David K. Backus

NYU Stern School of Business (deceased)

Heinz Riehl Professor of Finance and Economics (deceased)

44 West Fourth Street

New York, NY 10012

United States

http://pages.stern.nyu.edu/~dbackus/

National Bureau of Economic Research (NBER)

NBER (deceased)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

http://pages.stern.nyu.edu/~dbackus/

SCHOLARLY PAPERS

32

DOWNLOADS
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SSRN RANKINGS

Top 13,116

in Total Papers Downloads

5,301

SSRN CITATIONS
Rank 631

SSRN RANKINGS

Top 631

in Total Papers Citations

170

CROSSREF CITATIONS

1,463

Scholarly Papers (32)

1.

Accounting for Biases in Black-Scholes

Number of pages: 46 Posted: 03 Sep 2004
David K. Backus, Silverio Foresi and Liuren Wu
NYU Stern School of Business (deceased), Goldman Sachs Group, Inc. - Quantitative Strategy Group and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,696 (14,538)
Citation 69

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Currency options, skewness and kurtosis, Gram-Charlier expansions, implied volatility

2.

Monetary Policy and the Uncovered Interest Rate Parity Puzzle

Number of pages: 72 Posted: 06 Jul 2010 Last Revised: 14 Aug 2013
NYU Stern School of Business (deceased), BI - Norwegian Business School, Carnegie Mellon University - David A. Tepper School of Business and New York University (NYU)
Downloads 625 (60,026)
Citation 2

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Uncovered interest parity, carry trade, exchange rates, Taylor rule

3.
Downloads 581 ( 65,701)
Citation 5

Recursive Preferences

NYU Working Paper No. 2451/26114
Number of pages: 10 Posted: 13 Oct 2008
David K. Backus, Bryan Routledge and Stanley E. Zin
NYU Stern School of Business (deceased), Carnegie Mellon University - David A. Tepper School of Business and New York University (NYU)
Downloads 297 (141,760)

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time preference, risk, uncertainty, ambiguity, robust control, temptation, dynamic consistency, hyperbolic discounting, precautionary saving, equity premium, risk sharing

Recursive Preferences

Number of pages: 10 Posted: 12 Dec 2005
David K. Backus
NYU Stern School of Business (deceased)
Downloads 284 (148,561)
Citation 5

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time preference, risk, uncertainty, ambiguity, robust control, temptation, dynamic consistency, hyperbolic discounting, precautionary saving, equity premium, risk sharing

4.

Discrete-Time Models of Bond Pricing

NBER Working Paper No. w6736
Number of pages: 38 Posted: 22 Oct 1998 Last Revised: 03 Apr 2022
David K. Backus, Silverio Foresi and Chris Telmer
NYU Stern School of Business (deceased), Goldman Sachs Group, Inc. - Quantitative Strategy Group and Carnegie Mellon University - David A. Tepper School of Business
Downloads 342 (122,793)
Citation 1

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5.
Downloads 247 (171,511)
Citation 66

Exotic Preferences for Macroeconomists

NBER Working Paper No. w10597
Number of pages: 65 Posted: 08 Jul 2004 Last Revised: 17 Jun 2022
David K. Backus, Bryan Routledge and Stanley E. Zin
NYU Stern School of Business (deceased), Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University
Downloads 148 (270,987)
Citation 11

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Exotic Preferences for Macroeconomists

NYU Working Paper No. 2451/26134
Number of pages: 57 Posted: 13 Oct 2008
David K. Backus, Bryan Routledge and Stanley E. Zin
NYU Stern School of Business (deceased), Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University
Downloads 51 (523,834)

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time preference, risk, uncertainty, ambiguity, robust control, temptation, dynamic consistency, hyperbolic discounting, precautionary saving, equity premium, risk sharing

Exotic Preferences for Macroeconomists

NYU Working Paper No. S-MF-04-13
Number of pages: 57 Posted: 07 Nov 2008
David K. Backus, Bryan Routledge and Stanley E. Zin
NYU Stern School of Business (deceased), Carnegie Mellon University - David A. Tepper School of Business and New York University (NYU)
Downloads 48 (537,907)
Citation 1

