Richard K. Crump

Federal Reserve Banks - Federal Reserve Bank of New York

33 Liberty Street

New York, NY 10045

United States

SCHOLARLY PAPERS

17

DOWNLOADS
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Top 18,162

in Total Papers Downloads

2,014

CITATIONS
Rank 6,826

SSRN RANKINGS

Top 6,826

in Total Papers Citations

71

Scholarly Papers (17)

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 731 (25,661)
Citation 12

Abstract:

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

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 137 (167,919)

Abstract:

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 89 (230,572)

Abstract:

TIPS, inflation expectations, affine term structure models

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

FRB of New York Staff Report No. 723
Number of pages: 79 Posted: 14 Apr 2015
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 115 (192,584)

Abstract:

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

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: 79 Posted: 18 Aug 2015
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 75 (256,484)

Abstract:

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

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 169 (140,185)

Abstract:

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

Abstract:

Dynamic Asset Pricing, Fama-MacBeth Regressions, GMM, Minimum Distance Estimation, Reduced Rank Regression, Time-varying Betas

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 88 (232,250)
Citation 6

Abstract:

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
Federal Reserve Banks - Federal Reserve Bank of New York, Duke University, Stanford Graduate School of Business and Inter-American Development Bank
Downloads 40 (349,165)
Citation 6

Abstract:

6.
Downloads 125 (179,955)

Fundamental Disagreement

FRB of New York Staff Report No. 655
Number of pages: 52 Posted: 11 Jan 2014 Last Revised: 07 Dec 2014
Banque de France, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 92 (225,656)

Abstract:

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
Banque de France, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 33 (375,336)

Abstract:

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

7.

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 88 (220,842)
Citation 22

Abstract:

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

8.

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 32 (359,295)
Citation 4

Abstract:

Semiparametric estimation, density-weighted average derivatives

9.

Subjective Intertemporal Substitution

FRB of New York Staff Report No. 734
Number of pages: 25 Posted: 24 Jul 2015
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 31 (374,133)

Abstract:

subjective expectations, inflation expectations, Euler equation, elasticity of

10.

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 22 (391,014)
Citation 20

Abstract:

11.

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 18 (425,218)

Abstract:

Averaged derivatives, Bootstrap, Small bandwidth asymptotics

12.

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 17 (440,519)
Citation 1

Abstract:

Instrumental variables regression, weak instruments, adaptive estimation

13.

Fertility and the Personal Exemption: Comment

NBER Working Paper No. w15984
Number of pages: 24 Posted: 17 May 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 6 (480,992)

Abstract:

14.

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 5 (485,880)
Citation 3

Abstract:

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

15.

Characteristic-Sorted Portfolios: Estimation and Inference

FRB of NY Staff Report No. 788
Number of pages: 46 Posted: 15 Aug 2016
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 0 (204,794)

Abstract:

portfolio sorts, stock market anomalies, firm characteristics, nonparametric estimation, partitioning, cross-sectional regressions

16.

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 (531,865)

Abstract:

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

17.

The Term Structure of Expectations and Bond Yields

FRB of NY Staff Report No. 775
Number of pages: 106 Posted: 31 May 2016
Richard K. Crump, Stefano Eusepi and Emanuel Moench
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 0 (213,282)

Abstract:

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