Details about David Backus

This author is deceased (2016-06-12).

Access statistics for papers by David Backus.

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Short-id: pba242

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Working Papers

2021

1. Monetary Policy Risk: Rules vs. Discretion
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) View citations (3)

2016

2. Pareto weights as wedges in two-country models
   Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (2)
   Also in Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics (2015)
   NBER Working Papers, National Bureau of Economic Research, Inc (2015) View citations (3)
   See also Journal Article in Journal of Economic Dynamics and Control (2016)
3. Term Structures of Asset Prices and Returns
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
   Also in Staff Reports, Federal Reserve Bank of New York (2016) View citations (3)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (5)
   Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics (2016) View citations (6)
   See also Journal Article in Journal of Financial Economics (2018)

2014

4. Risk and Ambiguity in Models of Business Cycles
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
   See also Journal Article in Journal of Monetary Economics (2015)

2013

5. Demography and Low Frequency Capital Flows
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
   See also Chapter (2013)
6. Identifying Taylor Rules in Macro-Finance Models
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
   Also in Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics (2013) View citations (3)

2011

7. Global Capital Flows: The Roles of Demography, Productivity and Taxes
   2011 Meeting Papers, Society for Economic Dynamics
8. Sources of Entropy in Representative Agent Models
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
   Also in Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics (2011) View citations (12)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) View citations (12)
   See also Journal Article in Journal of Finance (2014)

2010

9. Monetary Policy and the Uncovered Interest Parity Puzzle
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (69)
10. Sources of entropy in representative agent models of asset pricing
    2010 Meeting Papers, Society for Economic Dynamics

2009

11. Current Account Fact and Fiction
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (67)
    Also in 2005 Meeting Papers, Society for Economic Dynamics (2005) View citations (52)
12. Disasters Implied by Equity Index Options
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (14)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (19)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (15)
    See also Journal Article in Journal of Finance (2011)
13. The Cyclical Component of US Asset Returns
    2009 Meeting Papers, Society for Economic Dynamics View citations (1)

2008

14. Monetary Policy and the Uncovered Interest Rate Parity Puzzle
    2008 Meeting Papers, Society for Economic Dynamics

2007

15. Cracking the Conundrum
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (77)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2007) View citations (34)
    See also Journal Article in Brookings Papers on Economic Activity (2007)
16. Nonbanks in the Payments System: Vertical Integration Issues
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (2)
17. Recursive Risk Sharing: Microfoundations for Representative-Agent Asset Pricing
    2007 Meeting Papers, Society for Economic Dynamics
18. Taxes and the Global Allocation of Capital
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
    See also Journal Article in Journal of Monetary Economics (2008)

2006

19. Asset pricing implications for business cycle analysis
    2006 Meeting Papers, Society for Economic Dynamics

2005

20. Recursive Preferences
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (1)

2004

21. Exotic Preferences for Macroeconomists
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (121)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations (124)
    See also Chapter (2005)
22. International Risk Sharing with exotic preferences
    2004 Meeting Papers, Society for Economic Dynamics

2002

23. Accouting for Biases in Black-Scholes
    Finance, University Library of Munich, Germany View citations (20)
24. Contagion in Financial Markets
    Finance, University Library of Munich, Germany View citations (3)
25. Markov Chain Approximations For Term Structure Models
    Finance, University Library of Munich, Germany

1999

26. Design and Estimation of Affine Yield Models
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (7)
    Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business (1999) View citations (8)

1998

27. Discrete-Time Models of Bond Pricing
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (56)
    Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (7)
28. Inflation and Reputation
    Levine's Working Paper Archive, David K. Levine View citations (14)
    Also in Working Paper, Economics Department, Queen's University (1984) View citations (7)
    See also Journal Article in American Economic Review (1985)
29. Oil Prices and the Terms of Trade
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (24)
    See also Journal Article in Journal of International Economics (2000)
30. Predictable Changes in Yields and Forward Rates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
    See also Journal Article in Journal of Financial Economics (2001)

1997

31. Macroeconomic Foundations of Higher Moments in Bond Yields
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (3)

1996

32. Affine Models of Currency Pricing
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (36)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1996) View citations (41)
33. Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing
    NBER Working Papers, National Bureau of Economic Research, Inc
    Also in Working Papers, Columbia - Graduate School of Business (1994) View citations (9)
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics (1994) View citations (3)
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1996)
    See also Journal Article in Journal of Business & Economic Statistics (1998)

