Richard K. Crump

Federal Reserve Banks - Federal Reserve Bank of New York

33 Liberty Street

New York, NY 10045

United States

SCHOLARLY PAPERS

22

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2,907

CITATIONS
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in Total Papers Citations

248

Scholarly Papers (22)

1.

Pricing the Term Structure with Linear Regressions

FRB of New York Staff Report No. 340
Number of pages: 68 Posted: 22 Mar 2009 Last Revised: 07 May 2013
Tobias Adrian, Richard K. Crump and Emanuel Moench
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 1,049 (19,847)
Citation 137

Abstract:

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term structure of interest rates, Fama-MacBeth regressions, dynamic asset pricing model estimation

2.

Nonlinearity and Flight to Safety in the Risk-Return Trade-Off for Stocks and Bonds

FRB of NY Staff Report No. 723
Number of pages: 116 Posted: 18 Aug 2015 Last Revised: 05 Dec 2017
Tobias Adrian, Richard K. Crump and Erik Vogt
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 279 (107,691)
Citation 2

Abstract:

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flight to safety, risk-return trade-off, dynamic asset pricing, volatility, nonparametric estimation and inference, intermediary asset pricing, asset management

3.
Downloads 277 (108,541)
Citation 33

Decomposing Real and Nominal Yield Curves

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 62 Posted: 03 Sep 2012 Last Revised: 07 Dec 2013
Massachusetts Institute of Technology (MIT) - Sloan School of Management, International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 158 (185,265)
Citation 34

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TIPS, inflation expectations, affine term structure models

Pricing TIPS and Treasuries with Linear Regressions

FRB of New York Staff Report No. 570
Number of pages: 57 Posted: 22 Sep 2012 Last Revised: 07 May 2013
Massachusetts Institute of Technology (MIT) - Sloan School of Management, International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 119 (232,790)
Citation 1

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TIPS, inflation expectations, affine term structure models

4.

The Term Structure of Expectations and Bond Yields

FRB of NY Staff Report No. 775
Number of pages: 88 Posted: 31 May 2016 Last Revised: 11 Apr 2018
Richard K. Crump, Stefano Eusepi and Emanuel Moench
Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin and Deutsche Bundesbank
Downloads 217 (138,946)
Citation 6

Abstract:

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term premiums, expectations formation, survey forecasts, monetary policy, business cycle fluctuations

5.

Characteristic-Sorted Portfolios: Estimation and Inference

FRB of NY Staff Report No. 788
Number of pages: 58 Posted: 15 Aug 2016 Last Revised: 15 Mar 2019
University of Michigan at Ann Arbor - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of New York, University of Chicago - Booth School of Business - Econometrics and Statistics and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 213 (141,418)
Citation 2

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portfolio sorts, nonparametric estimation, partitioning, tuning parameter selection

Regression-Based Estimation of Dynamic Asset Pricing Models

FRB of New York Staff Report No. 493
Number of pages: 55 Posted: 12 May 2011 Last Revised: 09 Dec 2014
Tobias Adrian, Richard K. Crump and Emanuel Moench
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 204 (147,049)
Citation 4

Abstract:

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dynamic asset pricing, Fama-MacBeth regression, financial econometrics, GMM, minimum distance estimation, reduced rank regression

Regression Based Estimation of Dynamic Asset Pricing Models

CEPR Discussion Paper No. DP10449
Number of pages: 56 Posted: 02 Mar 2015
Tobias Adrian, Richard K. Crump and Emanuel Moench
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 0
Citation 9
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Dynamic Asset Pricing, Fama-MacBeth Regressions, GMM, Minimum Distance Estimation, Reduced Rank Regression, Time-varying Betas

7.
Downloads 151 (192,185)
Citation 13

Nonparametric Tests for Treatment Effect Heterogeneity

IZA Discussion Paper No. 2091
Number of pages: 34 Posted: 25 Apr 2006
Federal Reserve Banks - Federal Reserve Bank of New York, Duke University, Stanford Graduate School of Business and Inter-American Development Bank
Downloads 92 (278,731)

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average treatment effects, causality, unconfoundedness, treatment effect

Nonparametric Tests for Treatment Effect Heterogeneity

NBER Working Paper No. t0324
Number of pages: 45 Posted: 29 Jun 2006 Last Revised: 28 Aug 2006
Federal Reserve Banks - Federal Reserve Bank of New York, Duke University, Stanford Graduate School of Business and Inter-American Development Bank
Downloads 59 (360,429)
Citation 28

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8.
Downloads 138 (206,718)
Citation 42

Fundamental Disagreement

FRB of New York Staff Report No. 655
Number of pages: 52 Posted: 11 Jan 2014 Last Revised: 07 Dec 2014
Federal Reserve Banks - Federal Reserve Bank of Boston, Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin and Deutsche Bundesbank
Downloads 103 (258,480)
Citation 4

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expectations, survey forecasts, imperfect information, term structure of disagreement

Fundamental Disagreement

Banque de France Working Paper No. 524
Number of pages: 57 Posted: 29 Nov 2014
Federal Reserve Banks - Federal Reserve Bank of Boston, Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin and Deutsche Bundesbank
Downloads 35 (449,867)
Citation 44

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Expectations, survey forecasts, imperfect information, term structure of disagreement

9.

