Reassessment of Monetary Policy Surprises and High-Frequency Identification," NBER Chapters, in: NBER Macroeconomics Annual 2022, volume 37, pages 87-155, National Bureau of Economic Research, Inc.
    2. Benjamin Born & Zeno Enders & Manuel Menkhoff & Gernot J. Müller & Knut Niemann, 2023. "Firm Expectations and News: Micro v Macro," ifo Working Paper Series 400, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    3. Stefan Nagel & Zhengyang Xu, 2022. "Dynamics of Subjective Risk Premia," NBER Working Papers 29803, National Bureau of Economic Research, Inc.
    4. Chen, Heng & Li, Xu & Pei, Guangyu & Xin, Qian, 2024. "Heterogeneous overreaction in expectation formation: Evidence and theory," Journal of Economic Theory, Elsevier, vol. 218(C).
    5. Martin Eichenbaum, 2023. "On the limits of rational expectations for policy analysis," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 56(4), pages 1221-1237, November.
    6. Dupraz, Stéphane & Le Bihan, Hervé & Matheron, Julien, 2024. "Make-up strategies with finite planning horizons but infinitely forward-looking asset prices," Journal of Monetary Economics, Elsevier, vol. 143(C).
    7. Matthieu Gomez & Émilien Gouin‐Bonenfant, 2024. "Wealth Inequality in a Low Rate Environment," Econometrica, Econometric Society, vol. 92(1), pages 201-246, January.
    8. Kenneth J. Singleton, 2021. "Presidential Address: How Much “Rationality” Is There in Bond‐Market Risk Premiums?," Journal of Finance, American Finance Association, vol. 76(4), pages 1611-1654, August.
    9. Anderson, Robert M. & Duanmu, Haosui & Ghosh, Aniruddha & Khan, M. Ali, 2024. "On existence of Berk-Nash equilibria in misspecified Markov decision processes with infinite spaces," Journal of Economic Theory, Elsevier, vol. 217(C).
    10. Michele Andreolli & Hélène Rey, 2023. "The Fiscal Consequences of Missing an Inflation Target," NBER Working Papers 30819, National Bureau of Economic Research, Inc.
    11. Alexandros Botsis & Christoph Gortz & Plutarchos Sakellaris, 2023. "Quantifying Qualitative Survey Data: New Insights on the (Ir)Rationality of Firms' Forecasts," Discussion Papers 23-06, Department of Economics, University of Birmingham.
    12. Stéphane Dupraz & Hervé Le Bihan & Julien Matheron, 2022. "Make-up Strategies with Finite Planning Horizons but Forward-Looking Asset Prices," Working papers 862, Banque de France.
    13. Leland Bybee, 2023. "Surveying Generative AI's Economic Expectations," Papers 2305.02823, arXiv.org, revised May 2023.

  2. Timmermann, Allan & Farmer, Leland E. & Schmidt, Lawrence, 2018. "Pockets of Predictability," CEPR Discussion Papers 12885, C.E.P.R. Discussion Papers.

    Cited by:

    1. Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo MM & Taylor, AM Robert, 2019. "Testing for Episodic Predictability in Stock Returns," Essex Finance Centre Working Papers 24137, University of Essex, Essex Business School.
    2. Anibal Emiliano Da Silva Neto & Jesús Gonzalo & Jean‐Yves Pitarakis, 2021. "Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(3), pages 713-741, June.
    3. Deshui Yu & Yayi Yan, 2023. "Joint dynamics of stock returns and cash flows: A time‐varying present‐value framework," Financial Management, Financial Management Association International, vol. 52(3), pages 513-541, September.
    4. Gary Koop & Dimitris Korobilis, 2018. "Bayesian dynamic variable selection in high dimensions," Papers 1809.03031, arXiv.org, revised May 2020.
    5. Chen, Qitong & Hong, Yongmiao & Li, Haiqi, 2024. "Time-varying forecast combination for factor-augmented regressions with smooth structural changes," Journal of Econometrics, Elsevier, vol. 240(1).
    6. Eraslan, Sercan & Schröder, Maximilian, 2023. "Nowcasting GDP with a pool of factor models and a fast estimation algorithm," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1460-1476.
    7. Lof, Matthijs & Nyberg, Henri, 2024. "Discount rates and cash flows: A local projection approach," Journal of Banking & Finance, Elsevier, vol. 162(C).
    8. Hambuckers, J. & Ulm, M., 2023. "On the role of interest rate differentials in the dynamic asymmetry of exchange rates," Economic Modelling, Elsevier, vol. 129(C).
    9. Pitarakis, Jean-Yves, 2019. "Predictive Regressions," UC3M Working papers. Economics 28554, Universidad Carlos III de Madrid. Departamento de Economía.
    10. David I. Harvey & Stephen J. Leybourne & Robert Sollis & A.M. Robert Taylor, 2021. "Real‐time detection of regimes of predictability in the US equity premium," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(1), pages 45-70, January.
    11. Allan Timmermann, 2018. "Forecasting Methods in Finance," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 449-479, November.
    12. Fan, Rui & Lee, Ji Hyung & Shin, Youngki, 2023. "Predictive quantile regression with mixed roots and increasing dimensions: The ALQR approach," Journal of Econometrics, Elsevier, vol. 237(2).
    13. Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
    14. Smith, Simon C., 2021. "International stock return predictability," International Review of Financial Analysis, Elsevier, vol. 78(C).
    15. Guillaume Coqueret, 2023. "Forking paths in financial economics," Papers 2401.08606, arXiv.org.
    16. Moench, Emanuel & Stein, Tobias, 2019. "Comment on “Monetary Policy Communication, Policy Slope, and the Stock Market” by Andreas Neuhierl and Michael Weber," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 156-161.
    17. Bennett, Donyetta & Mekelburg, Erik & Strauss, Jack & Williams, T.H., 2024. "Unlocking the black box of sentiment and cryptocurrency: What, which, why, when and how?," Global Finance Journal, Elsevier, vol. 60(C).
    18. Timmermann, Allan, 2018. "Forecasting Methods in Finance," CEPR Discussion Papers 12692, C.E.P.R. Discussion Papers.
    19. Yannick Hoga, 2024. "Persistence-Robust Break Detection in Predictive Quantile and CoVaR Regressions," Papers 2410.05861, arXiv.org.
    20. Yu, Deshui & Chen, Li, 2024. "Local predictability of stock returns and cash flows," Journal of Empirical Finance, Elsevier, vol. 77(C).
    21. Arnaud Dufays & Zhuo Li & Jeroen V.K. Rombouts & Yong Song, 2021. "Sparse change‐point VAR models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(6), pages 703-727, September.

  3. Farmer, Leland E. & Toda, Alexis Akira, 2017. "Discretizing Nonlinear, Non-Gaussian Markov Processes with Exact Conditional Moments," University of California at San Diego, Economics Working Paper Series qt4jk1h0kk, Department of Economics, UC San Diego.

    Cited by:

    1. Toda, Alexis Akira, 2017. "Wealth Distribution with Random Discount Factors," University of California at San Diego, Economics Working Paper Series qt5n29f260, Department of Economics, UC San Diego.
    2. Toda, Alexis Akira, 2017. "Huggett Economies with Multiple Stationary Equilibria," MPRA Paper 78984, University Library of Munich, Germany.
    3. Brendan K. Beare & Alexis Akira Toda, 2017. "Determination of Pareto exponents in economic models driven by Markov multiplicative processes," Papers 1712.01431, arXiv.org, revised Jan 2022.
    4. Ji Hyung Lee & Yuya Sasaki & Alexis Akira Toda & Yulong Wang, 2022. "Tuning Parameter-Free Nonparametric Density Estimation from Tabulated Summary Data," Papers 2204.05480, arXiv.org, revised May 2023.
    5. Roulleau-Pasdeloup, Jordan, 2023. "Analyzing Linear DSGE models: the Method of Undetermined Markov States," Journal of Economic Dynamics and Control, Elsevier, vol. 151(C).
    6. Takefumi Yamazaki, 2018. "Accuracy and speed of the solution methods for sovereign default models: The stable performance of the Tauchen method and cubic spline interpolation," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 14(4), pages 641-662, July.
    7. Adam M. Guren & Arvind Krishnamurthy & Timothy J. McQuade, 2018. "Mortgage Design in an Equilibrium Model of the Housing Market," NBER Working Papers 24446, National Bureau of Economic Research, Inc.
    8. Gorodnichenko, Yuriy & Maliar, Serguei & Naubert, Christopher, 2020. "Household Savings and Monetary Policy under Individual and Aggregate Stochastic Volatility," CEPR Discussion Papers 15614, C.E.P.R. Discussion Papers.
    9. Alessandro Barbiero & Asmerilda Hitaj, 2023. "Discrete approximations of continuous probability distributions obtained by minimizing Cramér-von Mises-type distances," Statistical Papers, Springer, vol. 64(5), pages 1669-1697, October.
    10. Emilien Gouin-Bonenfant & Alexis Akira Toda, 2019. "Pareto Extrapolation: Bridging Theoretical and Quantitative Models of Wealth Inequality," 2019 Meeting Papers 152, Society for Economic Dynamics.
    11. Qingyin Ma & Alexis Akira Toda, 2020. "Asymptotic Linearity of Consumption Functions and Computational Efficiency," Papers 2002.09108, arXiv.org, revised Mar 2021.
    12. Alexis Akira Toda, 2018. "Data-based Automatic Discretization of Nonparametric Distributions," Papers 1805.00896, arXiv.org, revised May 2019.
    13. Damba Lkhagvasuren & Erdenebat Bataa, 2023. "Finite-State Markov Chains with Flexible Distributions," Computational Economics, Springer;Society for Computational Economics, vol. 61(2), pages 611-644, February.
    14. Jaroslav Borovicka & John Stachurski, 2019. "Stability of Equilibrium Asset Pricing Models: A Necessary and Sufficient Condition," Papers 1910.00778, arXiv.org, revised Feb 2021.
    15. Gödl, Maximilian & Gödl-Hanisch, Isabel, 2023. "Wage Setting in Times of High and Low Inflation," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage" 277641, Verein für Socialpolitik / German Economic Association.
    16. Angelopoulos, Konstantinos & Lazarakis, Spyridon & Malley, James, 2020. "The distributional implications of asymmetric income dynamics," European Economic Review, Elsevier, vol. 128(C).
    17. Gordon, Grey, 2021. "Efficient VAR discretization," Economics Letters, Elsevier, vol. 204(C).
    18. Aditya Aladangady & Etienne Gagnon & Benjamin K. Johannsen & William B. Peterman, 2021. "Macroeconomic Implications of Inequality and Income Risk," Finance and Economics Discussion Series 2021-073, Board of Governors of the Federal Reserve System (U.S.).
    19. Robert Kirkby, 2023. "Quantitative Macroeconomics: Lessons Learned from Fourteen Replications," Computational Economics, Springer;Society for Computational Economics, vol. 61(2), pages 875-896, February.
    20. Qingyin Ma & Alexis Akira Toda, 2020. "A Theory of the Saving Rate of the Rich," Papers 2005.02379, arXiv.org, revised Jan 2021.
    21. Leland E. Farmer, 2021. "The discretization filter: A simple way to estimate nonlinear state space models," Quantitative Economics, Econometric Society, vol. 12(1), pages 41-76, January.
    22. Langot, François & Malmberg, Selma & Tripier, Fabien & Hairault, Jean-Olivier, 2023. "The Macroeconomic and Redistributive Effects of Shielding Consumers from Rising Energy Prices: the French Experiment," CEPREMAP Working Papers (Docweb) 2305, CEPREMAP.
    23. Eric Ghysels & Jack Morgan, 2024. "On Quantum Ambiguity and Potential Exponential Computational Speed-Ups to Solving Dynamic Asset Pricing Models," Papers 2405.01479, arXiv.org, revised May 2024.
    24. Keyvan Eslami & Tom Phelan, 2023. "The Art of Temporal Approximation An Investigation into Numerical Solutions to Discrete and Continuous-Time Problems in Economics," Working Papers 23-10, Federal Reserve Bank of Cleveland.
    25. Chen, Zhiyuan & Zhang, Jie & Zi, Yuan, 2021. "A cost-benefit analysis of R&D and patents: Firm-level evidence from China," European Economic Review, Elsevier, vol. 133(C).