1994

34. Reverse Engineering the Yield Curve
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (57)
    Also in Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics (1994) View citations (54)
35. The Forward Premium Anamoly: Three Examples in Search of a Solution
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (6)
36. The Forward Premium Anomaly: Three Examples in Serach of Solution
    Working Papers, Columbia - Graduate School of Business View citations (3)

1993

37. Consumption And Real Exchange Rates In Dynamic Economies With Non-traded Goods
    Working Paper, Economics Department, Queen's University View citations (590)
    See also Journal Article in Journal of International Economics (1993)
38. Hysteresis in Perspective: A Discussion of Dixit's "Hysteresis and the Durations of the J-Curve,"
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics
39. International Business Cycles: Theory and Evidence
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (88)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1993) View citations (187)
40. Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (92)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (1993) View citations (108)
    See also Journal Article in Journal of Money, Credit and Banking (1993)
41. The Japanese Trade Balance: Recent History and Future Prospects
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1993) View citations (2)

1992

42. Accounting for Forward Rates in Markets for Foreign Currency
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (1)
    Also in Working Paper, Economics Department, Queen's University (1990) View citations (5)
    See also Journal Article in Journal of Finance (1993)
43. Consumption and Real Exchange Rates in Dynamic Exchange Economies with Nontraded Goods
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (18)
44. Dynamics of the Trade Balance and the Terms of Trade: The J-Curve Revisited
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (6)
    Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1992) View citations (7)
45. Dynamics of the Trade Balance and the Terms of Trade: The S-Curve
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
    Also in Instructional Stata datasets for econometrics, Boston College Department of Economics
    Working Papers (Old Series), Federal Reserve Bank of Cleveland (1992) View citations (11)
    See also Journal Article in American Economic Review (1994)
    Software Item (1992)
    Software Item (1992)
46. In search of scale effects in trade and growth
    Staff Report, Federal Reserve Bank of Minneapolis View citations (154)
    See also Journal Article in Journal of Economic Theory (1992)
47. International Evidence on the Historical Properties of Business Cycles
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (414)
    Also in Staff Report, Federal Reserve Bank of Minneapolis (1991) View citations (7)
    See also Journal Article in American Economic Review (1992)
48. Interpreting Comovements in the Trade Balance and the Terms of Trade
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (2)
    See also Journal Article in Journal of International Economics (1993)
49. Relative Price Movements in Dynamic General Equilibrium Models of International Trade
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (12)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1992) View citations (14)
    Working Papers (Old Series), Federal Reserve Bank of Cleveland (1992) View citations (11)
50. Theoretical Relations Between Risk Premiums and Conditional Variances
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (13)
    See also Journal Article in Journal of Business & Economic Statistics (1993)

1991

51. International real business cycles
    Staff Report, Federal Reserve Bank of Minneapolis View citations (49)
    Also in Working Papers, Federal Reserve Bank of Minneapolis (1987)
    See also Journal Article in Journal of Political Economy (1992)

1988

52. On the denomination of government debt: a critique of the portfolio balance approach
    Staff Report, Federal Reserve Bank of Minneapolis View citations (5)
    See also Journal Article in Journal of Monetary Economics (1989)
53. Risk Premiums in Asset Prices and Returns
    Working Paper, Economics Department, Queen's University

1987

54. Trade and Exchange-Rate Dynamics in a Dynamic Competitive Economy
    Working Paper, Economics Department, Queen's University View citations (1)

1986

55. A Positive Theory of Fiscal Policy in Open Economies
    Working Paper, Economics Department, Queen's University View citations (3)
    See also Chapter (1988)
56. Credible Disinflation in Closed and Open Economies
    Working Paper, Economics Department, Queen's University
57. Risk Premiums in the Term Structure: Evidence from Artificial Economies
    Working Paper, Economics Department, Queen's University View citations (3)
    See also Journal Article in Journal of Monetary Economics (1989)
58. The Consistency of Optimal Policy in Stochastic Rational Expectations Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (144)

1985

59. Credibility and Commitment in Economic Policy
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    Also in Working Paper, Economics Department, Queen's University (1985) View citations (1)
60. Nonuniqueness in Rational Expectations Models: An Interpretation
    Working Paper, Economics Department, Queen's University
61. The Financial Sector in the Planning of Economic Development
    Levine's Working Paper Archive, David K. Levine
    See also Chapter (1985)