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time preference, risk, uncertainty, ambiguity, robust control, temptation, dynamic consistency, hyperbolic discounting, precautionary saving, equity premium, risk sharing

Exotic Preferences for Macroeconomists

NYU Stern Working Paper No. EC-04-20
Posted: 12 Sep 2004
David K. Backus
NYU Stern School of Business (deceased)

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Time preference, risk, uncertainty, ambiguity, robust control, temptation, dynamic consistency

6.
Downloads 187 (222,049)
Citation 33

Cracking the Conundrum

FEDS Working Paper No. 2007-46
Number of pages: 37 Posted: 29 Nov 2007
David K. Backus and Jonathan H. Wright
NYU Stern School of Business (deceased) and Johns Hopkins University - Department of Economics
Downloads 99 (363,889)

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Yield curve, forward rates, volatility, term premium, affine models, monetary policy

Cracking the Conundrum

NBER Working Paper No. w13419
Number of pages: 36 Posted: 18 Sep 2007 Last Revised: 03 Mar 2022
David K. Backus and Jonathan H. Wright
NYU Stern School of Business (deceased) and Johns Hopkins University - Department of Economics
Downloads 53 (514,824)
Citation 1

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Cracking the Conundrum

NYU Working Paper No. 2451/26052
Number of pages: 35 Posted: 13 Oct 2008
David K. Backus and Jonathan H. Wright
NYU Stern School of Business (deceased) and Johns Hopkins University - Department of Economics
Downloads 35 (607,558)
Citation 2

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yield curve, forward rates, volatility, term premium, affine models, monetary policy

7.

International Business Cycles: Theory and Evidence

NBER Working Paper No. w4493
Number of pages: 44 Posted: 15 Sep 2000 Last Revised: 13 Apr 2022
David K. Backus, Patrick J. Kehoe and Finn Kydland
NYU Stern School of Business (deceased), Federal Reserve Bank of Minneapolis - Research Department and Carnegie Mellon University - David A. Tepper School of Business
Downloads 167 (244,526)
Citation 5

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Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing

NYU Working Paper No. FIN-94-005
Number of pages: 42 Posted: 11 Nov 2008
David K. Backus, Silverio Foresi and Stanley E. Zin
NYU Stern School of Business (deceased), Goldman Sachs Group, Inc. - Quantitative Strategy Group and New York University (NYU)
Downloads 76 (428,091)

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bond prices and yields, forward rates, time-dependent drift and volatility, options

Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing

NBER Working Paper No. w5638
Number of pages: 41 Posted: 13 Jul 2000 Last Revised: 30 May 2021
David K. Backus, Silverio Foresi and Stanley E. Zin
NYU Stern School of Business (deceased), Goldman Sachs Group, Inc. - Quantitative Strategy Group and Carnegie Mellon University
Downloads 54 (510,440)
Citation 1

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Reverse Engineering the Yield Curve

NBER Working Paper No. w4676
Number of pages: 44 Posted: 12 Jul 2000 Last Revised: 13 Apr 2022
David K. Backus and Stanley E. Zin
NYU Stern School of Business (deceased) and Carnegie Mellon University
Downloads 98 (366,274)

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Reverse Engineering the Yield Curve

Posted: 14 Sep 1999
David K. Backus and Stanley E. Zin
NYU Stern School of Business (deceased) and Carnegie Mellon University

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10.

Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing

NYU Working Paper No. FIN-96-008
Number of pages: 41 Posted: 07 Nov 2008
David K. Backus, Silverio Foresi and Stanley E. Zin
NYU Stern School of Business (deceased), Goldman Sachs Group, Inc. - Quantitative Strategy Group and Carnegie Mellon University
Downloads 93 (375,627)

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bond yields, options, fixed income derivatives, pricing kernels, state contingent claims, time-dependent drift volatility

The Forward Premium Anomaly: Three Examples in Search of a Solution

NYU Working Paper No. FIN-94-006
Number of pages: 32 Posted: 11 Nov 2008
David K. Backus, Silverio Foresi and Chris Telmer
NYU Stern School of Business (deceased), Goldman Sachs Group, Inc. - Quantitative Strategy Group and affiliation not provided to SSRN
Downloads 91 (383,960)

