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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. Gurdip Bakashi & Mario Cerrato & John Crosby, 2015. "Risk Sharing in International Economies and Market Incompleteness," Working Papers 2015_23, Business School - Economics, University of Glasgow.
  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. Kollmann, Robert, 2015. "Risk sharing in a world economy with uncertainty shocks," Globalization and Monetary Policy Institute Working Paper 258, Federal Reserve Bank of Dallas.
  4. 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.
  5. Heathcote, Jonathan & Perri, Fabrizio, 2013. "Assessing International Efficiency," CEPR Discussion Papers 9424, C.E.P.R. Discussion Papers.
  6. Tomas Havranek & Roman Horvath & Zuzana Irsova & Marek Rusnak, 2014. "Cross-Country Heterogeneity in Intertemporal Substitution," Working Papers 2014/06, Czech National Bank, Research Department.
  7. Grüning, Patrick, 2015. "International endogenous growth, macro anomalies, and asset prices," SAFE Working Paper Series 83, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  8. Pierpaolo Benigno & Salvatore Nisticò, 2009. "International Portfolio Allocation under Model Uncertainty," NBER Working Papers 14734, National Bureau of Economic Research, Inc.
  9. Hassan, Tarek A. & Mertens, Thomas M. & Zhang, Tony, 2016. "Not so disconnected: Exchange rates and the capital stock," Journal of International Economics, Elsevier, vol. 99(S1), pages S43-S57.
  10. Emmanuel Farhi & Xavier Gabaix, . "Rare Disasters and Exchange Rates," Working Paper 71001, Harvard University OpenScholar.
  11. Joel M. David & Espen Henriksen & Ina Simonovska, 2014. "The Risky Capital of Emerging Markets," NBER Working Papers 20769, National Bureau of Economic Research, Inc.
  12. Jair N. Ojeda-Joya, 2014. "A Consumption-Based Approach to Exchange Rate Predictability," Borradores de Economia 857, Banco de la Republica de Colombia.
  13. Stefano D'Addona & Frode Brevik, 2011. "Rational Ignorance In Long-Run Risk Models," Working Papers 0811, CREI Università degli Studi Roma Tre, revised 2011.
  14. Charles Engel, 2015. "Exchange Rates, Interest Rates, and the Risk Premium," NBER Working Papers 21042, National Bureau of Economic Research, Inc.
  15. Sultan Mehmood, 2014. "Terrorism and the macroeconomy: Evidence from Pakistan," Defence and Peace Economics, Taylor & Francis Journals, vol. 25(5), pages 509-534, October.
  16. Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2010. "Countercyclical Currency Risk Premia," NBER Working Papers 16427, National Bureau of Economic Research, Inc.
  17. Larry G. Epstein & Emmanuel Farhi & Tomasz Strzalecki, 2013. "How Much Would You Pay to Resolve Long-Run Risk?," NBER Working Papers 19541, National Bureau of Economic Research, Inc.
  18. repec:sek:ibmpro:3004657 is not listed on IDEAS
  19. Lewis, Karen K. & Liu, Edith X., 2015. "Evaluating international consumption risk sharing gains: An asset return view," Journal of Monetary Economics, Elsevier, vol. 71(C), pages 84-98.
  20. Kocherlakota, Narayana & Pistaferri, Luigi, 2007. "Household Heterogeneity and Real Exchange Rates," CEPR Discussion Papers 6192, C.E.P.R. Discussion Papers.
  21. Robert Kollmann, 2015. "Exchange Rates Dynamics with Long-Run Risk and Recursive Preferences," Open Economies Review, Springer, vol. 26(2), pages 175-196, April.
  22. Martin D D Evans & Viktoria Hnatkovska, 2006. "International Capital Flows Returns and World Financial Integration," 2006 Meeting Papers 60, Society for Economic Dynamics.
  23. Ana Maria Santacreu & Federico Gavazzoni, 2014. "International Comovement through Endogenous Long Run Risk," 2014 Meeting Papers 993, Society for Economic Dynamics.
  24. 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.
  25. Engel, Charles, 2011. "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," Economics Series 265, Institute for Advanced Studies.
  26. Lustig, Hanno & van Nieuwerburgh, Stijn & Verdelhan, Adrien, 2012. "The Wealth-Consumption Ratio," CEPR Discussion Papers 9022, C.E.P.R. Discussion Papers.
  27. Yu, Jianfeng, 2013. "A sentiment-based explanation of the forward premium puzzle," Journal of Monetary Economics, Elsevier, vol. 60(4), pages 474-491.
  28. François Gourio & Michael Siemer & Adrien Verdelhan, 2011. "International Risk Cycles," NBER Working Papers 17277, National Bureau of Economic Research, Inc.
  29. Xiaohong Chen & Jack Favilukis & Sydney C. Ludvigson, 2013. "An estimation of economic models with recursive preferences," Quantitative Economics, Econometric Society, vol. 4(1), pages 39-83, 03.
