Craig Burnside’s RESEARCH

 
 

Working Papers

  1. •Foreign Exchange Order Flow as a Risk Factor, with Mario Cerrato and Zhekai Zhang. NBER Working Paper 27199, May 2020.

  2. •Risk, Volatility, and the Global Cross-Section of Growth Rates, with Alexandra Tabova. NBER Working Paper 15225, August 2009.

 

Publications

  1. •Exchange Rates, Interest Parity, and the Carry Trade. Oxford Research Encyclopedia of Economics and Finance, 2019. Older version here.

  2. •On the Asset Market View of Exchange Rates, with Jeremy Graveline. Review of Financial Studies 33(1), 2020, 239–60.

  3. •Understanding Booms and Busts in Housing Markets, with Martin Eichenbaum and Sergio Rebelo. Journal of Political Economy 124(4), 2016, 1088-147.

  4. •Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns, Journal of Financial Econometrics 14(2), 2016, 295-330.

    1. •This paper replaces Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors, NBER Working Paper 13357. Appendices

  5. •The Carry Trade in Industrialized and Emerging Markets, Journal Economía Chilena 17(2), 2014, 48-78. English version.

  6. •New Zealand’s Risk Premium, New Zealand Economic Papers 47(1), 2013, 27-52.

  7. •Understanding the Profitability of Currency-Trading Strategies, with Martin Eichenbaum and Sergio Rebelo, NBER Reporter, 2012(3),10-14.

  8. •Carry Trades and Risk, in Jessica James, Ian W. Marsh and Lucio Sarno, eds., Handbook of Exchange Rates. Hoboken: John Wiley & Sons, 2012.

  9. •The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment, American Economic Review 101(7), 2011, 3456-76.

    1. •First version, May 2007.

    2. •Second version, February 2009.

    3. •Third version, March 2011.

  10. •Carry Trade and Momentum in Currency Markets, with Martin Eichenbaum and Sergio Rebelo. Annual Review of Financial Economics 3, 511-35.

  11. •Investor Overconfidence and the Forward Premium Puzzle, with Bing Han, David Hirshleifer and Tracy Yue Wang. Review of Economic Studies 78(2), 2011, 523-58.

  12. •Do Peso Problems Explain the Returns to the Carry Trade? with Martin Eichenbaum, Isaac Kleshchelski and Sergio Rebelo. Review of Financial Studies 24(3), 2011, 853-91.

    1. •This paper replaces The Returns to Currency Speculation, which has a more extensive discussion of transactions costs.

  13. •Understanding the Forward Premium Puzzle: A Microstructure Approach, with Martin Eichenbaum and Sergio Rebelo. American Economic Journal: Macroeconomics 1(2), 2009, 127-54.

  14. •Carry Trades and Currency Crashes: A Comment NBER Macroeconomics Annual 2008.

  15. •Carry Trade: The Gains of Diversification, with Martin Eichenbaum and Sergio Rebelo. Journal of the European Economic Association 6(2-3), 2008, 581-8.

  16. •Currency Crisis Models, with Martin Eichenbaum and Sergio Rebelo. The New Palgrave: A Dictionary of Economics, 2nd Edition, 2008.

  17. •The Returns to Currency Speculation in Emerging Markets, with Martin Eichenbaum and Sergio Rebelo. American Economic Review Papers and Proceedings 97(2), 2007, 333-8.

  18. •Government Finance in the Wake of Currency Crises, with Martin Eichenbaum and Sergio Rebelo. Journal of Monetary Economics 53(3), 2006, 401-40. Technical appendix and programs.

  19. •Fiscal Sustainability in Theory and Practice. Washington, DC: World Bank, 2005. Cover and front matter. Available on Amazon.com--please buy a copy and raise my dismal sales ranking!

  20. •Hiccups for HIPCs? Implications of Debt Relief for Government Budgets and Monetary Policy, with Domenico Fanizza. Contributions to Macroeconomics 5(1), 2005, Article 4.

  21. •Government Guarantees and Self-Fulfilling Speculative Attacks, with Martin Eichenbaum and Sergio Rebelo. Journal of Economic Theory 119(1), 2004, 31-63. Technical appendix

  22. •Currency Crises and Contingent Liabilities, Journal of International Economics 62(1), 2004, 25-52.

  23. •Fiscal Shocks and Their Consequences, with Martin Eichenbaum and Jonas Fisher. Journal of Economic Theory 115(1), 2004, 89-117.

  24. •On the Fiscal Implications of Twin Crises, with Martin Eichenbaum and Sergiolivepage.apple.com Rebelo, in Michael P. Dooley and Jeffrey A. Frankel, eds. Managing Currency Crises in Emerging Markets. Chicago: University of Chicago Press, 2003. Technical appendix. Programs.

  25. •Hedging and Financial Fragility in Fixed Exchange Rate Regimes, with Martin Eichenbaum and Sergio Rebelo. European Economic Review 45(7), 2001, 1151-93.

  26. •Prospective Deficits and the Asian Currency Crisis, with Martin Eichenbaum and Sergio Rebelo. Journal of Political Economy 109(6), 2001, 1155-97. (Technical appendix & programs)

  27. •Aid, Policies and Growth, with David Dollar. American Economic Review 90(4), 2000, 847-68.
       Related Material

    1. •Errata:

    2. •The coefficient on aid in Table 4 Column 4 (OLS) should be 0.049 not 0.49.

