Ric Colacito

University of North Carolina Kenan-Flagler Business School

Professor of Finance

Kenan-Flagler Business School

Chapel Hill, NC 27599-3490

United States

http://drric.web.unc.edu/

NBER

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

  • University of North Carolina Kenan-Flagler Business School

  • NBER

SCHOLARLY PAPERS

26

DOWNLOADS
Rank 4,831

SSRN RANKINGS

Top 4,831

in Total Papers Downloads

14,556

SSRN CITATIONS
Rank 2,683

SSRN RANKINGS

Top 2,683

in Total Papers Citations

402

CROSSREF CITATIONS

225

Scholarly Papers (26)

Actions:
Email selected abstracts
1.

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
Ric Colacito and Mariano (Max) Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and Finance Department, Bocconi University
Downloads 1,828 (16,241)
Citation 18

Abstract:

Loading...

Exchange rates, international financial markets, long-run risks

2.

Business Cycles and Currency Returns

Downloads 1,485 (22,367)
Citation 27

Business Cycles and Currency Returns

Number of pages: 74 Posted: 31 Jan 2017 Last Revised: 13 Sep 2019
Ric Colacito, Steven Riddiough and Lucio Sarno
University of North Carolina Kenan-Flagler Business School, University of Toronto and University of Cambridge - Judge Business School
Downloads 1,410 (23,733)
Citation 10

Abstract:

Loading...

exchange rates; currency risk premium; business cycles; long-run risk.

Business Cycles and Currency Returns

NBER Working Paper No. w26299
Number of pages: 75 Posted: 23 Sep 2019 Last Revised: 12 May 2023
Ric Colacito, Steven Riddiough and Lucio Sarno
University of North Carolina Kenan-Flagler Business School, University of Toronto and University of Cambridge - Judge Business School
Downloads 74 (549,084)

Abstract:

Loading...

Business Cycles and Currency Returns

CEPR Discussion Paper No. DP14015
Number of pages: 77 Posted: 07 Oct 2019
Ric Colacito, Lucio Sarno and Steven Riddiough
University of North Carolina Kenan-Flagler Business School, University of Cambridge - Judge Business School and University of Toronto
Downloads 1 (1,093,101)
Citation 27
  • Add to Cart

Abstract:

Loading...

business cycles, currency risk premium, Exchange Rates, Long-run risk

3.

International Asset Pricing with Recursive Preferences

Downloads 1,357 (25,567)
Citation 42

International Asset Pricing with Recursive Preferences

Journal of Finance, Volume 68, Issue 6, December 2013
Number of pages: 53 Posted: 23 Jul 2010 Last Revised: 10 Mar 2017
Ric Colacito and Mariano (Max) Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and Finance Department, Bocconi University
Downloads 697 (64,003)
Citation 3

Abstract:

Loading...

International Asset Pricing with Recursive Preferences

Journal of Finance, 2013, AFA 2013 San Diego Meetings Paper
Number of pages: 53 Posted: 14 Mar 2012 Last Revised: 10 Mar 2017
Ric Colacito and Mariano (Max) Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and Finance Department, Bocconi University
Downloads 660 (68,653)
Citation 43

Abstract:

Loading...

Recursive preferences, risk-sharing, exchange rate

4.

Currency Risk Factors in a Recursive Multi-Country Economy

Journal of Finance, Forthcoming, Simon Business School Working Paper No. FR 15-10, INSEAD Working Paper No. 2015/40/FIN
Number of pages: 51 Posted: 24 Dec 2014 Last Revised: 25 Aug 2018
Ric Colacito, Mariano (Max) Massimiliano Croce, Federico Gavazzoni and Robert C. Ready
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, BI - Norwegian Business School and University of Oregon - Department of Finance
Downloads 984 (40,660)
Citation 9

Abstract:

Loading...

Recursive Risk Sharing, Carry Trade, Currency Risk Factors

5.

