Fernando Duarte

Brown University

64 Waterman Street

Providence, RI 02912

United States

http://fernando.duarte@github.io

SCHOLARLY PAPERS

14

DOWNLOADS
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in Total Papers Downloads

5,317

SSRN CITATIONS
Rank 8,200

SSRN RANKINGS

Top 8,200

in Total Papers Citations

145

CROSSREF CITATIONS

59

Scholarly Papers (14)

1.

The Equity Risk Premium: A Review of Models

Economic Policy Review, Issue 2, pp. 39-57, 2015
Number of pages: 19 Posted: 16 Dec 2016 Last Revised: 27 Oct 2017
Fernando Duarte and Carlo Rosa
Brown University and University of Parma
Downloads 1,535 (22,814)

Abstract:

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Equity premium, stock returns

2.

Fire-sale Spillovers and Systemic Risk

FRB of New York Staff Report No. 645
Number of pages: 116 Posted: 16 Oct 2013 Last Revised: 06 Dec 2019
Fernando Duarte and Thomas M. Eisenbach
Brown University and Federal Reserve Bank of New York
Downloads 1,096 (37,224)
Citation 56

Abstract:

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systemic risk, fire-sale externalities, leverage, linkage, concentration, bank holding company

3.
Downloads 940 (46,268)
Citation 22

The Equity Risk Premium: A Review of Models

FRB of New York Staff Report No. 714
Number of pages: 41 Posted: 18 Aug 2015
Fernando Duarte and Carlo Rosa
Brown University and University of Parma
Downloads 520 (98,983)
Citation 30

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equity premium, stock returns

The Equity Risk Premium: A Consensus of Models

Number of pages: 23 Posted: 12 Jan 2014 Last Revised: 15 Feb 2014
Fernando Duarte and Carlo Rosa
Brown University and University of Parma
Downloads 420 (127,829)
Citation 2

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Equity risk premium, ERP, bond yields, stocks, term structure, stock prices

4.
Downloads 654 (48,335)
Citation 29

Time-Varying Inflation Risk and Stock Returns

FRB of New York Staff Report No. 621
Number of pages: 104 Posted: 04 Jun 2013 Last Revised: 29 Aug 2019
Nova School of Business and Economics, Brown University, Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 654 (74,101)
Citation 5

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inflation, time-varying inflation risk premium, inflation hedging, individual stock returns, cross-sectional asset pricing, nominal-real covariance

5.
Downloads 302 (185,400)
Citation 9

Financial Vulnerability and Monetary Policy

FRB of NY Staff Report No. 804
Number of pages: 54 Posted: 30 Dec 2016 Last Revised: 01 Feb 2023
Tobias Adrian and Fernando Duarte
International Monetary Fund and Brown University
Downloads 300 (185,482)
Citation 7

Abstract:

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monetary policy, macro-finance, financial stability

Financial Vulnerability and Monetary Policy

CEPR Discussion Paper No. DP12680
Number of pages: 69 Posted: 05 Feb 2018
Tobias Adrian and Fernando Duarte
International Monetary Fund and Brown University
Downloads 2 (1,152,176)
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Financial Stability, Macro-Finance, monetary policy

Monetary and Macroprudential Policy with Endogenous Risk

IMF Working Paper No. 20/236
Number of pages: 56 Posted: 05 Jan 2021
Tobias Adrian, Fernando Duarte, Nellie Liang and Pawel Zabczyk
International Monetary Fund, Brown University, Brookings Institution and International Monetary Fund MCMMP
Downloads 148 (360,573)
Citation 3

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Monetary and Macroprudential Policy with Endogenous Risk

CEPR Discussion Paper No. DP14435
Number of pages: 36 Posted: 03 Mar 2020
Tobias Adrian, Fernando Duarte, Nellie Liang and Pawel Zabczyk
International Monetary Fund, Brown University, Brookings Institution and International Monetary Fund MCMMP
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Macro-Finance, macroprudential policy, monetary policy

7.

Empirical Network Contagion for U.S. Financial Institutions

FRB of NY Staff Report No. 826
Number of pages: 61 Posted: 07 Nov 2017
Fernando Duarte and Collin Jones
Brown University and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 148 (360,208)
Citation 3

Abstract:

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systemic risk, contagion, financial network

8.

Monetary Policy and Financial Conditions: A Cross-Country Study

FRB of New York Staff Report No. 890, June 2019
Number of pages: 22 Posted: 10 Jun 2019
International Monetary Fund, Brown University, International Monetary Fund and International Monetary Fund (IMF)
Downloads 123 (416,092)
Citation 4

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monetary policy, financial conditions, financial stability

9.

The Market Price of Risk and Macro-Financial Dynamics

IMF Working Paper No. 2023/199
Number of pages: 87 Posted: 05 Oct 2023
Tobias Adrian, Fernando Duarte and Tara Iyer
International Monetary Fund, Brown University and International Monetary Fund (IMF)
Downloads 116 (434,612)

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Macro-Finance, Financial Conditions Index, Monetary Policy, Asset Pricing, Market Price of Risk, Consumption Volatility, Causal Identification

10.

How to Escape a Liquidity Trap with Interest Rate Rules

FRB of NY Staff Report No. 776
Number of pages: 43 Posted: 31 May 2016 Last Revised: 25 Oct 2023
Fernando Duarte
Brown University
Downloads 102 (477,308)
Citation 1

Abstract:

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zero lower bound (ZLB), liquidity trap, New Keynesian model, indeterminacy, monetary policy, Taylor rule, Taylor principle, interest rate rule, forward guidance

11.

Cross-Sectional Inflation Risk in Menu Cost Models with Heterogeneous Firms

Number of pages: 38 Posted: 09 Nov 2013
Fernando Duarte and Jonas Mishara-Blomberger
Brown University and Northwestern University
Downloads 65 (623,566)

Abstract:

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inflation, menu costs, new Keynesian, DSGE, cross-section, asset prices, stock returns

12.

Strengthening the Fomc's Framework in View of the Effective Lower Bound and Some Considerations Related to Time-Inconsistent Strategies

FEDS Working Paper No. 2020-67
Number of pages: 42 Posted: 02 Sep 2020
Brown University, Board of Governors of the Federal Reserve System, Federal Reserve Bank of Chicago and Board of Governors of the Federal Reserve System
Downloads 61 (643,848)

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13.

An Interest Rate Rule to Uniquely Implement the Optimal Equilibrium in a Liquidity Trap

FRB of New York Economics and Finance Paper No. 745
Number of pages: 41 Posted: 07 Sep 2017
Fernando Duarte and Anna Zabai
Brown University and Bank for International Settlements (BIS)
Downloads 27 (876,756)

Abstract:

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zero lower bound, ZLB, liquidity trap, New Keynesian model, indeterminacy, monetary policy, Taylor rule, Taylor principle, interest rate rule, forward guidance

14.

Monetary Policy and Financial Conditions: A Cross-Country Study

CEPR Discussion Paper No. DP12681
Number of pages: 24 Posted: 05 Feb 2018
International Monetary Fund, Brown University, International Monetary Fund and International Monetary Fund (IMF)
Downloads 0 (1,122,944)
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financial conditions, Financial Stability, monetary policy