    3. •The chi-squared statistic reported in Table 4 Column 4 should be 2.14 with a p-value of 0.54. Thanks to Weibin Huang of Xiamen University for leading me to this error.

    4. •Similar to the above, the chi-squared statistic reported in Table 5 Column 7 should be 0.53 with a p-value of 0.91.

    5. •Big data set

    6. •Replication files

    7. •Appendix on the neoclassical model

    8. •Easterly, Levine and Roodman's comment and our response. American Economic Review 94(3), 2004, 774-84.

    9. •Easterly, Levine and Roodman's data


  29. •Fiscal Shocks in an Efficiency Wage Model, with Martin Eichenbaum and Jonas Fisher. In Roger E. Backhouse and Andrea Salanti, eds. Macroeconomics and the Real World, Volume 1: Econometric Techniques and Macroeconomics. Oxford: Oxford University Press, 2000.

  30. •Aid, Growth, the Incentive Regime, and Poverty Reduction, with David Dollar. In Christopher L. Gilbert and David Vines, eds. The World Bank: Structure and Policies. Cambridge: Cambridge University Press, 2000. Also published in Spanish as "La Ayuda, el Sistema de Incentivos y la Reducción de la Pobreza," Informacion Comercial Espanola: Revista De Economia (Spain) 778, 1999, 31-41.

  31. •Understanding the Korean and Thai Currency Crises, with Martin Eichenbaum and Sergio Rebelo. Economic Perspectives 24(3), 2000, 45-60.

  32. •What Caused the Recent Asian Currency Crisis? with Martin Eichenbaum and Sergio Rebelo. In William C. Hunter, George G. Kaufman and Thomas H. Krueger eds. The Asian Financial Crisis: Origins, Implications and Solutions. Boston: Kluwer Academic Publishers, 1999.

  33. •Discrete State-Space Methods for the Study of Dynamic Economies, in Ramon Marimon and Andrew Scott, eds. Computational Methods for the Study of Dynamic Economies. Oxford: Oxford University Press, 1999. (Matlab Code-zipped)

  34. •Solving Asset Pricing Models with Gaussian Shocks, Journal of Economic Dynamics and Control 22(3), 1998, pp. 329-40.

  35. •Detrending and Business Cycle Facts: a Comment, Journal of Monetary Economics 41(3), 1998, 513-32.

  36. •Aid Spurs Growth-in a Sound Policy Environment, with David Dollar, Finance & Development, 34(4), 1997, pp. 4-7.

  37. •Production Function Regressions, Returns to Scale and Externalities, Journal of Monetary Economics 37(2-3), 1996, 177-201. (Erratum)

  38. •Industry Innovation: Where and Why. A Comment, Carnegie-Rochester Conference Series on Public Policy 44, 1996, 151-67.

  39. •Sectoral Solow Residuals, with Martin Eichenbaum and Sergio Rebelo. European Economic Review 40(3-5), 1996, 861-9. (Updated Data Set-zipped XLS format)

  40. •Factor Hoarding and the Propagation of Business Cycle Shocks, with Martin Eichenbaum. American Economic Review 86(5), 1996, 1154-74.

    1. •For related programs and data see my Notes on RBC models and GMM-zipped: PDF text, readme text file and zipped Matlab programs.

    2. •Appendix mentioned in the paper

    3. •A link to the NBER working paper version. There we did some stuff related to Rotemberg and Woodford's (1994) discussion of the predictable comovements among macro time series.

  41. •Small Sample Properties of GMM Based Wald Tests, with Martin Eichenbaum. Journal of Business and Economic Statistics 14(3), 1996, pp. 294-308.

  42. •Capital Utilization and Returns to Scale, with Martin Eichenbaum and Sergio Rebelo. 1995 NBER Macroeconomics Annual.

  43. •Hansen-Jagannathan Bounds as Classical Tests of Asset Pricing Models, Journal of Business and Economic Statistics 12(1), 1994, pp. 57-79.

  44. •Labor Hoarding and the Business Cycle, with Martin Eichenbaum and Sergio Rebelo. Journal of Political Economy 101(2), 1993, 245-73.

  45. •Consistency of a Method of Moments Estimator Based on Numerical Solutions to Asset Pricing Models, Econometric Theory 9(4), 1993, pp. 602-32.

Miscellaneous Older Working Papers

  1. •Assessing New Approaches to Fiscal Sustainability Analysis.

  2. •Debt Relief and Fiscal Sustainability for HIPCs, with Domenico Fanizza.

  3. •Aid, Policies and Growth: Revisiting the Evidence, with David Dollar. World Bank Policy Research Working Paper 3251.

  4. •Depreciation in Use, Shifts and the Workweek of Capital

  5. •A little note about choosing the parameter of the HP filter. Ravn and Uhlig have a paper that looks at this issue and draws similar conclusions.


Currency Speculation Data

Presentations

  1. •Aix-Marseille School of Economics Inaugural Conference:  my slides on the European sovereign debt crisis

  2. •1st AMSE Globalization Lecture:  my slides on 35 Years of Exchange Rate Fluctuations: What we know and don’t know!

  3. •Comment on "Asset Bubbles, Domino Effects and 'Lifeboats': Elements of the East Asian Crisis" by Hali Edison, Pongsak Luangaram, and Marcus Miller; March 2000.


Page last updated 12/3/19