Articles

  1. Leland E. Farmer & Lawrence Schmidt & Allan Timmermann, 2023. "Pockets of Predictability," Journal of Finance, American Finance Association, vol. 78(3), pages 1279-1341, June.
    See citations under working paper version above.
  2. Leland E. Farmer, 2021. "The discretization filter: A simple way to estimate nonlinear state space models," Quantitative Economics, Econometric Society, vol. 12(1), pages 41-76, January.

    Cited by:

    1. Ethan Struby & Michael F. Connolly, 2022. "Shadow Rate Models and Monetary Policy," Working Papers 2022-03, Carleton College, Department of Economics.
    2. Grey Gordon & John B. Jones & Urvi Neelakantan & Kartik Athreya, 2023. "Incarceration, Employment and Earnings: Dynamics and Differences," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 51, pages 677-697, December.
    3. Antoine Djogbenou & Christian Gouri'eroux & Joann Jasiak & Maygol Bandehali, 2021. "Composite Likelihood for Stochastic Migration Model with Unobserved Factor," Papers 2109.09043, arXiv.org, revised Nov 2023.
    4. Lange, Rutger-Jan, 2024. "Bellman filtering and smoothing for state–space models," Journal of Econometrics, Elsevier, vol. 238(2).
    5. Thorsten Drautzburg & Jesus Fernandez-Villaverde & Pablo Guerron-Quintana & Dick Oosthuizen, 2024. "Filtering with Limited Information," PIER Working Paper Archive 24-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    6. Eva F. Janssens & Sean McCrary, 2023. "Finite-State Markov-Chain Approximations: A Hidden Markov Approach," Finance and Economics Discussion Series 2023-040, Board of Governors of the Federal Reserve System (U.S.).
    7. Calo, Silvia & Gregori, Wildmer Daniel & Petracco Giudici, Marco & Rancan, Michela, 2021. "Has the Comprehensive Assessment made the European financial system more resilient?," Working Papers 2021-08, Joint Research Centre, European Commission.
    8. Damioli, Giacomo & Gregori, Wildmer Daniel, 2021. "Diplomatic relations and cross-border investments in the European Union," Working Papers 2021-02, Joint Research Centre, European Commission.
    9. Veniamin Mokhov & Sergei Aliukov & Anatoliy Alabugin & Konstantin Osintsev, 2023. "A Review of Mathematical Models of Macroeconomics, Microeconomics, and Government Regulation of the Economy," Mathematics, MDPI, vol. 11(14), pages 1-37, July.
    10. Giovannini, Massimo & Pfeiffer, Philipp & Ratto, Marco, 2021. "Efficient and robust inference of models with occasionally binding constraints," Working Papers 2021-03, Joint Research Centre, European Commission.

  3. Leland E. Farmer & Alexis Akira Toda, 2017. "Discretizing nonlinear, non‐Gaussian Markov processes with exact conditional moments," Quantitative Economics, Econometric Society, vol. 8(2), pages 651-683, July.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CBA: Central Banking (1) 2024-11-04
  2. NEP-CMP: Computational Economics (1) 2017-05-21
  3. NEP-DGE: Dynamic General Equilibrium (1) 2022-10-10
  4. NEP-FOR: Forecasting (1) 2021-12-20
  5. NEP-IND: Industrial Organization (1) 2023-01-23
  6. NEP-MAC: Macroeconomics (1) 2021-12-20
  7. NEP-MON: Monetary Economics (1) 2024-11-04
  8. NEP-ORE: Operations Research (1) 2017-05-21

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