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/

SCHOLARLY PAPERS

28

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4,043

CITATIONS
Rank 458

SSRN RANKINGS

Top 458

in Total Papers Citations

1,134

Scholarly Papers (28)

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 1,322 (14,079)
Citation 55

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

2.
Downloads 521 ( 52,249)
Citation 5

Recursive Preferences

Number of pages: 10 Posted: 12 Dec 2005
David K. Backus
NYU Stern School of Business
Downloads 261 (115,647)
Citation 3

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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 260 (116,108)

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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
NYU Stern School of Business, INSEAD, Carnegie Mellon University - David A. Tepper School of Business and New York University (NYU)
Downloads 464 (60,475)

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

4.
Downloads 208 (145,512)
Citation 58

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 127 (222,894)
Citation 2

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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, Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University
Downloads 41 (426,979)

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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, Carnegie Mellon University - David A. Tepper School of Business and New York University (NYU)
Downloads 40 (431,079)
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

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

5.
Downloads 174 (171,368)
Citation 32

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 95 (274,650)

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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: 02 Sep 2010
David K. Backus and Jonathan H. Wright
NYU Stern School of Business and Johns Hopkins University - Department of Economics
Downloads 46 (407,431)
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 and Johns Hopkins University - Department of Economics
Downloads 33 (462,102)
Citation 2

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

6.

Discrete-Time Models of Bond Pricing

NBER Working Paper No. w6736
Number of pages: 38 Posted: 22 Oct 1998 Last Revised: 12 May 2000
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 168 (176,679)

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7.

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 160 (184,159)
Citation 20

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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, Goldman Sachs Group, Inc. - Quantitative Strategy Group and New York University (NYU)
Downloads 76 (316,002)

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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: 25 Mar 2008
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 48 (400,088)

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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 74 (320,987)

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

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10.
Downloads 72 (322,471)
Citation 7

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 49 (396,370)

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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
David K. Backus, Nina Boyarchenko and Mikhail Chernov
NYU Stern School of Business, Federal Reserve Bank of New York and UCLA Anderson
Downloads 23 (517,835)
Citation 1

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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, Federal Reserve Bank of New York and UCLA Anderson
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entropy; coentropy; term structure; yields; excess returns

11.

Current Account Fact and Fiction

NBER Working Paper No. w15525
Number of pages: 41 Posted: 24 Nov 2009 Last Revised: 01 Dec 2009
NYU Stern School of Business, Department of Financial Economics, BI Norwegian Business School, International Monetary Fund (IMF) and Carnegie Mellon University - David A. Tepper School of Business
Downloads 72 (322,471)

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12.

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 70 (327,582)
Citation 45

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13.

Oil Prices and the Terms of Trade

NBER Working Paper No. w6697
Number of pages: 44 Posted: 27 Apr 2000 Last Revised: 15 May 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 68 (332,785)
Citation 5

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14.

Affine Models of Currency Pricing

NBER Working Paper No. w5623
Number of pages: 42 Posted: 28 Apr 1998 Last Revised: 09 Apr 2010
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 65 (340,737)

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15.
Downloads 61 (351,927)

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 61 (356,750)

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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 and Carnegie Mellon University

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16.
Downloads 59 (357,706)
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, Department of Financial Economics, BI Norwegian Business School and affiliation not provided to SSRN
Downloads 30 (477,205)

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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
David K. Backus, Espen Henriksen and Kjetil Storesletten
NYU Stern School of Business, Department of Financial Economics, BI Norwegian Business School and University of Oslo - Department of Economics
Downloads 29 (482,465)

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17.

Predictable Changes in Yields and Forward Rates

NBER Working Paper No. w6379
Number of pages: 46 Posted: 17 Jul 2000 Last Revised: 09 Apr 2010
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 59 (357,706)
Citation 7

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18.
Downloads 58 (360,737)
Citation 42

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 44 (415,028)
Citation 1

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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
David K. Backus, Mikhail Chernov and Stanley E. Zin
NYU Stern School of Business, UCLA Anderson and New York University (NYU)
Downloads 13 (582,839)

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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, UCLA Anderson and Leonard N. Stern School of Business - Department of Economics
Downloads 1 (681,101)
Citation 1
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asset returns, bond yields, disasters, habits, jumps, pricing kernel, recursive preferences

19.

Monetary Policy and the Uncovered Interest Parity Puzzle

NBER Working Paper No. w16218
Number of pages: 55 Posted: 26 Jul 2010
NYU Stern School of Business, INSEAD, Carnegie Mellon University - David A. Tepper School of Business and New York University (NYU)
Downloads 47 (396,534)

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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 26 (499,512)

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

Identifying Monetary Policy in Macro-Finance Models

NBER Working Paper No. w19360
Number of pages: 36 Posted: 24 Aug 2013
NYU Stern School of Business, UCLA Anderson, New York University (NYU) and Stockholm School of Economics
Downloads 14 (576,239)

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

21.
Downloads 36 (438,416)
Citation 96

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 32 (466,968)

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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, UCLA Anderson and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 4 (646,577)
Citation 5
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cumulants, entropy, equity premium, implied volatility, pricing kernel, risk-neutral probabilities

22.

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: 13 Aug 2010
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 35 (442,590)
Citation 6

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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 30 (464,949)

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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
Downloads 20 (537,100)

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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

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25.

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 Department of Financial Economics, BI Norwegian Business School
Downloads 17 (536,693)
Citation 1

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26.

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 10 (579,108)

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27.

Pareto Weights as Wedges in Two-Country Models

NBER Working Paper No. w21773
Number of pages: 34 Posted: 07 Dec 2015
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 9 (585,417)

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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

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