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forward and spot exchange rates, risk premium, pricing kernels, bond pricing

The Forward Premium Anomaly: Three Examples in Search of a Solution

Posted: 22 Aug 1998
David K. Backus, Silverio Foresi and Chris Telmer
NYU Stern School of Business (deceased), Goldman Sachs Group, Inc. - Quantitative Strategy Group and Carnegie Mellon University - David A. Tepper School of Business

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12.
Downloads 90 (383,239)
Citation 25

Term Structures of Asset Prices and Returns

FRB of NY Staff Report No. 774
Number of pages: 46 Posted: 13 Apr 2016 Last Revised: 30 Aug 2017
David K. Backus, Nina Boyarchenko and Mikhail Chernov
NYU Stern School of Business (deceased), Federal Reserve Bank of New York and UCLA Anderson
Downloads 58 (493,687)

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entropy, coentropy, term structure, yields, excess returns

Term Structures of Asset Prices and Returns

NBER Working Paper No. w22162
Number of pages: 53 Posted: 11 Apr 2016 Last Revised: 21 Jan 2022
David K. Backus, Nina Boyarchenko and Mikhail Chernov
NYU Stern School of Business (deceased), Federal Reserve Bank of New York and UCLA Anderson
Downloads 32 (626,073)

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Term Structures of Asset Prices and Returns

CEPR Discussion Paper No. DP11227
Number of pages: 48 Posted: 18 Apr 2016
David K. Backus, Nina Boyarchenko and Mikhail Chernov
NYU Stern School of Business (deceased), Federal Reserve Bank of New York and UCLA Anderson
Downloads 0
Citation 20
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entropy; coentropy; term structure; yields; excess returns

13.

Dynamics of the Trade Balance and the Terms of Trade: the S-Curve

NBER Working Paper No. w4242
Number of pages: 47 Posted: 27 Feb 2004 Last Revised: 04 Feb 2022
David K. Backus, Patrick J. Kehoe and Finn Kydland
NYU Stern School of Business (deceased), Federal Reserve Bank of Minneapolis - Research Department and Carnegie Mellon University - David A. Tepper School of Business
Downloads 85 (396,756)
Citation 2

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14.

Oil Prices and the Terms of Trade

NBER Working Paper No. w6697
Number of pages: 44 Posted: 27 Apr 2000 Last Revised: 21 Apr 2022
David K. Backus and Mario J. Crucini
NYU Stern School of Business (deceased) and Vanderbilt University - College of Arts and Science - Department of Economics
Downloads 84 (402,360)
Citation 5

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15.

Affine Models of Currency Pricing

NYU Working Paper No. FIN-96-009
Number of pages: 41 Posted: 07 Nov 2008
David K. Backus, Silverio Foresi and Chris Telmer
NYU Stern School of Business (deceased), Goldman Sachs Group, Inc. - Quantitative Strategy Group and affiliation not provided to SSRN
Downloads 79 (414,054)
Citation 1

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forward and spot exchange rates, risk premiums, pricing kernels

16.

Current Account Fact and Fiction

NBER Working Paper No. w15525
Number of pages: 41 Posted: 24 Nov 2009 Last Revised: 04 Jun 2022
NYU Stern School of Business (deceased), Department of Financial Economics, BI Norwegian Business School, International Monetary Fund (IMF) and Carnegie Mellon University - David A. Tepper School of Business
Downloads 77 (420,191)

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17.
Downloads 72 (436,051)
Citation 5

Taxes and the Global Allocation of Capital

NYU Working Paper No. 2451/26061
Number of pages: 29 Posted: 13 Oct 2008
David K. Backus, Espen Henriksen and Kjetil Storeletten
NYU Stern School of Business (deceased), Department of Financial Economics, BI Norwegian Business School and affiliation not provided to SSRN
Downloads 36 (601,522)

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capital, taxes, capital-output ratio, international capital flows

Taxes and the Global Allocation of Capital

NBER Working Paper No. w13624
Number of pages: 31 Posted: 29 Nov 2007 Last Revised: 25 Mar 2022
David K. Backus, Espen Henriksen and Kjetil Storesletten
NYU Stern School of Business (deceased), Department of Financial Economics, BI Norwegian Business School and University of Oslo - Department of Economics
Downloads 36 (601,522)

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18.

