Details about Seth Pruitt

Access statistics for papers by Seth Pruitt.

Last updated 2020-12-11. Update your information in the RePEc Author Service.

Short-id: ppr155

Working Papers

2018

1. Characteristics Are Covariances: A Unified Model of Risk and Return
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
   See also Journal Article Characteristics are covariances: A unified model of risk and return, Journal of Financial Economics, Elsevier (2019) View citations (151) (2019)
2. The Nature of Household Labor Income Risk
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (3)

2015

3. Cheap Talk and the Efficacy of the ECB’s Securities Market Programme: Did Bond Purchases Matter?
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
4. Estimating Monetary Policy Rules When Nominal Interest Rates Are Stuck at Zero
   Discussion Paper Series, Institute of Economic Research, Korea University View citations (2)
   Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2013) View citations (8)
   See also Journal Article Estimating Monetary Policy Rules When Nominal Interest Rates Are Stuck at Zero, Journal of Money, Credit and Banking, Blackwell Publishing (2017) View citations (6) (2017)
5. Systemic Risk and the Macroeconomy: An Empirical Evaluation
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (23)
   See also Journal Article Systemic risk and the macroeconomy: An empirical evaluation, Journal of Financial Economics, Elsevier (2016) View citations (297) (2016)
6. The Liquidity Effects of Official Bond Market Intervention
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (17)
   See also Journal Article The Liquidity Effects of Official Bond Market Intervention, Journal of Financial and Quantitative Analysis, Cambridge University Press (2018) View citations (50) (2018)

2010

7. Estimating the Market-Perceived Monetary Policy Rule
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
   See also Journal Article Estimating the Market-Perceived Monetary Policy Rule, American Economic Journal: Macroeconomics, American Economic Association (2011) View citations (30) (2011)

2009

8. Markup variation and endogenous fluctuations in the price of investment goods
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (10)
9. The Demand for Youth: Implications for the Hours Volatility Puzzle
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
   Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2009) View citations (4)
10. The market-perceived monetary policy rule
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (13)

2008

11. Uncertainty over models and data: the rise and fall of American inflation
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
    See also Journal Article Uncertainty Over Models and Data: The Rise and Fall of American Inflation, Journal of Money, Credit and Banking, Blackwell Publishing (2012) View citations (8) (2012)

Journal Articles

2020

1. Earnings Risk in the Household: Evidence from Millions of US Tax Returns
   American Economic Review: Insights, 2020, 2, (2), 237-54 View citations (17)

2019

2. Characteristics are covariances: A unified model of risk and return
   Journal of Financial Economics, 2019, 134, (3), 501-524 View citations (151)
   See also Working Paper Characteristics Are Covariances: A Unified Model of Risk and Return, NBER Working Papers (2018) View citations (16) (2018)

2018

3. The Liquidity Effects of Official Bond Market Intervention
   Journal of Financial and Quantitative Analysis, 2018, 53, (1), 243-268 View citations (50)
   See also Working Paper The Liquidity Effects of Official Bond Market Intervention, International Finance Discussion Papers (2015) View citations (17) (2015)

2017

4. Estimating Monetary Policy Rules When Nominal Interest Rates Are Stuck at Zero
   Journal of Money, Credit and Banking, 2017, 49, (4), 585-602 View citations (6)
   See also Working Paper Estimating Monetary Policy Rules When Nominal Interest Rates Are Stuck at Zero, Discussion Paper Series (2015) View citations (2) (2015)

2016

5. Systemic risk and the macroeconomy: An empirical evaluation
   Journal of Financial Economics, 2016, 119, (3), 457-471 View citations (297)
   See also Working Paper Systemic Risk and the Macroeconomy: An Empirical Evaluation, NBER Working Papers (2015) View citations (23) (2015)

2015

6. The three-pass regression filter: A new approach to forecasting using many predictors
   Journal of Econometrics, 2015, 186, (2), 294-316 View citations (170)

2013

7. Market Expectations in the Cross-Section of Present Values
   Journal of Finance, 2013, 68, (5), 1721-1756 View citations (200)
8. The Demand for Youth: Explaining Age Differences in the Volatility of Hours
   American Economic Review, 2013, 103, (7), 3022-44 View citations (31)

2012

9. Uncertainty Over Models and Data: The Rise and Fall of American Inflation
   Journal of Money, Credit and Banking, 2012, 44, 341-365 View citations (8)
   Also in Journal of Money, Credit and Banking, 2012, 44, (2‐3), 341-365 (2012) View citations (1)
   See also Working Paper Uncertainty over models and data: the rise and fall of American inflation, International Finance Discussion Papers (2008) View citations (1) (2008)

2011

10. Estimating the Market-Perceived Monetary Policy Rule
    American Economic Journal: Macroeconomics, 2011, 3, (3), 1-28 View citations (30)
    See also Working Paper Estimating the Market-Perceived Monetary Policy Rule, NBER Working Papers (2010) View citations (1) (2010)