Moving the Goalposts: Addressing Limited Overlap in Estimation of Average Treatment Effects by Changing the Estimand

IZA Discussion Paper No. 2347
Number of pages: 49 Posted: 01 Nov 2006
Federal Reserve Banks - Federal Reserve Bank of New York, Duke University, Stanford Graduate School of Business and Inter-American Development Bank
Downloads 98 (265,601)
Citation 83

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average treatment effects, causality, unconfoundedness, overlap, treatment effect heterogeneity

10.

Subjective Intertemporal Substitution

FRB of New York Staff Report No. 734
Number of pages: 56 Posted: 24 Jul 2015 Last Revised: 17 Mar 2019
Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 64 (341,285)
Citation 20

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subjective expectations, inflation expectations, Euler equation, elasticity of

11.

Deconstructing the Yield Curve

FRB of New York Staff Report No. 884
Number of pages: 67 Posted: 10 Apr 2019 Last Revised: 16 May 2019
Richard K. Crump and Nikolay Gospodinov
Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of Atlanta
Downloads 47 (393,973)

Abstract:

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term structure of interest rates, factor models, principal components, bond risk premiums, resampling-based inference

12.

Small Bandwidth Asymptotics for Density-Weighted Average Derivatives

CREATES Research Paper 2008-24
Number of pages: 34 Posted: 25 Jun 2008
Matias D. Cattaneo, Richard K. Crump and Michael Jansson
University of Michigan at Ann Arbor - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of New York and University of California, Berkeley - Department of Economics
Downloads 39 (423,280)
Citation 6

Abstract:

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Semiparametric estimation, density-weighted average derivatives

13.

Moving the Goalposts: Addressing Limited Overlap in the Estimation of Average Treatment Effects by Changing the Estimand

NBER Working Paper No. t0330
Number of pages: 48 Posted: 20 Oct 2006
Federal Reserve Banks - Federal Reserve Bank of New York, Duke University, Stanford Graduate School of Business and Inter-American Development Bank
Downloads 29 (466,635)
Citation 12

Abstract:

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14.

Changing Risk-Return Profiles

FRB of New York Staff Report No. 850
Number of pages: 67 Posted: 15 Jun 2018
Richard K. Crump, Domenico Giannone and Sean Hundtofte
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 26 (481,896)

Abstract:

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stock returns, realized volatility, density forecasts, optimal pools, Dodd-Frank, financial intermediation, financial conditions

15.

Bootstrapping Density-Weighted Average Derivatives

University of Aarhus Economics Working Paper Series
Number of pages: 32 Posted: 21 May 2010
Matias D. Cattaneo, Richard K. Crump and Michael Jansson
University of Michigan at Ann Arbor - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of New York and University of California, Berkeley - Department of Economics
Downloads 22 (504,032)
Citation 4

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Averaged derivatives, Bootstrap, Small bandwidth asymptotics

16.

Optimal Inference for Instrumental Variables Regression with Non-Gaussian Errors

CREATES Research Paper 2007-11
Number of pages: 45 Posted: 23 Jun 2008
Matias D. Cattaneo, Richard K. Crump and Michael Jansson
University of Michigan at Ann Arbor - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of New York and University of California, Berkeley - Department of Economics
Downloads 18 (527,126)
Citation 12

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Instrumental variables regression, weak instruments, adaptive estimation

17.

Fertility and the Personal Exemption: Comment

NBER Working Paper No. w15984
Number of pages: 24 Posted: 17 May 2010 Last Revised: 05 Sep 2010
Richard K. Crump, Gopi Shah Goda and Kevin J. Mumford
Federal Reserve Banks - Federal Reserve Bank of New York, Stanford University and Purdue University
Downloads 10 (574,847)
Citation 5

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18.

Robust Data-Driven Inference for Density-Weighted Average Derivatives

Number of pages: 38 Posted: 02 Oct 2009
Matias D. Cattaneo, Richard K. Crump and Michael Jansson
University of Michigan at Ann Arbor - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of New York and University of California, Berkeley - Department of Economics
Downloads 10 (574,847)
Citation 6

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Average derivatives, Bandwidth selection, Robust inference, Small bandwidth asymptotics

19.

On Binscatter

FRB of New York Staff Report No. 881
Number of pages: 44 Posted: 01 Mar 2019
University of Michigan at Ann Arbor - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of New York, University of Chicago - Booth School of Business - Econometrics and Statistics and University of Michigan, College of Literature, Science and the Arts, Department of Economics, Students
Downloads 7 (593,615)
Citation 1

Abstract:

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binned scatter plot, regressogram, piecewise polynomials, splines, partitioning estimators, nonparametric regression, robust bias correction, uniform inference, binning selection

20.

A Unified Approach to Measuring u*

FRB of New York Staff Report No. 889 (2019)
Number of pages: 76 Posted: 24 May 2019
Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin, Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Bank of New York
Downloads 6 (600,077)
Citation 3

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firm dynamics, demographics, business dynamism, macroeconomics

21.

A Unified Approach to Measuring U

NBER Working Paper No. w25930
Number of pages: 76 Posted: 11 Jun 2019
Federal Reserve Banks - Federal Reserve Bank of New York, Independent, Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Texas at Austin
Downloads 3 (621,476)
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22.

Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds

CEPR Discussion Paper No. DP11401
Number of pages: 81 Posted: 25 Jul 2016
Tobias Adrian, Richard K. Crump and Erik Vogt
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 0 (662,094)
Citation 2
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asset management, dynamic asset pricing, flight-to-safety, intermediary asset pricing, nonparametric estimation and inference, risk-return tradeoff, volatility