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David K. Backus

NYU Stern School of Business

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/

  • NYU Stern School of Business

    • Tel: 212-998-0873
    • Fax: 212-995-4220
SCHOLARLY PAPERS

28

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Top 10,691

in Total Papers Downloads

3,638

CITATIONS
Rank 764

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Top 764

in Total Papers Citations

672

Scholarly Papers (28)

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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, Goldman Sachs Group, Inc. - Quantitative Strategy Group and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,114 (12,972)
Citation 34

Abstract:

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

2.

Recursive Preferences

Downloads 471 ( 49,135)
Citation 2

Recursive Preferences

Number of pages: 10 Posted: 12 Dec 2005
David K. Backus
NYU Stern School of Business
Downloads 249 (102,118)
Citation 2

Abstract:

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

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, Carnegie Mellon University - David A. Tepper School of Business and New York University (NYU)
Downloads 222 (114,745)
Citation 2

Abstract:

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

3.

Monetary Policy and the Uncovered Interest Rate Parity Puzzle

Number of pages: 72 Posted: 06 Jul 2010 Last Revised: 14 Aug 2013
David K. Backus, Federico Gavazzoni, Chris Telmer and Stanley E. Zin
NYU Stern School of Business, INSEAD, Carnegie Mellon University - David A. Tepper School of Business and New York University (NYU)
Downloads 242 (60,480)
Citation 7

Abstract:

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

4.

Exotic Preferences for Macroeconomists

Downloads 192 (132,397)
Citation 37

Exotic Preferences for Macroeconomists

NBER Working Paper No. w10597
Number of pages: 65 Posted: 08 Jul 2004
David K. Backus, Bryan Routledge and Stanley E. Zin
NYU Stern School of Business, Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University
Downloads 123 (194,098)
Citation 37

Abstract:

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, Carnegie Mellon University - David A. Tepper School of Business and New York University (NYU)
Downloads 35 (389,559)
Citation 37

Abstract:

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. 2451/26134
Number of pages: 57 Posted: 13 Oct 2008
David K. Backus, Bryan Routledge and Stanley E. Zin
NYU Stern School of Business, Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University
Downloads 34 (393,645)
Citation 37

Abstract:

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

Abstract:

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

5.

Cracking the Conundrum

Downloads 166 (151,142)
Citation 17

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 and Johns Hopkins University - Department of Economics
Downloads 91 (241,091)
Citation 17

Abstract:

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
David K. Backus and Jonathan H. Wright
NYU Stern School of Business and Johns Hopkins University - Department of Economics
Downloads 44 (356,129)
Citation 17

Abstract:

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 and Johns Hopkins University - Department of Economics
Downloads 31 (406,498)
Citation 17

Abstract:

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

6.

International Business Cycles: Theory and Evidence

NBER Working Paper No. w4493
Number of pages: 44 Posted: 15 Sep 2000
David K. Backus, Patrick J. Kehoe and Finn Kydland
NYU Stern School of Business, Federal Reserve Bank of Minneapolis - Research Department and Carnegie Mellon University - David A. Tepper School of Business
Downloads 141 (160,269)
Citation 121

Abstract:

7.

Discrete-Time Models of Bond Pricing

NBER Working Paper No. w6736
Number of pages: 38 Posted: 22 Oct 1998
David K. Backus, Silverio Foresi and Chris Telmer
NYU Stern School of Business, Goldman Sachs Group, Inc. - Quantitative Strategy Group and Carnegie Mellon University - David A. Tepper School of Business
Downloads 131 (158,539)
Citation 32

Abstract:

8.

Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing

Downloads 118 (199,557)
Citation 24

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, Goldman Sachs Group, Inc. - Quantitative Strategy Group and New York University (NYU)
Downloads 72 (278,694)
Citation 15

Abstract:

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
David K. Backus, Silverio Foresi and Stanley E. Zin
NYU Stern School of Business, Goldman Sachs Group, Inc. - Quantitative Strategy Group and Carnegie Mellon University
Downloads 46 (349,428)
Citation 24

Abstract:

9.

