Mariano Massimiliano Croce

University of North Carolina Kenan-Flagler Business School

Associate Professor of Finance

McColl Builiding

Chapel Hill, NC North Carolina 27599-3490

United States

http://dl.dropboxusercontent.com/u/17690403/mmc_site/public_html/index.htm

SCHOLARLY PAPERS

22

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11,209

CITATIONS
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Top 3,063

in Total Papers Citations

179

Scholarly Papers (22)

1.

Long-Run Productivity Risk: A New Hope for Production-Based Asset Pricing?

Journal of Monetary Economics, Forthcoming
Number of pages: 45 Posted: 18 Mar 2008 Last Revised: 16 Apr 2014
Mariano Massimiliano Croce
University of North Carolina Kenan-Flagler Business School
Downloads 1,662 (7,201)
Citation 25

Abstract:

Production, Long-Run Risk, Asset Pricing

2.

Risks for the Long-Run and the Real Exchange Rate

Journal of Political Economy, Vol. 119, No. 1, 2011
Number of pages: 34 Posted: 14 Mar 2008 Last Revised: 03 Oct 2012
Riccardo Colacito and Mariano Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School
Downloads 1,289 (8,312)
Citation 38

Abstract:

Exchange rates, international financial markets, long-run risks

International Asset Pricing with Recursive Preferences

Journal of Finance, Forthcoming
Number of pages: 53 Posted: 23 Jul 2010 Last Revised: 24 Jan 2013
Riccardo Colacito and Mariano Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School
Downloads 511 (41,137)
Citation 2

Abstract:

International Asset Pricing with Recursive Preferences

Journal of Finance, Forthcoming, AFA 2013 San Diego Meetings Paper
Number of pages: 53 Posted: 14 Mar 2012 Last Revised: 24 Jan 2013
Riccardo Colacito and Mariano Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School
Downloads 476 (45,041)
Citation 2

Abstract:

Recursive preferences, risk-sharing, exchange rate

4.

Fiscal Policies and Asset Prices

Review of Financial Studies, Forthcoming
Number of pages: 47 Posted: 15 Jun 2011 Last Revised: 03 Oct 2012
Mariano Massimiliano Croce, Howard Kung, Thien Tung Nguyen and Lukas Schmid
University of North Carolina Kenan-Flagler Business School, London Business School, Ohio State University (OSU) - Department of Finance and Duke University - The Fuqua School of Business
Downloads 908 (15,381)
Citation 10

Abstract:

cost of equity, corporate tax uncertainty, tax smoothing

5.

Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital

Review of Financial Studies, Forthcoming
Number of pages: 61 Posted: 15 Mar 2010 Last Revised: 03 Oct 2012
Hengjie Ai, Mariano Massimiliano Croce and Kai Li
University of Minnesota - Carlson School of Management, University of North Carolina Kenan-Flagler Business School and Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management
Downloads 856 (17,446)
Citation 11

Abstract:

Asset Pricing, General Equilibrium, Intangible Capital, Value Premium

6.

Fiscal Policy and the Distribution of Consumption Risk

Number of pages: 49 Posted: 29 Jun 2011 Last Revised: 18 Oct 2013
Mariano Massimiliano Croce, Thien Tung Nguyen and Lukas Schmid
University of North Carolina Kenan-Flagler Business School, Ohio State University (OSU) - Department of Finance and Duke University - The Fuqua School of Business
Downloads 623 (27,209)
Citation 5

Abstract:

Fiscal Policy, Endogenous Growth, Recursive Preferences, Welfare Costs

News Shocks and Production-Based Term Structure of Equity Returns

Number of pages: 48 Posted: 18 Nov 2012 Last Revised: 14 Apr 2015
Hengjie Ai, Mariano Massimiliano Croce, Anthony M. Diercks and Kai Li
University of Minnesota - Carlson School of Management, University of North Carolina Kenan-Flagler Business School, Board of Governors of the Federal Reserve System: Monetary and Financial Market Analysis and Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management
Downloads 516 (40,726)

Abstract:

News Shocks, Learning, Term Structure of Equity, Duration

Production-Based Term Structure of Equity Returns

UNC Kenan-Flagler Research Paper No. 2336099
Number of pages: 42 Posted: 09 Oct 2013
Mariano Massimiliano Croce, Hengjie Ai, Anthony M. Diercks and Kai Li
University of North Carolina Kenan-Flagler Business School, University of Minnesota - Carlson School of Management, Board of Governors of the Federal Reserve System: Monetary and Financial Market Analysis and Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management
Downloads 67 (274,060)

Abstract:

Term Structure, Duration, Value Premium

8.

