Craig Burnside, Papers and Publications

• If you'd like a copy (either in print, or electronic) of a published paper that I cannot post on this page, please send me an e-mail request.

Recent Working Papers

• Carry Trades and Risk, NBER Working Paper 17278, August 2011.
• Understanding Booms and Busts in Housing Markets, with Martin Eichenbaum and Sergio Rebelo. NBER Working Paper 16734, January 2011.
• Identification and Inference in Linear Stochastic Discount Factor Models, NBER Working Paper 16634, December 2010.
  • This paper replaces Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors, NBER Working Paper 13357. Appendices
• Risk, Volatility, and the Global Cross-Section of Growth Rates, with Alexandra Tabova. NBER Working Paper 15225, August 2009; preliminary presentation at CEA meetings, May 2009.

Publications in Reverse Chronological Order

• Carry Trade and Momentum in Currency Markets, with Martin Eichenbaum and Sergio Rebelo. NBER Working Paper 16942, April 2011. Forthcoming, Annual Review of Financial Economics.
• The Forward Premium is Still a Puzzle, revised version of NBER Working Paper 13129, June 2011. Forthcoming, American Economic Review.
  • First version, May 2007, previously titled "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Comment".
  • Second version, February 2009.
  • Third version, March 2011.
• 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.
• 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.
  • This paper replaces The Returns to Currency Speculation, which has a more extensive discussion of transactions costs.
• Understanding the Forward Premium Puzzle: A Microstructure Approach, with Martin Eichenbaum and Sergio Rebelo. American Economic Journal: Macroeconomics 1(2), 2009, 127-54.
• Carry Trades and Currency Crashes: A Comment. NBER Macroeconomics Annual 2008.
• Carry Trade: The Gains of Diversification, with Martin Eichenbaum and Sergio Rebelo. Journal of the European Economic Association 6(2-3), 2008, 581-8.
• Currency Crisis Models, with Martin Eichenbaum and Sergio Rebelo. The New Palgrave: A Dictionary of Economics, 2nd Edition, 2008.
• 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.
• 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.
• 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!
• Hiccups for HIPCs? Implications of Debt Relief for Government Budgets and Monetary Policy, with Domenico Fanizza. Contributions to Macroeconomics 5(1), 2005, Article 4.
• Government Guarantees and Self-Fulfilling Speculative Attacks, with Martin Eichenbaum and Sergio Rebelo. Journal of Economic Theory 119(1), 2004, 31-63. Technical appendix
• Currency Crises and Contingent Liabilities, Journal of International Economics 62(1), 2004, 25-52.
• Fiscal Shocks and Their Consequences, with Martin Eichenbaum and Jonas Fisher. Journal of Economic Theory 115(1), 2004, 89-117.
• On the Fiscal Implications of Twin Crises, with Martin Eichenbaum and Sergio 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.
• Hedging and Financial Fragility in Fixed Exchange Rate Regimes, with Martin Eichenbaum and Sergio Rebelo. European Economic Review 45(7), 2001, 1151-93.
• 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)
• Aid, Policies and Growth, with David Dollar. American Economic Review 90(4), 2000, 847-68.

Related Material

• Erratum: 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.
• Data set
• Appendix on the neoclassical model
• Easterly, Levine and Roodman's comment and our response. American Economic Review 94(3), 2004, 774-84.
• Easterly, Levine and Roodman's data
• 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.
• 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.
• Understanding the Korean and Thai Currency Crises, with Martin Eichenbaum and Sergio Rebelo. Economic Perspectives 24(3), 2000, 45-60.
• Comment on "Asset Bubbles, Domino Effects and 'Lifeboats': Elements of the East Asian Crisis" by Hali Edison, Pongsak Luangaram, and Marcus Miller; March 2000.
• 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.
• 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)
• Solving Asset Pricing Models with Gaussian Shocks, Journal of Economic Dynamics and Control 22(3), 1998, pp. 329-40.
• Detrending and Business Cycle Facts: a Comment, Journal of Monetary Economics 41(3), 1998, 513-32.
• Aid Spurs Growth-in a Sound Policy Environment, with David Dollar, Finance & Development, 34(4), 1997, pp. 4-7.
• Production Function Regressions, Returns to Scale and Externalities, Journal of Monetary Economics 37(2-3), 1996, 177-201. (Erratum)
• Industry Innovation: Where and Why. A Comment, Carnegie-Rochester Conference Series on Public Policy 44, 1996, 151-67.
• Sectoral Solow Residuals, with Martin Eichenbaum and Sergio Rebelo. European Economic Review 40(3-5), 1996, 861-9. (Updated Data Set-zipped XLS format)
• Factor Hoarding and the Propagation of Business Cycle Shocks, with Martin Eichenbaum. American Economic Review 86(5), 1996, 1154-74.
  • For related programs and data see my Notes on RBC models and GMM-zipped: PDF text, readme text file and zipped Matlab programs.
  • Appendix mentioned in the paper
  • 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.
• Small Sample Properties of GMM Based Wald Tests, with Martin Eichenbaum. Journal of Business and Economic Statistics 14(3), 1996, pp. 294-308.
• Capital Utilization and Returns to Scale, with Martin Eichenbaum and Sergio Rebelo. 1995 NBER Macroeconomics Annual. (Updated Data Set: link to zipped XLS files and a readme text file)
• Hansen-Jagannathan Bounds as Classical Tests of Asset Pricing Models, Journal of Business and Economic Statistics 12(1), 1994, pp. 57-79.
• Labor Hoarding and the Business Cycle, with Martin Eichenbaum and Sergio Rebelo. Journal of Political Economy 101(2), 1993, 245-73.
• 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

• Assessing New Approaches to Fiscal Sustainability Analysis.
• Debt Relief and Fiscal Sustainability for HIPCs, with Domenico Fanizza.
• Aid, Policies and Growth: Revisiting the Evidence, with David Dollar. World Bank Policy Research Working Paper 3251.
• Depreciation in Use, Shifts and the Workweek of Capital
• A little note about choosing the parameter of the HP filter. Ravn and Uhlig have a serious paper that looks at this issue.

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