A Component Model for Dynamic Correlations

Journal of Econometrics, Forthcoming
Number of pages: 51 Posted: 09 Mar 2009 Last Revised: 15 Nov 2013
Ric Colacito, Robert F. Engle and Eric Ghysels
University of North Carolina Kenan-Flagler Business School, New York University (NYU) - Department of Finance and University of North Carolina Kenan-Flagler Business School
Downloads 955 (42,396)
Citation 7

Abstract:

Loading...

6.

Concealed Carry

Number of pages: 93 Posted: 10 Feb 2021 Last Revised: 15 Nov 2023
Spencer Andrews, Ric Colacito, Mariano (Max) Massimiliano Croce and Federico Gavazzoni
Office of Financial Research, US Dept of the Treasury, University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University and BI - Norwegian Business School
Downloads 856 (49,271)

Abstract:

Loading...

Currency Risk, Carry Trade, Inflation Risk

7.

Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory

Number of pages: 56 Posted: 06 Dec 2012 Last Revised: 22 Aug 2015
Ric Colacito, Eric Ghysels, Jinghan Meng and Wasin Siwasarit
University of North Carolina Kenan-Flagler Business School, University of North Carolina Kenan-Flagler Business School, University of Hong Kong and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 796 (54,417)
Citation 11

Abstract:

Loading...

Skewness, Consumption, Macro-Finance, Recursive Preferences

8.

Volatility Risk Pass-Through

Downloads 795 (54,522)
Citation 5

Volatility Risk Pass-Through

Number of pages: 66 Posted: 27 Nov 2015 Last Revised: 18 Oct 2021
Ric Colacito, Mariano (Max) Massimiliano Croce, Yang Liu and Ivan Shaliastovich
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin - Madison
Downloads 712 (62,277)
Citation 3

Abstract:

Loading...

Volatility pass-through, foreign exchange disconnect, risk sharing

Volatility Risk Pass-Through

NBER Working Paper No. w25276
Number of pages: 51 Posted: 19 Nov 2018 Last Revised: 26 Jul 2023
Ric Colacito, Mariano (Max) Massimiliano Croce, Yang Liu and Ivan Shaliastovich
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin - Madison
Downloads 83 (512,207)

Abstract:

Loading...

Volatility Risk Pass-Through

CEPR Discussion Paper No. DP13325
Number of pages: 53 Posted: 19 Nov 2018
Ric Colacito, Mariano (Max) Massimiliano Croce, Yang Liu and Ivan Shaliastovich
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin - Madison
Downloads 0
  • Add to Cart

Abstract:

Loading...

foreign exchange disconnect, Risk Sharing, Volatility pass-through

Volatility Risk Pass-Through

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Posted: 01 Oct 2018 Last Revised: 29 Apr 2021
Ric Colacito, Mariano (Max) Massimiliano Croce, Yang Liu and Ivan Shaliastovich
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin - Madison

Abstract:

Loading...

Volatility, International Risk Sharing, Exchange Rate

9.

Temperatures and Growth: A Panel Analysis of the United States

Journal of Money, Credit, and Banking, 51 (2-3), 2019, 313-368
Number of pages: 76 Posted: 10 Jan 2015 Last Revised: 09 Jun 2019
Ric Colacito, Bridget Hoffmann and Toan Phan
University of North Carolina Kenan-Flagler Business School, Inter-American Development Bank and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 629 (73,982)
Citation 33

Abstract:

Loading...

temperatures, growth, climate change, industry analysis

10.

Testing and Valuing Dynamic Correlations for Asset Allocation

Journal of Business and Economic Statistics, Vol. 24, N. 2,, pp. 238-253, April 2006
Number of pages: 48 Posted: 15 Sep 2008
Robert F. Engle and Ric Colacito
New York University (NYU) - Department of Finance and University of North Carolina Kenan-Flagler Business School
Downloads 614 (76,211)
Citation 23

Abstract:

Loading...