The Market Price of Fiscal Uncertainty

Carnegie-Rochester Conference Series on Public Policy, Forthcoming
Number of pages: 41 Posted: 01 Nov 2011 Last Revised: 03 Oct 2012
Mariano Massimiliano Croce, Thien Tung Nguyen and Lukas Schmid
University of North Carolina Kenan-Flagler Business School, Ohio State University (OSU) - Department of Finance and Duke University - The Fuqua School of Business
Downloads 507 (34,327)
Citation 7

Abstract:

Robustness, Endogenous Growth, Asset Prices

9.

BKK the EZ Way: International Long-Run Growth News and Capital Flows

Number of pages: 50 Posted: 18 Nov 2012 Last Revised: 21 Aug 2014
Riccardo Colacito, Mariano Massimiliano Croce, Steven Wei Ho and Philip Howard
University of North Carolina Kenan-Flagler Business School, University of North Carolina Kenan-Flagler Business School, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Wake Forest University - School of Business
Downloads 480 (33,412)

Abstract:

International Investment Flows, Long-Run Growth News, Recursive Preferences

10.

International Asset Pricing with Risk-Sensitive Agents

Number of pages: 41 Posted: 05 Feb 2010 Last Revised: 03 Oct 2012
Riccardo Colacito and Mariano Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School
Downloads 316 (72,601)
Citation 2

Abstract:

Recursive Preferences, time-varying volatility, international finance, exchange rates

11.

The Short- and Long-Run Benefits of Financial Integration

American Economic Review, Papers and Proceedings, May 2010
Number of pages: 5 Posted: 04 Feb 2010
Riccardo Colacito and Mariano Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School
Downloads 300 (71,102)
Citation 3

Abstract:

12.

Recursive Allocations and Wealth Distribution with Multiple Goods: Existence, Survivorship, and Dynamics

Number of pages: 39 Posted: 23 Jul 2010 Last Revised: 17 May 2014
Riccardo Colacito and Mariano Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School
Downloads 218 (84,447)
Citation 1

Abstract:

Investor Information, Long-Run Risk, and the Duration of Risky Cash Flows

AFA 2008 New Orleans Meetings, AFA 2009 San Francisco Meetings Paper
Number of pages: 59 Posted: 26 Feb 2007
Mariano Massimiliano Croce, Martin Lettau and Sydney C. Ludvigson
University of North Carolina Kenan-Flagler Business School, University of California - Haas School of Business and New York University - Department of Economics
Downloads 108 (201,964)
Citation 30

Abstract:

Investor Information, Long-Run Risk, and the Duration of Risky Cash Flows

NYU Working Paper No. FIN-06-011
Number of pages: 58 Posted: 03 Nov 2008
Mariano Massimiliano Croce, Martin Lettau and Sydney C. Ludvigson
University of North Carolina Kenan-Flagler Business School, University of California - Haas School of Business and New York University - Department of Economics
Downloads 59 (293,253)
Citation 30

Abstract:

Investor Information, Long-Run Risk, and the Term Structure of Equity

NBER Working Paper No. w12912
Number of pages: 57 Posted: 17 Feb 2007
Mariano Massimiliano Croce, Martin Lettau and Sydney C. Ludvigson
University of North Carolina Kenan-Flagler Business School, University of California - Haas School of Business and New York University - Department of Economics
Downloads 36 (364,243)
Citation 30

Abstract:

14.

