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Citations for "Risks For The Long Run And The Real Exchange Rate"

by Riccardo Colacito & Mariano Croce

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  1. A. Craig Burnside & Jeremy J. Graveline, 2013. "Exchange Rate Determination, Risk Sharing and the Asset Market View," Working Papers 13-1, Duke University, Department of Economics.
  2. Fung, Ka Wai Terence & Lau, Chi Keung Marco & Chan, Kwok Ho, 2014. "The conditional equity premium, cross-sectional returns and stochastic volatility," Economic Modelling, Elsevier, vol. 38(C), pages 316-327.
  3. Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson, 2012. "Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence," NBER Working Papers 18128, National Bureau of Economic Research, Inc.
  4. Martin D D Evans & Viktoria Hnatkovska, 2006. "International Capital Flows Returns and World Financial Integration," 2006 Meeting Papers 60, Society for Economic Dynamics.
  5. Fung, Ka Wai Terence & Demir, Ender & Zhou, Lu, 2014. "Capital Asset Pricing Model and Stochastic Volatility: A Case study of India," MPRA Paper 56180, University Library of Munich, Germany.
  6. 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.).
  7. Narayana R. Kocherlakota & Luigi Pistaferri, 2007. "Household Heterogeneity and Real Exchange Rates," Economic Journal, Royal Economic Society, vol. 117(519), pages C1-C25, 03.
  8. Larry Epstein & Emmanuel Farhi & Tomasz Stralezcki, . "How Much Would You Pay To Resolve Long-Run Risk?," Working Paper 136671, Harvard University OpenScholar.
  9. Ravi Bansal & Ivan Shaliastovich, 2012. "A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets," NBER Working Papers 18357, National Bureau of Economic Research, Inc.
  10. Heathcote, Jonathan & Perri, Fabrizio, 2013. "Assessing International Efficiency," CEPR Discussion Papers 9424, C.E.P.R. Discussion Papers.
  11. Karen K. Lewis, 2011. "Global Asset Pricing," NBER Working Papers 17261, National Bureau of Economic Research, Inc.
  12. Hanno Lustig & Stijn Van Nieuwerburgh, 2006. "Can Housing Collateral Explain Long-Run Swings in Asset Returns?," NBER Working Papers 12766, National Bureau of Economic Research, Inc.
  13. 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.
  14. Hanno Lustig & Andreas Stathopoulos & Adrien Verdelhan, 2013. "The Term Structure of Currency Carry Trade Risk Premia," NBER Working Papers 19623, National Bureau of Economic Research, Inc.
  15. Mathias Hoffmann & Rahel Suter, 2013. "Systematic consumption risk in currency returns," ECON - Working Papers 124, Department of Economics - University of Zurich.
  16. Tomas Havranek & Roman Horvath & Zuzana Irsova & Marek Rusnak, 2013. "Cross-Country Heterogeneity in Intertemporal Substitution," Working Papers IES 2013/11, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2013.
  17. Yu, Jianfeng, 2013. "A sentiment-based explanation of the forward premium puzzle," Journal of Monetary Economics, Elsevier, vol. 60(4), pages 474-491.
  18. Hakon Tretvoll, 2012. "Real exchange rate variability in a two country business cycle model," 2012 Meeting Papers 911, Society for Economic Dynamics.
  19. Jianfeng Yu, 2011. "A sentiment-based explanation of the forward premium puzzle," Globalization and Monetary Policy Institute Working Paper 90, Federal Reserve Bank of Dallas.
  20. Sydney Ludvigson, 2008. "The Research Agenda: Sydney Ludvigson on Empirical Evaluation of Economic Theories of Risk Premia," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 9(2), April.
  21. Croce & Colacito, 2008. "Risk sharing for the long-run. The benefits from financial integration," 2008 Meeting Papers 985, Society for Economic Dynamics.
  22. 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.
  23. Andreas Stathopoulos, 2012. "Portfolio Home Bias and External Habit Formation," 2012 Meeting Papers 502, Society for Economic Dynamics.
  24. Buss, Adrian, 2013. "Capital controls and international financial stability: a dynamic general equilibrium analysis in incomplete markets," Working Paper Series 1578, European Central Bank.
  25. Xiaohong Chen & Jack Favilukis & Sydney C. Ludvigson, 2007. "An estimation of economic models with recursive preferences," LSE Research Online Documents on Economics 24502, London School of Economics and Political Science, LSE Library.
  26. 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.
  27. Mehmood, Sultan, 2013. "Terrorism and the macroeconomy: Evidence from Pakistan," MPRA Paper 44546, University Library of Munich, Germany.
  28. Gourio, François & Siemer, Michael & Verdelhan, Adrien, 2013. "International risk cycles," Journal of International Economics, Elsevier, vol. 89(2), pages 471-484.