Predictable Changes in Yields and Forward Rates

NBER Working Paper No. w6379
Number of pages: 46 Posted: 17 Jul 2000 Last Revised: 08 Jun 2022
David K. Backus, Liuren Wu, Silverio Foresi and Abon Mozumdar
NYU Stern School of Business (deceased), City University of New York, CUNY Baruch College - Zicklin School of Business, Goldman Sachs Group, Inc. - Quantitative Strategy Group and Virginia Polytechnic Institute & State University - Department of Finance
Downloads 69 (445,971)
Citation 4

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19.

Affine Models of Currency Pricing

NBER Working Paper No. w5623
Number of pages: 42 Posted: 28 Apr 1998 Last Revised: 15 May 2022
David K. Backus, Silverio Foresi and Chris Telmer
NYU Stern School of Business (deceased), Goldman Sachs Group, Inc. - Quantitative Strategy Group and Carnegie Mellon University - David A. Tepper School of Business
Downloads 68 (449,392)

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20.
Downloads 66 (456,348)
Citation 55

Sources of Entropy in Representative Agent Models

NYU Working Paper No. 2451/29940
Number of pages: 55 Posted: 13 Jul 2011
David K. Backus, Mikhail Chernov and Stanley E. Zin
NYU Stern School of Business (deceased), UCLA Anderson and New York University (NYU)
Downloads 49 (533,174)

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pricing kernel, asset returns, bond yields, recursive preferences, habits, jumps, disasters

Sources of Entropy in Representative Agent Models

NBER Working Paper No. w17219
Number of pages: 56 Posted: 16 Jul 2011 Last Revised: 19 Jan 2022
David K. Backus, Mikhail Chernov and Stanley E. Zin
NYU Stern School of Business (deceased), UCLA Anderson and New York University (NYU)
Downloads 16 (750,609)
Citation 5

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Sources of Entropy in Representative Agent Models

CEPR Discussion Paper No. DP8488
Number of pages: 58 Posted: 20 Jul 2011
David K. Backus, Mikhail Chernov and Stanley E. Zin
NYU Stern School of Business (deceased), UCLA Anderson and Leonard N. Stern School of Business - Department of Economics
Downloads 1 (913,674)
Citation 10
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asset returns, bond yields, disasters, habits, jumps, pricing kernel, recursive preferences

21.

Macroeconomic Foundations of Higher Moments in Bond Yields

NYU Working Paper No. FIN-96-010
Number of pages: 21 Posted: 07 Nov 2008
David K. Backus, Silverio Foresi and Liuren Wu
NYU Stern School of Business (deceased), Goldman Sachs Group, Inc. - Quantitative Strategy Group and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 60 (478,473)

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term structure, skewness and kurtosis, multi-factors affine models, pricing kernels, consumption growth, inflation

Identifying Taylor Rules in Macro-Finance Models

NYU Working Paper No. 2451/31978
Number of pages: 27 Posted: 28 Aug 2013
David K. Backus, Mikhail Chernov and Stanley E. Zin
NYU Stern School of Business (deceased), UCLA Anderson and Leonard N. Stern School of Business - Department of Economics
Downloads 29 (646,243)

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forward-looking models; information sets;, monetary policy; exponential-affine models

Identifying Taylor Rules in Macro-Finance Models

NBER Working Paper No. w19360
Number of pages: 29 Posted: 24 Aug 2013 Last Revised: 27 May 2022
NYU Stern School of Business (deceased), UCLA Anderson, New York University (NYU) and Stockholm School of Economics
Downloads 21 (707,693)

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Monetary Policy Risk: Rules vs. Discretion

CEPR Discussion Paper No. DP9611
Number of pages: 64 Posted: 03 Sep 2013 Last Revised: 14 Jul 2021
NYU Stern School of Business (deceased), UCLA Anderson, Leonard N. Stern School of Business - Department of Economics and HEC Paris
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23.