International Robust Disagreement

American Economic Review, Vol. 102, No. 2, May 2012
Number of pages: 5 Posted: 14 Jan 2012
Riccardo Colacito and Mariano Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School
Downloads 181 (118,020)
Citation 3

Abstract:

Robustness, Disagreement, International

15.

Currency Risk Factors in a Recursive Multi-Country Economy

INSEAD Working Paper No. 2015/40/FIN, Simon Business School Working Paper No. FR 15-10
Number of pages: 73 Posted: 24 Dec 2014 Last Revised: 25 Nov 2015
Riccardo Colacito, Mariano Massimiliano Croce, Federico Gavazzoni and Robert C. Ready
University of North Carolina Kenan-Flagler Business School, University of North Carolina Kenan-Flagler Business School, INSEAD and University of Rochester - Simon Business School
Downloads 168 (63,782)

Abstract:

Recursive Risk Sharing, Carry Trade, Currency Risk Factors

16.

Welfare Costs in the Long Run

UNC Kenan-Flagler Research Paper No. 2013-3
Number of pages: 29 Posted: 18 May 2012 Last Revised: 12 Nov 2013
Mariano Massimiliano Croce
University of North Carolina Kenan-Flagler Business School
Downloads 138 (134,664)
Citation 1

Abstract:

Welfare Costs, Long-Run Risk, Asset Pricing, Recursive Utility

17.

Risks for the Long Run and the Real Exchange Rate: Technical Appendix

Number of pages: 16 Posted: 14 Sep 2008
Riccardo Colacito and Mariano Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School
Downloads 123 (172,684)
Citation 35

Abstract:

18.

Global Entropy

Number of pages: 53 Posted: 16 Feb 2014 Last Revised: 11 Sep 2015
Mariano Massimiliano Croce, Thien Tung Nguyen and Lukas Schmid
University of North Carolina Kenan-Flagler Business School, Ohio State University (OSU) - Department of Finance and Duke University - The Fuqua School of Business
Downloads 9 (315,649)

Abstract:

Global Growth, Entropy, Contagion

19.

Uncertainty-Induced Reallocations and the Macroeconomy

Number of pages: 50 Posted: 18 Nov 2016 Last Revised: 19 Nov 2016
Ravi Bansal, Mariano Massimiliano Croce, Wenxi Liao and Samuel Rosen
Duke University and NBER, University of North Carolina Kenan-Flagler Business School, Fuqua School of Business, Duke University and University of North Carolina, Kenan-Flagler Business School
Downloads 0 (349,383)

Abstract:

Uncertainty shocks, Reallocation, Safe Public Capital.

20.

Government Debt and the Returns to Innovation

Fisher College of Business Working Paper No. 2016-03-10, Charles A. Dice Center Working Paper No. 2016-10
Number of pages: 66 Posted: 24 May 2016 Last Revised: 23 Nov 2016
Mariano Massimiliano Croce, Thien Tung Nguyen, Steve Raymond and Lukas Schmid
University of North Carolina Kenan-Flagler Business School, Ohio State University (OSU) - Department of Finance, University of North Carolina (UNC) at Chapel Hill - Department of Economics and Duke University - The Fuqua School of Business
Downloads 0 (133,286)

Abstract:

Government Debt, Fiscal Uncertainty, Cross Section of Stock Returns, Predictability, R&D, Growth

21.

Volatility Risk Pass-Through

Number of pages: 56 Posted: 27 Nov 2015
Riccardo Colacito, Mariano Massimiliano Croce, Yang Liu and Ivan Shaliastovich
University of North Carolina Kenan-Flagler Business School, University of North Carolina Kenan-Flagler Business School, University of Pennsylvania and University of Wisconsin - Madison
Downloads 0 (174,776)

Abstract:

22.

The Leading Premium

Number of pages: 46 Posted: 20 Nov 2015 Last Revised: 09 Feb 2016
Mariano Massimiliano Croce, Tatyana Marchuk and Christian Schlag
University of North Carolina Kenan-Flagler Business School, Goethe University Frankfurt and Goethe University Frankfurt - Research Center SAFE
Downloads 0 (154,729)

Abstract: