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
- 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
- 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)
- 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
- 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
- Demography and Low Frequency Capital Flows
NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
See also Chapter (2013)
- 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
- Global Capital Flows: The Roles of Demography, Productivity and Taxes
2011 Meeting Papers, Society for Economic Dynamics
- 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
- Monetary Policy and the Uncovered Interest Parity Puzzle
NBER Working Papers, National Bureau of Economic Research, Inc View citations (69)
- Sources of entropy in representative agent models of asset pricing
2010 Meeting Papers, Society for Economic Dynamics
2009
- 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)
- 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)
- The Cyclical Component of US Asset Returns
2009 Meeting Papers, Society for Economic Dynamics View citations (1)
2008
- Monetary Policy and the Uncovered Interest Rate Parity Puzzle
2008 Meeting Papers, Society for Economic Dynamics
2007
- 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)
- 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)
- Recursive Risk Sharing: Microfoundations for Representative-Agent Asset Pricing
2007 Meeting Papers, Society for Economic Dynamics
- 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
- Asset pricing implications for business cycle analysis
2006 Meeting Papers, Society for Economic Dynamics
2005
- Recursive Preferences
Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (1)
2004
- 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)
- International Risk Sharing with exotic preferences
2004 Meeting Papers, Society for Economic Dynamics
2002
- Accouting for Biases in Black-Scholes
Finance, University Library of Munich, Germany View citations (20)
- Contagion in Financial Markets
Finance, University Library of Munich, Germany View citations (3)
- Markov Chain Approximations For Term Structure Models
Finance, University Library of Munich, Germany
1999
- 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
- 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)
- 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)
- 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)
- 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
- 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
- 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)
- 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
- 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)
- The Forward Premium Anamoly: Three Examples in Search of a Solution
GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (6)
- The Forward Premium Anomaly: Three Examples in Serach of Solution
Working Papers, Columbia - Graduate School of Business View citations (3)
1993
- 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)
- 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
- 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)
- 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)
- 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
- 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)
- 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)
- 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)
- 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)
- 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)
- 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)
- 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)
- 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)
- 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
- 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
- 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)
- Risk Premiums in Asset Prices and Returns
Working Paper, Economics Department, Queen's University
1987
- Trade and Exchange-Rate Dynamics in a Dynamic Competitive Economy
Working Paper, Economics Department, Queen's University View citations (1)
1986
- A Positive Theory of Fiscal Policy in Open Economies
Working Paper, Economics Department, Queen's University View citations (3)
See also Chapter (1988)
- Credible Disinflation in Closed and Open Economies
Working Paper, Economics Department, Queen's University
- 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)
- The Consistency of Optimal Policy in Stochastic Rational Expectations Models
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (144)
1985
- 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)
- Nonuniqueness in Rational Expectations Models: An Interpretation
Working Paper, Economics Department, Queen's University
- The Financial Sector in the Planning of Economic Development
Levine's Working Paper Archive, David K. Levine 
See also Chapter (1985)
1984
- Exchange Rate Dynamics in a Model with Staggered Wage Contracts
Working Paper, Economics Department, Queen's University View citations (9)
- Rational Expectations and Policy Credibility Following a Regime Change
Working Paper, Economics Department, Queen's University View citations (4)
1983
- Some Canadian-U.S Evidence on the Insulating Properties of a Flexible Exchange Rate
Working Paper, Economics Department, Queen's University
1982
- 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)
- Notes on Dynamical Systems in Economics
Working Paper, Economics Department, Queen's University View citations (1)
- The Canada-U.S. Exchange Rate: Evidence for a Vector Autoregression
Working Paper, Economics Department, Queen's University View citations (1)
1980
- 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
- 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
- International price dispersion in the G7
GSIA Working Papers, Carnegie Mellon University, Tepper School of Business
- 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
- Monetary Policy Risk: Rules versus Discretion
Review of Financial Studies, 2022, 35, (5), 2308-2344
2018
- 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
- 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
- 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
- Sources of Entropy in Representative Agent Models
Journal of Finance, 2014, 69, (1), 51-99 View citations (69)
See also Working Paper (2011)
2011
- Disasters Implied by Equity Index Options
Journal of Finance, 2011, 66, (6), 1969-2012 View citations (140)
See also Working Paper (2009)
2008
- 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
- Cracking the Conundrum
Brookings Papers on Economic Activity, 2007, 38, (1), 293-329 View citations (75)
See also Working Paper (2007)
2005
- 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
- Affine Term Structure Models and the Forward Premium Anomaly
Journal of Finance, 2001, 56, (1), 279-304 View citations (271)
- 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
- 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
- EconomicDynamics Interview: David Backus on international business cycles
EconomicDynamics Newsletter, 1999, 1, (1)
1998
- 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)
- The Japanese trade balance: Recent history and future prospects1
Japan and the World Economy, 1998, 10, (4), 409-420 View citations (2)
1995
- A decision support system for strategic planning on pig farms
Agricultural Economics, 1995, 13, (2), 101-108
- Interpreting the Forward Premium Anomaly
Canadian Journal of Economics, 1995, 28, (s1), 108-119 View citations (20)
See also Working Paper
1994
- Comments on 'hysteresis and the duration of the J-curve', by Avinash Dixit
Japan and the World Economy, 1994, 6, (2), 121-128
- 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
- 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)
- 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)
- International business cycles: theory vs. evidence
Quarterly Review, 1993, 17, (Fall), 14-29 View citations (63)
- 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)
- 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)
- 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
- 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)
- 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)
- International Real Business Cycles
Journal of Political Economy, 1992, 100, (4), 745-75 View citations (1231)
See also Working Paper (1991)
1990
- Borrowing Constraints, Occupational Choice, and Labor Supply
Journal of Labor Economics, 1990, 8, (1), 145-73 View citations (10)
1989
- 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)
- 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
- 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
- Inflation and Reputation
American Economic Review, 1985, 75, (3), 530-38 View citations (286)
See also Working Paper (1998)
- Rational Expectations and Policy Credibility Following a Change in Regime
Review of Economic Studies, 1985, 52, (2), 211-221 View citations (119)
1984
- 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
- 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)
- 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
- 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
- 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
- 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
- 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
- The Financial Sector in the Planning of Economic Development
Palgrave Macmillan
See also Working Paper (1985)
Software Items
1992
- 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)
- 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)
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