1984

62. Exchange Rate Dynamics in a Model with Staggered Wage Contracts
    Working Paper, Economics Department, Queen's University View citations (9)
63. Rational Expectations and Policy Credibility Following a Regime Change
    Working Paper, Economics Department, Queen's University View citations (4)

1983

64. Some Canadian-U.S Evidence on the Insulating Properties of a Flexible Exchange Rate
    Working Paper, Economics Department, Queen's University

1982

65. Empirical Models of the Exchange Rate: Separating the Wheat from the Chaff
    Working Paper, Economics Department, Queen's University
    See also Journal Article in Canadian Journal of Economics (1984)
66. Notes on Dynamical Systems in Economics
    Working Paper, Economics Department, Queen's University View citations (1)
67. The Canada-U.S. Exchange Rate: Evidence for a Vector Autoregression
    Working Paper, Economics Department, Queen's University View citations (1)

1980

68. A Model of U.S. Financial and Nonfinancial Economic Behavior
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (53)
    See also Journal Article in Journal of Money, Credit and Banking (1980)

1978

69. An Integrated Model of Household Flow-of-Funds Allocations
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
    See also Journal Article in Journal of Money, Credit and Banking (1980)

Undated

70. International price dispersion in the G7
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business
71. Interpreting the Forward Premium Anomoly
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (1)
    See also Journal Article in Canadian Journal of Economics (1995)

Journal Articles

2022

1. Monetary Policy Risk: Rules versus Discretion
   Review of Financial Studies, 2022, 35, (5), 2308-2344

2018

2. Term structures of asset prices and returns
   Journal of Financial Economics, 2018, 129, (1), 1-23 View citations (16)
   See also Working Paper (2016)

2016

3. Pareto weights as wedges in two-country models
   Journal of Economic Dynamics and Control, 2016, 72, (C), 98-110 View citations (3)
   See also Working Paper (2016)

2015

4. Risk and ambiguity in models of business cycles
   Journal of Monetary Economics, 2015, 69, (C), 42-63 View citations (39)
   See also Working Paper (2014)

2014

5. Sources of Entropy in Representative Agent Models
   Journal of Finance, 2014, 69, (1), 51-99 View citations (69)
   See also Working Paper (2011)

2011

6. Disasters Implied by Equity Index Options
   Journal of Finance, 2011, 66, (6), 1969-2012 View citations (140)
   See also Working Paper (2009)

2008

7. Taxes and the global allocation of capital
   Journal of Monetary Economics, 2008, 55, (1), 48-61 View citations (29)
   See also Working Paper (2007)

2007

8. Cracking the Conundrum
   Brookings Papers on Economic Activity, 2007, 38, (1), 293-329 View citations (75)
   See also Working Paper (2007)

2005

9. Comment on: "Exchange rate regime durability and performance in developing versus advanced economies"
   Journal of Monetary Economics, 2005, 52, (1), 65-68 View citations (4)

2001

10. Affine Term Structure Models and the Forward Premium Anomaly
    Journal of Finance, 2001, 56, (1), 279-304 View citations (271)
11. Predictable changes in yields and forward rates
    Journal of Financial Economics, 2001, 59, (3), 281-311 View citations (74)
    See also Working Paper (1998)

2000

12. Oil prices and the terms of trade
    Journal of International Economics, 2000, 50, (1), 185-213 View citations (334)
    See also Working Paper (1998)

1999

13. EconomicDynamics Interview: David Backus on international business cycles
    EconomicDynamics Newsletter, 1999, 1, (1)

1998

14. Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing
    Journal of Business & Economic Statistics, 1998, 16, (1), 13-26 View citations (16)
    See also Working Paper (1996)
15. The Japanese trade balance: Recent history and future prospects1
    Japan and the World Economy, 1998, 10, (4), 409-420 View citations (2)

1995

16. A decision support system for strategic planning on pig farms
    Agricultural Economics, 1995, 13, (2), 101-108
17. Interpreting the Forward Premium Anomaly
    Canadian Journal of Economics, 1995, 28, (s1), 108-119 View citations (20)
    See also Working Paper

1994

18. Comments on 'hysteresis and the duration of the J-curve', by Avinash Dixit
    Japan and the World Economy, 1994, 6, (2), 121-128
19. Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?
    American Economic Review, 1994, 84, (1), 84-103 View citations (851)
    See also Software Item (1992)
    Software Item (1992)
    Working Paper (1992)

1993

20. Accounting for Forward Rates in Markets for Foreign Currency
    Journal of Finance, 1993, 48, (5), 1887-1908 View citations (114)
    See also Working Paper (1992)
21. Consumption and real exchange rates in dynamic economies with non-traded goods
    Journal of International Economics, 1993, 35, (3-4), 297-316 View citations (596)
    See also Working Paper (1993)
22. International business cycles: theory vs. evidence
    Quarterly Review, 1993, 17, (Fall), 14-29 View citations (63)
23. Interpreting comovements in the trade balance and the terms of trade
    Journal of International Economics, 1993, 34, (3-4), 375-387 View citations (21)
    See also Working Paper (1992)
24. Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates
    Journal of Money, Credit and Banking, 1993, 25, (3), 681-700 View citations (107)
    Also in Proceedings, 1993, 681-708 (1993) View citations (101)
    See also Working Paper (1993)
25. Theoretical Relations between Risk Premiums and Conditional Variances
    Journal of Business & Economic Statistics, 1993, 11, (2), 177-85 View citations (89)
    See also Working Paper (1992)

1992

26. In search of scale effects in trade and growth
    Journal of Economic Theory, 1992, 58, (2), 377-409 View citations (127)
    See also Working Paper (1992)
27. International Evidence of the Historical Properties of Business Cycles
    American Economic Review, 1992, 82, (4), 864-88 View citations (419)
    See also Working Paper (1992)
28. International Real Business Cycles
    Journal of Political Economy, 1992, 100, (4), 745-75 View citations (1231)
    See also Working Paper (1991)

1990

29. Borrowing Constraints, Occupational Choice, and Labor Supply
    Journal of Labor Economics, 1990, 8, (1), 145-73 View citations (10)

1989

30. On the denomination of government debt: A critique of the portfolio balance approach
    Journal of Monetary Economics, 1989, 23, (3), 359-376 View citations (53)
    See also Working Paper (1988)
31. Risk premiums in the term structure: Evidence from artificial economies
    Journal of Monetary Economics, 1989, 24, (3), 371-399 View citations (168)
    See also Working Paper (1986)

1986

32. The Canadian-U.S. Exchange Rate: Evidence from a Vector Autoregression
    The Review of Economics and Statistics, 1986, 68, (4), 628-37 View citations (18)

1985

33. Inflation and Reputation
    American Economic Review, 1985, 75, (3), 530-38 View citations (286)
    See also Working Paper (1998)
34. Rational Expectations and Policy Credibility Following a Change in Regime
    Review of Economic Studies, 1985, 52, (2), 211-221 View citations (119)

1984

35. Empirical Models of the Exchange Rate: Separating the Wheat from the Chaff
    Canadian Journal of Economics, 1984, 17, (4), 824-46 View citations (58)
    See also Working Paper (1982)

1980

36. A Model of U.S. Financial and Nonfinancial Economic Behavior
    Journal of Money, Credit and Banking, 1980, 12, (2), 259-93 View citations (39)
    See also Working Paper (1980)
37. An Integrated Model of Household Flow-of-Funds Allocations
    Journal of Money, Credit and Banking, 1980, 12, (2), 400-421 View citations (9)
    See also Working Paper (1978)

1977

38. British Producer Cooperatives in the Footwear Industry: An Empirical Evaluation of the Theory of Financing
    Economic Journal, 1977, 87, (347), 488-510 View citations (10)

Chapters

2013

1. Demography and Low-Frequency Capital Flows
   A chapter in NBER International Seminar on Macroeconomics 2013, 2013, pp 94-102
   See also Working Paper (2013)

2005

2. Exotic Preferences for Macroeconomists
   A chapter in NBER Macroeconomics Annual 2004, Volume 19, 2005, pp 319-414 View citations (35)
   See also Working Paper (2004)

1988

3. A Positive Theory of Fiscal Policy in Open Economies
   A chapter in International Aspects of Fiscal Policies, 1988, pp 173-196 View citations (3)
   See also Working Paper (1986)

1985

4. The Financial Sector in the Planning of Economic Development
   Palgrave Macmillan
   See also Working Paper (1985)

Software Items

1992

1. DOS executable for "Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?"
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
   See also Journal Article in American Economic Review (1994)
   Working Paper (1992)
2. Web interface for "Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?"
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
   See also Journal Article in American Economic Review (1994)
   Working Paper (1992)