Author Page for David K. Backus

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

Abstract:

2.

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 (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

Abstract:

3.

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)

Abstract:

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

Abstract:

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

Abstract:

5.

Exotic Preferences for Macroeconomists

Downloads 247 (171,511)

Citation 66

4

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

Abstract:

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)

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 (deceased), Carnegie Mellon University - David A. Tepper School of Business and New York University (NYU)

Downloads 48 (537,907)

Citation 1

Abstract:

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)

Abstract:

6.

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)

Abstract:

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

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 (deceased) and Johns Hopkins University - Department of Economics

Downloads 35 (607,558)

Citation 2

Abstract:

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

Abstract:

8.

Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing

Downloads 130 (298,660)

Citation 15

2

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)

Abstract:

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

Abstract:

9.

Reverse Engineering the Yield Curve

Downloads 98 (363,480)

2

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)

Abstract:

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

Abstract:

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)

Abstract:

11.

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

Downloads 91 (380,669)

2

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)

Abstract:

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

Abstract:

12.

Term Structures of Asset Prices and Returns

Downloads 90 (383,239)

Citation 25

3

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)

Abstract:

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)

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 (deceased), Federal Reserve Bank of New York and UCLA Anderson

Downloads 0

Citation 20

Add to Cart

Abstract:

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

Abstract:

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

Abstract:

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

Abstract:

16.

Current Account Fact and Fiction

NBER Working Paper No. w15525

Number of pages: 41 Posted: 24 Nov 2009 Last Revised: 04 Jun 2022

David K. Backus, Espen Henriksen, Frederic J. Lambert and Chris Telmer

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)

Abstract:

17.

Taxes and the Global Allocation of Capital

Downloads 72 (436,051)

Citation 5

2

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)

Abstract:

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)

Abstract:

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

Abstract:

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)

Abstract:

20.

Sources of Entropy in Representative Agent Models

Downloads 66 (456,348)

Citation 55

3

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)

Abstract:

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

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 (deceased), UCLA Anderson and Leonard N. Stern School of Business - Department of Economics

Downloads 1 (913,674)

Citation 10

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Abstract:

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)

Abstract:

22.

Identifying Taylor Rules in Macro-Finance Models

Downloads 50 (519,172)

3

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)

Abstract:

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

David K. Backus, Mikhail Chernov, Stanley E. Zin and Irina Zviadadze

NYU Stern School of Business (deceased), UCLA Anderson, New York University (NYU) and Stockholm School of Economics

Downloads 21 (707,693)

Abstract:

Monetary Policy Risk: Rules vs. Discretion

CEPR Discussion Paper No. DP9611

Number of pages: 64 Posted: 03 Sep 2013 Last Revised: 14 Jul 2021

David K. Backus, Mikhail Chernov, Stanley E. Zin and Irina Zviadadze

NYU Stern School of Business (deceased), UCLA Anderson, Leonard N. Stern School of Business - Department of Economics and HEC Paris

Downloads 0

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Abstract:

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

David K. Backus, Federico Gavazzoni, Chris Telmer and Stanley E. Zin

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

Abstract:

24.

Disasters Implied by Equity Index Options

Downloads 46 (537,234)

Citation 118

2

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)

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 (deceased), UCLA Anderson and London School of Economics & Political Science (LSE) - Department of Finance

Downloads 4 (871,350)

Citation 27

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Abstract:

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)

Abstract:

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)

Abstract:

27.

The Japanese Trade Balance: Recent History and Future Prospects

Downloads 25 (656,263)

2

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)

Abstract:

The Japanese Trade Balance: Recent History and Future Prospects

Posted: 11 May 2000

David K. Backus

NYU Stern School of Business (deceased)

Abstract:

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

Abstract:

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

Abstract:

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

David K. Backus, Chase Coleman, Axelle Ferriere and Spencer Lyon

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

Abstract:

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

David K. Backus, Mikhail Chernov, Stanley E. Zin and Irina Zviadadze

NYU Stern School of Business (deceased), UCLA Anderson, New York University (NYU) and Stockholm School of Economics

Downloads 6 (817,096)

Add to Cart

Abstract:

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

David K. Backus

NYU Stern School of Business (deceased)

Heinz Riehl Professor of Finance and Economics (deceased)

National Bureau of Economic Research (NBER)

NBER (deceased)

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Scholarly Papers (32)

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Term Structures of Asset Prices and Returns

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Sources of Entropy in Representative Agent Models

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Monetary Policy Risk: Rules vs. Discretion

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Disasters Implied by Equity Index Options

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Monetary Policy Risk: Rules vs. Discretion

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