GARCH, DCC, Forecast Evaluation

11.

The Term Structures of Coentropy in International Financial Markets

Fisher College of Business Working Paper No. 2013-03-17, Charles A. Dice Center Working Paper No. 2013-17
Number of pages: 54 Posted: 24 Oct 2013 Last Revised: 22 Sep 2017
Fousseni Chabi-Yo and Ric Colacito
University of Massachusetts Amherst - Isenberg School of Management and University of North Carolina Kenan-Flagler Business School
Downloads 592 (79,733)
Citation 14

Abstract:

Loading...

12.

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

Number of pages: 62 Posted: 23 Jul 2010 Last Revised: 14 Apr 2020
Ric Colacito, Mariano (Max) Massimiliano Croce and Zhao Liu
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University and Duke University, Department of Economics
Downloads 456 (109,837)
Citation 6

Abstract:

Loading...

13.

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
Ric Colacito and Mariano (Max) Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and Finance Department, Bocconi University
Downloads 438 (115,111)
Citation 5

Abstract:

Loading...

14.

Global Sales, International Currencies and the Currency Denomination of Debt

Number of pages: 65 Posted: 22 Mar 2021 Last Revised: 21 Sep 2023
Ric Colacito, Yan Qian and Andreas Stathopoulos
University of North Carolina Kenan-Flagler Business School, University of North Carolina at Chapel Hill and University of North Carolina (UNC) at Chapel Hill
Downloads 433 (116,681)

Abstract:

Loading...

International bonds, exchange rates

15.

International Asset Pricing with Risk-Sensitive Agents

Number of pages: 41 Posted: 05 Feb 2010 Last Revised: 03 Oct 2012
Ric Colacito and Mariano (Max) Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and Finance Department, Bocconi University
Downloads 380 (135,567)
Citation 2

Abstract:

Loading...

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

16.

'O Sole Mio: An Experimental Analysis of Weather and Risk Attitudes in Financial Decisions

Number of pages: 38 Posted: 12 Nov 2011 Last Revised: 30 Nov 2013
Anna Bassi, Ric Colacito and Paolo Fulghieri
UNC Chapel Hill, University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School
Downloads 350 (148,399)
Citation 13

Abstract:

Loading...

Experiments, Risk Aversion, Weather, Sunshine

17.

Term Structure of Risk, the Role of Known and Unknown Risks and Non-Stationary Distributions

Downloads 309 (169,501)
Citation 1

Term Structure of Risk, the Role of Known and Unknown Risks and Non-Stationary Distributions

THE KNOWN, THE UNKNOWN AND THE UNKNOWABLE IN FINANCIAL RISK MANAGEMENT, F.X. Diebold, ed., Forthcoming
Number of pages: 25 Posted: 14 Sep 2008
Ric Colacito and Robert F. Engle
University of North Carolina Kenan-Flagler Business School and New York University (NYU) - Department of Finance
Downloads 186 (276,673)

Abstract:

Loading...

Term Structure of Risk, the Role of Known and Unknown Risks and Non-Stationary Distributions

NYU Working Paper No. FIN-08-040
Number of pages: 25 Posted: 09 Mar 2009
Ric Colacito and Robert F. Engle
University of North Carolina Kenan-Flagler Business School and New York University (NYU) - Department of Finance
Downloads 123 (389,858)

Abstract:

Loading...

18.

International Robust Disagreement

American Economic Review, Vol. 102, No. 2, May 2012
Number of pages: 5 Posted: 14 Jan 2012
Ric Colacito and Mariano (Max) Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and Finance Department, Bocconi University
Downloads 281 (186,998)

Abstract:

Loading...

Robustness, Disagreement, International

19.

Volatility (Dis)Connect in International Markets

Downloads 228 (229,944)

Volatility (Dis)Connect in International Markets

Number of pages: 58 Posted: 28 Jan 2022 Last Revised: 04 Jun 2023
Ric Colacito, Mariano (Max) Massimiliano Croce, Yang Liu and Ivan Shaliastovich
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin - Madison
Downloads 228 (229,198)

Abstract:

Loading...