  29. Chang, Yanqin, 2007. "high level of international risk sharing when the productivity growth contains long run risk," MPRA Paper 4476, University Library of Munich, Germany.
  30. Xiaohong Chen & Jack Fuvilukis & Sydney Ludvigson, 2012. "An Estimation of Economic Models with Recursive Preferences," Cowles Foundation Discussion Papers 1883, Cowles Foundation for Research in Economics, Yale University.
  31. Mariano M. Croce, 2006. "Welfare Costs, Long Run Consumption Risk, and a Production Economy," 2006 Meeting Papers 582, Society for Economic Dynamics.
  32. Mariano M. Croce & Riccardo Colacito, 2010. "International Asset Pricing with Risk-Sensitive Rare Events," 2010 Meeting Papers 176, Society for Economic Dynamics.
  33. Ivan Shaliastovich & Ravi Bansal, 2012. "A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets," 2012 Meeting Papers 778, Society for Economic Dynamics.
  34. Emmanuel Farhi, 2008. "Rare Disasters and Exchange Rates," 2008 Meeting Papers 47, Society for Economic Dynamics.
  35. Karen K. Lewis, 2011. "Global asset pricing," Globalization and Monetary Policy Institute Working Paper 88, Federal Reserve Bank of Dallas.
  36. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
  37. Pierpaolo Benigno, 2007. "Portfolio Choices with Near Rational Agents: A Solution of Some International-Finance Puzzles," NBER Working Papers 13173, National Bureau of Economic Research, Inc.
  38. Tomas Havranek, 2013. "Publication Bias in Measuring Intertemporal Substitution," Working Papers IES 2013/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2013.
  39. Lustig, Hanno & van Nieuwerburgh, Stijn & Verdelhan, Adrien, 2012. "The Wealth-Consumption Ratio," CEPR Discussion Papers 9022, C.E.P.R. Discussion Papers.
  40. Ina Simonovska & Espen Henriksen, 2013. "Time-Varying Risk Premia and Capital Flows to Developing Countries," 2013 Meeting Papers 1258, Society for Economic Dynamics.
  41. Stefano D'Addona & Frode Brevik, 2011. "Rational Ignorance In Long-Run Risk Models," Working Papers 0811, CREI Università degli Studi Roma Tre, revised 2011.
  42. Charles Engel, 2011. "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," Working Papers 272011, Hong Kong Institute for Monetary Research.
  43. Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2007. "Investor Information, Long-Run Risk, and the Duration of Risky Cash-Flows," NBER Working Papers 12912, National Bureau of Economic Research, Inc.
  44. Pierpaolo Benigno & Salvatore Nisticò, 2009. "International Portfolio Allocation under Model Uncertainty," NBER Working Papers 14734, National Bureau of Economic Research, Inc.
  45. Riccardo Colacito & Mariano M. Croce, 2010. "The Short and Long Run Benefits of Financial Integration," American Economic Review, American Economic Association, vol. 100(2), pages 527-31, May.
  46. Ravi Bansal, 2007. "Long-run risks and financial markets," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 283-300.
  47. Lustig, Hanno & Roussanov, Nikolai & Verdelhan, Adrien, 2014. "Countercyclical currency risk premia," Journal of Financial Economics, Elsevier, vol. 111(3), pages 527-553.
  48. Fung, Ka Wai Terence & Lau, Chi Keung Marco & Chan, Kwok Ho, 2013. "The Conditional CAPM, Cross-Section Returns and Stochastic Volatility," MPRA Paper 52469, University Library of Munich, Germany.
  49. Larry G. Epstein & Emmanuel Farhi & Tomasz Strzaleck, 2013. "How Much Would You Pay to Resolve Long-Run Risk?," Boston University - Department of Economics - Working Papers Series WP2013-002, Boston University - Department of Economics.
  50. Ian Martin, 2011. "The Forward Premium Puzzle in a Two-Country World," NBER Working Papers 17564, National Bureau of Economic Research, Inc.
  51. Edith Liu & Karen Lewis, 2012. "International Consumption Risk Is Shared After All: An Asset Return View," 2012 Meeting Papers 643, Society for Economic Dynamics.
  52. Arash, Aloosh, 2011. "Variance Risk Premium Differentials and Foreign Exchange Returns," MPRA Paper 40829, University Library of Munich, Germany, revised 18 Aug 2012.
  53. Karen K. Lewis & Edith X. Liu, 2012. "International Consumption Risk Is Shared After All: An Asset Return View," NBER Working Papers 17872, National Bureau of Economic Research, Inc.
  54. Mathias Hoffmann & Rahel Suter, 2013. "Systematic Consumption Risk in Currency Returns," CESifo Working Paper Series 4273, CESifo Group Munich.
  55. Xiaohong Chen & Jack Favilukis & Sydney Ludvigson, 2012. "An estimation of economic models with recursive preferences," CeMMAP working papers CWP32/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.