Monetary Policy and the Uncovered Interest Parity Puzzle

NBER Working Paper No. w16218
Number of pages: 55 Posted: 26 Jul 2010 Last Revised: 25 Apr 2022
NYU Stern School of Business (deceased), BI - Norwegian Business School, Carnegie Mellon University - David A. Tepper School of Business and New York University (NYU)
Downloads 49 (523,650)
Citation 2

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24.
Downloads 46 (537,234)
Citation 118

Disasters Implied by Equity Index Options

NBER Working Paper No. w15240
Number of pages: 44 Posted: 18 Aug 2009 Last Revised: 21 Feb 2022
David K. Backus, Mikhail Chernov and Ian Martin
NYU Stern School of Business (deceased), UCLA Anderson and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 42 (568,087)

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Disasters Implied by Equity Index Options

CEPR Discussion Paper No. DP7416
Number of pages: 46 Posted: 08 Sep 2009
David K. Backus, Mikhail Chernov and Ian Martin
NYU Stern School of Business (deceased), UCLA Anderson and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 4 (871,350)
Citation 27
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cumulants, entropy, equity premium, implied volatility, pricing kernel, risk-neutral probabilities

25.

Relative Price Movements in Dynamic General Equilibrium Models of International Trade

NBER Working Paper No. w4243
Number of pages: 51 Posted: 18 Jul 2007 Last Revised: 05 Feb 2022
David K. Backus, Finn Kydland and Patrick J. Kehoe
NYU Stern School of Business (deceased), Carnegie Mellon University - David A. Tepper School of Business and Federal Reserve Bank of Minneapolis - Research Department
Downloads 41 (561,663)

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26.

Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates

NBER Working Paper No. t0133
Number of pages: 33 Posted: 27 Jun 2007 Last Revised: 15 May 2022
David K. Backus and Stanley E. Zin
NYU Stern School of Business (deceased) and Carnegie Mellon University
Downloads 32 (610,663)

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The Japanese Trade Balance: Recent History and Future Prospects

NBER Working Paper No. w4553
Number of pages: 26 Posted: 07 Aug 2007
David K. Backus
NYU Stern School of Business (deceased)
Downloads 25 (675,609)

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The Japanese Trade Balance: Recent History and Future Prospects

Posted: 11 May 2000
David K. Backus
NYU Stern School of Business (deceased)

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28.

Demography and Low Frequency Capital Flows

NBER Working Paper No. w19465
Number of pages: 40 Posted: 28 Sep 2013 Last Revised: 10 Mar 2022
David K. Backus, Thomas F. Cooley and Espen Henriksen
NYU Stern School of Business (deceased), New York University - Leonard N. Stern School of Business and Department of Financial Economics, BI Norwegian Business School
Downloads 19 (701,136)
Citation 8

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29.

Risk and Ambiguity in Models of Business Cycles

NBER Working Paper No. w20319
Number of pages: 48 Posted: 24 Jul 2014 Last Revised: 08 Jan 2022
David K. Backus, Axelle Ferriere and Stanley E. Zin
NYU Stern School of Business (deceased), European University Institute and New York University (NYU)
Downloads 14 (742,384)
Citation 5

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30.

Pareto Weights as Wedges in Two-Country Models

NBER Working Paper No. w21773
Number of pages: 34 Posted: 07 Dec 2015 Last Revised: 30 Jun 2022
NYU Stern School of Business (deceased), New York University (NYU) - Leonard N. Stern School of Business, European University Institute and New York University (NYU) - Leonard N. Stern School of Business
Downloads 12 (760,343)
Citation 1

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31.

Monetary Policy Risk: Rules vs. Discretion

NBER Working Paper No. w28983
Number of pages: 61 Posted: 05 Jul 2021 Last Revised: 12 Mar 2022
NYU Stern School of Business (deceased), UCLA Anderson, New York University (NYU) and Stockholm School of Economics
Downloads 6 (817,096)
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32.

Derivatives at Banc One (1994)

Posted: 27 Jun 1998
David K. Backus, Leora F. Klapper and Chris Telmer
NYU Stern School of Business (deceased), World Bank and Carnegie Mellon University - David A. Tepper School of Business

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