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

Downloads 67 (286,972)

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, Goldman Sachs Group, Inc. - Quantitative Strategy Group and affiliation not provided to SSRN
Downloads 67 (290,284)
Citation 4

Abstract:

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, Goldman Sachs Group, Inc. - Quantitative Strategy Group and Carnegie Mellon University - David A. Tepper School of Business

Abstract:

10.

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: 13 Aug 2010
David K. Backus, Patrick J. Kehoe and Finn Kydland
NYU Stern School of Business, Federal Reserve Bank of Minneapolis - Research Department and Carnegie Mellon University - David A. Tepper School of Business
Downloads 66 (289,324)
Citation 126

Abstract:

11.

Current Account Fact and Fiction

NBER Working Paper No. w15525
Number of pages: 41 Posted: 24 Nov 2009
David K. Backus, Espen Henriksen, Frederic J. Lambert and Chris Telmer
NYU Stern School of Business, University of California Davis, International Monetary Fund (IMF) and Carnegie Mellon University - David A. Tepper School of Business
Downloads 62 (286,972)
Citation 21

Abstract:

12.

Reverse Engineering the Yield Curve

Downloads 60 (303,737)

Reverse Engineering the Yield Curve

NBER Working Paper No. w4676
Number of pages: 44 Posted: 12 Jul 2000
David K. Backus and Stanley E. Zin
NYU Stern School of Business and Carnegie Mellon University
Downloads 60 (307,734)
Citation 30

Abstract:

Reverse Engineering the Yield Curve

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

Abstract:

13.

Taxes and the Global Allocation of Capital

Downloads 54 (319,862)
Citation 4

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, University of California Davis and affiliation not provided to SSRN
Downloads 28 (420,616)
Citation 4

Abstract:

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
David K. Backus, Espen Henriksen and Kjetil Storesletten
NYU Stern School of Business, University of California Davis and University of Oslo - Department of Economics
Downloads 26 (430,964)
Citation 4

Abstract:

14.

Affine Models of Currency Pricing

NBER Working Paper No. w5623
Number of pages: 42 Posted: 28 Apr 1998
David K. Backus, Silverio Foresi and Chris Telmer
NYU Stern School of Business, Goldman Sachs Group, Inc. - Quantitative Strategy Group and Carnegie Mellon University - David A. Tepper School of Business
Downloads 53 (308,934)
Citation 24

Abstract:

15.

Sources of Entropy in Representative Agent Models

Downloads 50 (331,435)
Citation 12

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, UCLA Anderson and New York University (NYU)
Downloads 38 (377,736)
Citation 12

Abstract:

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
David K. Backus, Mikhail Chernov and Stanley E. Zin
NYU Stern School of Business, UCLA Anderson and New York University (NYU)
Downloads 11 (517,472)
Citation 12

Abstract:

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, UCLA Anderson and Leonard N. Stern School of Business - Department of Economics
Downloads 1 (580,253)
Citation 12
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Abstract:

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

16.

Predictable Changes in Yields and Forward Rates

NBER Working Paper No. w6379
Number of pages: 46 Posted: 17 Jul 2000
David K. Backus, Liuren Wu, Silverio Foresi and Abon Mozumdar
NYU Stern School of Business, 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 45 (325,519)
Citation 56

Abstract:

17.

Oil Prices and the Terms of Trade

NBER Working Paper No. w6697
Number of pages: 44 Posted: 27 Apr 2000
David K. Backus and Mario J. Crucini
NYU Stern School of Business and Vanderbilt University - College of Arts and Science - Department of Economics
Downloads 45 (316,960)
Citation 38

Abstract:

18.

Term Structures of Asset Prices and Returns

Downloads 39 (366,459)

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, Federal Reserve Bank of New York and UCLA Anderson
Downloads 26 (430,964)

Abstract:

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
David K. Backus, Nina Boyarchenko and Mikhail Chernov
NYU Stern School of Business, Federal Reserve Bank of New York and UCLA Anderson
Downloads 13 (505,848)
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Abstract:

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, Federal Reserve Bank of New York and UCLA Anderson
Downloads 0
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Abstract:

entropy; coentropy; term structure; yields; excess returns

19.

Monetary Policy and the Uncovered Interest Parity Puzzle

NBER Working Paper No. w16218
Number of pages: 55 Posted: 26 Jul 2010
David K. Backus, Federico Gavazzoni, Chris Telmer and Stanley E. Zin
NYU Stern School of Business, INSEAD, Carnegie Mellon University - David A. Tepper School of Business and New York University (NYU)
Downloads 38 (352,959)
Citation 7

Abstract:

20.

Disasters Implied by Equity Index Options

Downloads 32 (392,556)
Citation 40

Disasters Implied by Equity Index Options

NBER Working Paper No. w15240
Number of pages: 44 Posted: 18 Aug 2009 Last Revised: 24 Aug 2010
David K. Backus, Mikhail Chernov and Ian Martin
NYU Stern School of Business, UCLA Anderson and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 28 (420,616)
Citation 40

Abstract:

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, UCLA Anderson and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 4 (554,739)
Citation 40
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Abstract:

cumulants, entropy, equity premium, implied volatility, pricing kernel, risk-neutral probabilities

21.

Relative Price Movements in Dynamic General Equilibrium Models of International Trade

NBER Working Paper No. w4243
Number of pages: 51 Posted: 18 Jul 2007
David K. Backus, Finn Kydland and Patrick J. Kehoe
NYU Stern School of Business, Carnegie Mellon University - David A. Tepper School of Business and Federal Reserve Bank of Minneapolis - Research Department
Downloads 31 (396,620)
Citation 9

Abstract:

22.

Identifying Taylor Rules in Macro-Finance Models

Downloads 29 (405,217)

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, UCLA Anderson and Leonard N. Stern School of Business - Department of Economics
Downloads 20 (465,049)

Abstract:

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
David K. Backus, Mikhail Chernov and Stanley E. Zin
NYU Stern School of Business, UCLA Anderson and New York University (NYU)
Downloads 9 (528,488)

Abstract:

Identifying Taylor Rules in Macro-Finance Models

CEPR Discussion Paper No. DP9611
Number of pages: 30 Posted: 03 Sep 2013
David K. Backus, Mikhail Chernov and Stanley E. Zin
NYU Stern School of Business, UCLA Anderson and Leonard N. Stern School of Business - Department of Economics
Downloads 0
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Abstract:

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

23.

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
David K. Backus and Stanley E. Zin
NYU Stern School of Business and Carnegie Mellon University
Downloads 24 (409,584)
Citation 21

Abstract:

24.

The Japanese Trade Balance: Recent History and Future Prospects

Downloads 19 (454,929)

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
Downloads 19 (470,926)
Citation 2

Abstract:

The Japanese Trade Balance: Recent History and Future Prospects

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

Abstract:

25.

Risk and Ambiguity in Models of Business Cycles

NBER Working Paper No. w20319
Number of pages: 48 Posted: 24 Jul 2014
David K. Backus, Axelle Ferriere and Stanley E. Zin
NYU Stern School of Business, European University Institute and New York University (NYU)
Downloads 7 (516,053)

Abstract:

26.

Demography and Low Frequency Capital Flows

NBER Working Paper No. w19465
Number of pages: 40 Posted: 28 Sep 2013
David K. Backus, Thomas F. Cooley and Espen Henriksen
NYU Stern School of Business, New York University - Leonard N. Stern School of Business and University of California Davis
Downloads 7 (501,497)
Citation 2

Abstract:

27.

Pareto Weights as Wedges in Two-Country Models

NBER Working Paper No. w21773
Number of pages: 34 Posted: 07 Dec 2015
David K. Backus, Chase Coleman, Axelle Ferriere and Spencer Lyon
NYU Stern School of Business, 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 0 (534,669)
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Abstract:

28.

Derivatives At Banc One (1994)

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

Abstract:

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