Details about David Aaron Marshall

Access statistics for papers by David Aaron Marshall.

Last updated 2023-09-18. Update your information in the RePEc Author Service.

Short-id: pma2426

Working Papers

2025

1. Liquidity Crises and the Market-Maker of Last Resort
   NBER Working Papers, National Bureau of Economic Research, Inc

2005

2. Fundamental Economic Shocks and The Macroeconomy
   Working Papers Central Bank of Chile, Central Bank of Chile View citations (2)
   See also Journal Article Fundamental Economic Shocks and the Macroeconomy, Journal of Money, Credit and Banking, Blackwell Publishing (2009) View citations (12) (2009)

2002

3. State-contingent bank regulation with unobserved action and unobserved characteristics
   Working Paper Series, Federal Reserve Bank of Chicago View citations (2)
   See also Journal Article State-contingent bank regulation with unobserved actions and unobserved characteristics, Journal of Economic Dynamics and Control, Elsevier (2006) View citations (21) (2006)

2001

4. Economic determinants of the nominal treasury yield curve
   Working Paper Series, Federal Reserve Bank of Chicago View citations (35)
   See also Journal Article Economic determinants of the nominal treasury yield curve, Journal of Monetary Economics, Elsevier (2007) View citations (88) (2007)

2000

5. Bank capital regulation with and without state-contingent penalties
   Working Paper Series, Federal Reserve Bank of Chicago View citations (23)
   See also Journal Article Bank capital regulation with and without state-contingent penalties, Carnegie-Rochester Conference Series on Public Policy, Elsevier (2001) View citations (35) (2001)

1999

6. Thoughts on financial derivatives, systematic risk, and central banking: a review of some recent developments
   Working Paper Series, Federal Reserve Bank of Chicago View citations (2)

1998

7. Consumption-based modeling of long-horizon returns
   Working Paper Series, Federal Reserve Bank of Chicago View citations (5)

1997

8. "Peso Problem" Explanations for Term Structure Anomalies
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (34)
   Also in Working Paper Series, Issues in Financial Regulation, Federal Reserve Bank of Chicago (1997) View citations (37)
   See also Journal Article Peso problem explanations for term structure anomalies, Journal of Monetary Economics, Elsevier (2001) View citations (131) (2001)
9. Bank capital standards for market risk: a welfare analysis
   Proceedings, Federal Reserve Bank of Chicago View citations (3)
   Also in Working Paper Series, Issues in Financial Regulation, Federal Reserve Bank of Chicago (1997) View citations (4)
   See also Journal Article Bank Capital Standards for Market Risk: A Welfare Analysis, Review of Finance, European Finance Association (1999) View citations (4) (1999)
10. Monetary policy and the term structure of nominal interest rates: evidence and theory
    Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago View citations (11)
    See also Journal Article Monetary policy and the term structure of nominal interest rates: Evidence and theory, Carnegie-Rochester Conference Series on Public Policy, Elsevier (1998) View citations (207) (1998)
11. The implications of first-order risk aversion for asset market risk premiums
    Discussion Paper, Tilburg University, Center for Economic Research View citations (80)
    Also in Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago (1994) View citations (6)
    NBER Working Papers, National Bureau of Economic Research, Inc (1994) View citations (9)
    See also Journal Article The implications of first-order risk aversion for asset market risk premiums, Journal of Monetary Economics, Elsevier (1997) View citations (90) (1997)

1996

12. On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (14)
    Also in Working Paper Series, Issues in Financial Regulation, Federal Reserve Bank of Chicago (1996) View citations (36)
    See also Journal Article On biases in tests of the expectations hypothesis of the term structure of interest rates, Journal of Financial Economics, Elsevier (1997) View citations (203) (1997)
13. The equity premium puzzle and the risk-free rate puzzle at long horizons
    Working Paper Series, Issues in Financial Regulation, Federal Reserve Bank of Chicago

1994

14. Asset return volatility with extremely small costs of consumption adjustment
    Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago View citations (4)
15. Solving nonlinear rational expectations models by parameterized expectations: Convergence to stationary solutions
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (46)
    Also in Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago (1994) View citations (19)
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1994) View citations (47)
16. The effect of costly consumption adjustment on asset price volatility
    Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago View citations (1)

1992

17. Convergence of approximate model solutions to rational expectation equilibria using the method of parameterized expectations
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (8)

1990

18. The permanent income hypothesis revisited
    Staff Report, Federal Reserve Bank of Minneapolis View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1987) View citations (5)
    See also Journal Article The Permanent Income Hypothesis Revisited, Econometrica, Econometric Society (1991) View citations (77) (1991)