  30. 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.
  31. 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.
  32. 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.
  33. Yu, Jianfeng, 2011. "A sentiment-based explanation of the forward premium puzzle," Globalization and Monetary Policy Institute Working Paper 90, Federal Reserve Bank of Dallas.
  34. Yang Liu & Mariano Croce & Ivan Shaliastovich & Ric Colacito, 2016. "Volatility Risk Pass-Through," 2016 Meeting Papers 135, Society for Economic Dynamics.
  35. Hassan, Tarek & Mertens, Thomas M. & Zhang, Tony, 2015. "Not so Disconnected: Exchange Rates and the Capital Stock," CEPR Discussion Papers 10744, C.E.P.R. Discussion Papers.
  36. Gavazzoni, Federico & Santacreu, Ana Maria, 2015. "International R&D Spillovers and Asset Prices," Working Papers 2015-41, Federal Reserve Bank of St. Louis.
  37. Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2015. "Investor Information, Long-Run Risk, and the Term Structure of Equity," Review of Financial Studies, Society for Financial Studies, vol. 28(3), pages 706-742.
  38. 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.
  39. 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.
  40. 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.
  41. 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.
  42. 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.
  43. Irina Zviadadze, 2014. "Term-structure of consumption risk premia in the cross-section of currency returns," 2014 Meeting Papers 1075, Society for Economic Dynamics.
  44. Mathias Hoffmann & Rahel Suter, 2013. "Systematic Consumption Risk in Currency Returns," CESifo Working Paper Series 4273, CESifo Group Munich.
  45. 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.
  46. Ian Martin, 2011. "The Forward Premium Puzzle in a Two-Country World," NBER Working Papers 17564, National Bureau of Economic Research, Inc.
  47. 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.
  48. Ana Maria Santacreu & Federico Gavazzoni, 2015. "International R&D Spillovers and Asset Prices," 2015 Meeting Papers 405, Society for Economic Dynamics.
  49. Kollmann, Robert, 2016. "International Business Cycles and Risk Sharing with Uncertainty Shocks and Recursive Preferences," MPRA Paper 70183, University Library of Munich, Germany.
  50. 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.
  51. 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.
  52. Buss, Adrian, 2013. "Capital controls and international financial stability: a dynamic general equilibrium analysis in incomplete markets," Working Paper Series 1578, European Central Bank.
  53. Calvet, Laurent E. & Czellar, Veronika, 2015. "Through the looking glass: Indirect inference via simple equilibria," Journal of Econometrics, Elsevier, vol. 185(2), pages 343-358.
  54. Lorenzo Garlappi & Jack Favilukis, 2015. "The Carry Trade and UIP when Markets are Incomplete," 2015 Meeting Papers 242, Society for Economic Dynamics.
  55. 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.
  56. Mariano M. Croce, 2006. "Welfare Costs, Long Run Consumption Risk, and a Production Economy," 2006 Meeting Papers 582, Society for Economic Dynamics.
  57. Coeurdacier, Nicolas & Rey, Hélène & Winant, Pablo, 2015. "Financial Integration and Growth in a Risky World," CEPR Discussion Papers 11009, C.E.P.R. Discussion Papers.
  58. Edith Liu & Karen Lewis, 2012. "International Consumption Risk Is Shared After All: An Asset Return View," 2012 Meeting Papers 643, Society for Economic Dynamics.
  59. Karen K. Lewis, 2011. "Global asset pricing," Globalization and Monetary Policy Institute Working Paper 88, Federal Reserve Bank of Dallas.
  60. Tomáš Havránek, 2015. "Measuring Intertemporal Substitution: The Importance Of Method Choices And Selective Reporting," Journal of the European Economic Association, European Economic Association, vol. 13(6), pages 1180-1204, December.
  61. Karen K. Lewis, 2011. "Global Asset Pricing," NBER Working Papers 17261, National Bureau of Economic Research, Inc.
  62. Ravi Bansal, 2007. "Long-Run Risks and Financial Markets," NBER Working Papers 13196, National Bureau of Economic Research, Inc.
  63. 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.
  64. Aloosh, Arash, 2014. "Global Variance Risk Premium and Forex Return Predictability," MPRA Paper 59931, University Library of Munich, Germany.
  65. 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.
  66. 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.
  67. Arash, Aloosh, 2011. "Variance Risk Premium Differentials and Foreign Exchange Returns," MPRA Paper 40829, University Library of Munich, Germany, revised 18 Aug 2012.
  68. Robert Kollmann, 2015. "Exchange Rate and Current Account Dynamics: the Role of Asset Market Structure, Long-Run Risk and Risk Appetite," 2015 Meeting Papers 1397, Society for Economic Dynamics.
  69. Engel, Charles, 2014. "Exchange Rates and Interest Parity," Handbook of International Economics, Elsevier.
  70. 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.
  71. 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.
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