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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. Charles Engel, 2011. "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," Working Papers 272011, Hong Kong Institute for Monetary Research.
  2. Mariano M. Croce & Riccardo Colacito, 2010. "International Asset Pricing with Risk-Sensitive Rare Events," 2010 Meeting Papers 176, Society for Economic Dynamics.
  3. Ina Simonovska & Espen Henriksen, 2013. "Time-Varying Risk Premia and Capital Flows to Developing Countries," 2013 Meeting Papers 1258, Society for Economic Dynamics.
  4. 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.
  5. 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.
  6. Larry Epstein & Emmanuel Farhi & Tomasz Strzalecki, . "How Much Would You Pay to Resolve Long-Run Risk?," Working Paper 8366, Harvard University OpenScholar.
  7. Narayana R. Kocherlakota & Luigi Pistaferri, 2006. "Household heterogeneity and real exchange rates," Staff Report 372, Federal Reserve Bank of Minneapolis.
  8. Farhi, Emmanuel & Gabaix, Xavier, 2015. "Rare Disasters and Exchange Rates," CEPR Discussion Papers 10334, C.E.P.R. Discussion Papers.
  9. Emmanuel Farhi, 2008. "Rare Disasters and Exchange Rates," 2008 Meeting Papers 47, Society for Economic Dynamics.
  10. Mariano M. Croce, 2006. "Welfare Costs, Long Run Consumption Risk, and a Production Economy," 2006 Meeting Papers 582, Society for Economic Dynamics.
  11. repec:bos:wpaper:wp2013-002 is not listed on IDEAS
  12. 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.
  13. Robert Kollmann, 2014. "Exchange Rates Dynamics with Long-Run Risk and Recursive Preferences," Working Papers ECARES ECARES 2014-49, ULB -- Universite Libre de Bruxelles.
  14. Karen K. Lewis, 2011. "Global asset pricing," Globalization and Monetary Policy Institute Working Paper 88, Federal Reserve Bank of Dallas.
  15. Jonathan Heathcote & Fabrizio Perri, 2013. "Assessing International Efficiency," NBER Working Papers 18956, National Bureau of Economic Research, Inc.
  16. Martin Bodenstein, 2008. "International Asset Markets and Real Exchange Rate Volatility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 11(3), pages 688-705, July.
  17. Mathias Hoffmann & Rahel Suter, 2013. "Systematic consumption risk in currency returns," ECON - Working Papers 124, Department of Economics - University of Zurich.
  18. Pierpaolo Benigno & Salvatore Nistic�, 2012. "International Portfolio Allocation under Model Uncertainty," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(1), pages 144-89, January.
  19. Karen K. Lewis, 2011. "Global Asset Pricing," NBER Working Papers 17261, National Bureau of Economic Research, Inc.
  20. Tarek A. Hassan & Rui C. Mano, 2014. "Forward and Spot Exchange Rates in a Multi-currency World," NBER Working Papers 20294, National Bureau of Economic Research, Inc.
  21. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
  22. Mehmood, Sultan, 2013. "Terrorism and the macroeconomy: Evidence from Pakistan," MPRA Paper 44546, University Library of Munich, Germany.
  23. Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2010. "Countercyclical Currency Risk Premia," NBER Working Papers 16427, National Bureau of Economic Research, Inc.
  24. Tomas Havranek & Roman Horvath & Zuzana Irsova & Marek Rusnak, 2014. "Cross-Country Heterogeneity in Intertemporal Substitution," Working Papers 2014/06, Czech National Bank, Research Department.
  25. 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.
  26. Ravi Bansal, 2007. "Long-run risks and financial markets," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 283-300.
  27. 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.
  28. Evans, Martin D.D. & Hnatkovska, Viktoria V., 2014. "International capital flows, returns and world financial integration," Journal of International Economics, Elsevier, vol. 92(1), pages 14-33.
  29. Hakon Tretvoll, 2012. "Real exchange rate variability in a two country business cycle model," 2012 Meeting Papers 911, Society for Economic Dynamics.
  30. 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.
  31. Ian Martin, 2011. "The Forward Premium Puzzle in a Two-Country World," NBER Working Papers 17564, National Bureau of Economic Research, Inc.
  32. Edith Liu & Karen Lewis, 2012. "International Consumption Risk Is Shared After All: An Asset Return View," 2012 Meeting Papers 643, Society for Economic Dynamics.
  33. François Gourio & Michael Siemer & Adrien Verdelhan, 2011. "International Risk Cycles," NBER Working Papers 17277, National Bureau of Economic Research, Inc.
  34. Lustig, Hanno & van Nieuwerburgh, Stijn & Verdelhan, Adrien, 2012. "The Wealth-Consumption Ratio," CEPR Discussion Papers 9022, C.E.P.R. Discussion Papers.
  35. Jair N. Ojeda-Joya, 2014. "A Consumption-Based Approach to Exchange Rate Predictability," BORRADORES DE ECONOMIA 012339, BANCO DE LA REPÚBLICA.
  36. Aloosh, Arash, 2014. "Global Variance Risk Premium and Forex Return Predictability," MPRA Paper 59931, University Library of Munich, Germany.
  37. A. Craig Burnside & Jeremy J. Graveline, 2012. "On the Asset Market View of Exchange Rates," NBER Working Papers 18646, National Bureau of Economic Research, Inc.
  38. Massimiliano Croce, Mariano, 2014. "Long-run productivity risk: A new hope for production-based asset pricing?," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 13-31.
  39. 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.
  40. 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.
  41. Yu, Jianfeng, 2013. "A sentiment-based explanation of the forward premium puzzle," Journal of Monetary Economics, Elsevier, vol. 60(4), pages 474-491.
  42. 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.
  43. 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.
  44. 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.
  45. Arash, Aloosh, 2011. "Variance Risk Premium Differentials and Foreign Exchange Returns," MPRA Paper 40829, University Library of Munich, Germany, revised 18 Aug 2012.
  46. 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.
  47. Buss, Adrian, 2013. "Capital controls and international financial stability: a dynamic general equilibrium analysis in incomplete markets," Working Paper Series 1578, European Central Bank.
  48. 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.
  49. 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.
  50. Stefano D'Addona & Frode Brevik, 2011. "Rational Ignorance In Long-Run Risk Models," Working Papers 0811, CREI Università degli Studi Roma Tre, revised 2011.
  51. 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.
  52. 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.
  53. 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.
  54. 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.
  55. 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.
  56. Croce & Colacito, 2008. "Risk sharing for the long-run. The benefits from financial integration," 2008 Meeting Papers 985, Society for Economic Dynamics.
  57. 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.
  58. Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2007. "Investor Information, Long-Run Risk, and the Term Structure of Equity," NBER Working Papers 12912, National Bureau of Economic Research, Inc.
  59. Jair N. Ojeda-Joya, 2014. "A Consumption-Based Approach to Exchange Rate Predictability," Borradores de Economia 857, Banco de la Republica de Colombia.
  60. 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.
  61. Andreas Stathopoulos, 2012. "Portfolio Home Bias and External Habit Formation," 2012 Meeting Papers 502, Society for Economic Dynamics.
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