Volatility risk, foreign exchange disconnect, risk sharing

Volatility (Dis)Connect in International Markets

CEPR Discussion Paper No. DP17101
Number of pages: 43 Posted: 29 Mar 2022
Ric Colacito, Mariano (Max) Massimiliano Croce, Yang Liu and Ivan Shaliastovich
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin - Madison
Downloads 0
  • Add to Cart

Abstract:

Loading...

foreign exchange disconnect, Risk Sharing, volatility risk

20.

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

Number of pages: 16 Posted: 14 Sep 2008
Ric Colacito and Mariano (Max) Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and Finance Department, Bocconi University
Downloads 189 (273,221)
Citation 18

Abstract:

Loading...

21.

Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory. Online Appendix.

Number of pages: 61 Posted: 02 Apr 2015 Last Revised: 22 Aug 2015
Ric Colacito, Eric Ghysels, Jinghan Meng and Wasin Siwasarit
University of North Carolina Kenan-Flagler Business School, University of North Carolina Kenan-Flagler Business School, University of Hong Kong and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 177 (289,401)
Citation 5

Abstract:

Loading...

Skewness, Consumption, Macro-Finance, Recursive Preferences

22.

On the Existence of the Exchange Rate When Agents Have Complete Home Bias and Non-Time Separable Preferences

Number of pages: 9 Posted: 14 Sep 2008
Ric Colacito
University of North Carolina Kenan-Flagler Business School
Downloads 170 (299,659)
Citation 3

Abstract:

Loading...

23.

Robustness and U.S. Monetary Policy Experimentation

Journal of Money, Credit, and Banking, Forthcoming
Number of pages: 29 Posted: 18 Sep 2008
Timothy Cogley, Ric Colacito, Lars Peter Hansen and Thomas J. Sargent
Leonard N. Stern School of Business - Department of Economics, University of North Carolina Kenan-Flagler Business School, University of Chicago - Department of Economics and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 149 (334,809)
Citation 15

Abstract:

Loading...

Learning, model uncertainty, Bayes' law, Phillips curve, experimentation, robustness, pessimism, entropy

24.

Benefits from U.S. Monetary Policy Experimentation in the Days of Samuelson and Solow and Lucas

Journal of Money, Credit, and Banking, Vol. 39, No. 2, 2007
Number of pages: 34 Posted: 15 Sep 2008
Timothy Cogley, Ric Colacito and Thomas J. Sargent
Leonard N. Stern School of Business - Department of Economics, University of North Carolina Kenan-Flagler Business School and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 105 (435,523)
Citation 1

Abstract:

Loading...

25.

Currency Risk Factors in a Recursive Multicountry Economy

CEPR Discussion Paper No. DP12610
Number of pages: 79 Posted: 22 Jan 2018
Ric Colacito, Mariano (Max) Massimiliano Croce, Federico Gavazzoni and Robert Ready
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, BI - Norwegian Business School and University of Rochester
Downloads 0 (1,057,954)
Citation 33
  • Add to Cart

Abstract:

Loading...

26.

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

Downloads 0 (54,959)

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

CEPR Discussion Paper No. DP12783
Number of pages: 82 Posted: 13 Mar 2018
Ric Colacito, Mariano (Max) Massimiliano Croce, Steven Wei Ho and Philip Howard
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, University of Nevada, Las Vegas and Wake Forest University - School of Business
Downloads 0
Citation 7
  • Add to Cart

Abstract:

Loading...

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

Posted: 18 Nov 2012 Last Revised: 10 Mar 2017
Ric Colacito, Mariano (Max) Massimiliano Croce, Steven Wei Ho and Philip Howard
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, University of Nevada, Las Vegas and Wake Forest University - School of Business

Abstract:

Loading...

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