Journal Articles

2013

1. The role of time-critical liquidity in financial markets
   Economic Perspectives, 2013, 37, (Q II), 30-46 View citations (2)

2009

2. Financial market utilities and the challenge of just-in-time liquidity
   Chicago Fed Letter, 2009, (Nov) View citations (2)
3. Fundamental Economic Shocks and the Macroeconomy
   Journal of Money, Credit and Banking, 2009, 41, (8), 1515-1555 View citations (12)
   See also Working Paper Fundamental Economic Shocks and The Macroeconomy, Working Papers Central Bank of Chile (2005) View citations (2) (2005)

2008

4. Explaining the decline in the auction rate securities market
   Chicago Fed Letter, 2008, (Nov) View citations (1)

2007

5. Economic determinants of the nominal treasury yield curve
   Journal of Monetary Economics, 2007, 54, (7), 1986-2003 View citations (88)
   See also Working Paper Economic determinants of the nominal treasury yield curve, Working Paper Series (2001) View citations (35) (2001)

2006

6. State-contingent bank regulation with unobserved actions and unobserved characteristics
   Journal of Economic Dynamics and Control, 2006, 30, (11), 2015-2049 View citations (21)
   See also Working Paper State-contingent bank regulation with unobserved action and unobserved characteristics, Working Paper Series (2002) View citations (2) (2002)

2005

7. Comment on: "Estimating the expected marginal rate of substitution"
   Journal of Monetary Economics, 2005, 52, (5), 971-979 View citations (3)

2002

8. Financial crises and coordination failure: A comment
   Journal of Banking & Finance, 2002, 26, (2-3), 547-555
9. Origins of the use of Treasury debt in open market operations: lessons for the present
   Economic Perspectives, 2002, 26, (Q I), 45-54 View citations (2)

2001

10. A retrospective on the Asian crisis of 1997: was it foreseen?
    Chicago Fed Letter, 2001, (Jan)
11. Bank capital regulation with and without state-contingent penalties
    Carnegie-Rochester Conference Series on Public Policy, 2001, 54, (1), 139-184 View citations (35)
    See also Working Paper Bank capital regulation with and without state-contingent penalties, Working Paper Series (2000) View citations (23) (2000)
12. Peso problem explanations for term structure anomalies
    Journal of Monetary Economics, 2001, 48, (2), 241-270 View citations (131)
    See also Working Paper "Peso Problem" Explanations for Term Structure Anomalies, NBER Working Papers (1997) View citations (34) (1997)
13. The crisis of 1998 and the role of the central bank
    Economic Perspectives, 2001, 25, (Q I), 2-23 View citations (3)

1999

14. Bank Capital Standards for Market Risk: A Welfare Analysis
    Review of Finance, 1999, 2, (2), 125-157 View citations (4)
    See also Working Paper Bank capital standards for market risk: a welfare analysis, Proceedings (1997) View citations (3) (1997)
15. Investing social security trusts funds in the stock market
    Chicago Fed Letter, 1999, (Dec)

1998

16. Monetary policy and the term structure of nominal interest rates: Evidence and theory
    Carnegie-Rochester Conference Series on Public Policy, 1998, 49, (1), 53-111 View citations (207)
    See also Working Paper Monetary policy and the term structure of nominal interest rates: evidence and theory, Working Paper Series, Macroeconomic Issues (1997) View citations (11) (1997)
17. Understanding the Asian crisis: systemic risk as coordination failure
    Economic Perspectives, 1998, 22, (Q III), 13-38 View citations (30)
18. Whither the stock market?
    Chicago Fed Letter, 1998, (Aug)

1997

19. COMMENT ON “CAPM RISK ADJUSTMENT FOR EXACT AGGREGATION OVER FINANCIAL ASSETS,” BY BARNETT, LIU, AND JENSEN
    Macroeconomic Dynamics, 1997, 1, (2), 513-517
20. EQUITY-PREMIUM AND RISK-FREE-RATE PUZZLES AT LONG HORIZONS
    Macroeconomic Dynamics, 1997, 1, (2), 452-484 View citations (21)
21. On biases in tests of the expectations hypothesis of the term structure of interest rates
    Journal of Financial Economics, 1997, 44, (3), 309-348 View citations (203)
    See also Working Paper On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates, NBER Technical Working Papers (1996) View citations (14) (1996)
22. The implications of first-order risk aversion for asset market risk premiums
    Journal of Monetary Economics, 1997, 40, (1), 3-39 View citations (90)
    See also Working Paper The implications of first-order risk aversion for asset market risk premiums, Discussion Paper (1997) View citations (80) (1997)

1996

23. Bank capital for market risk: a study in incentive compatible regulation
    Chicago Fed Letter, 1996, (Apr) View citations (2)
24. Monetary policy shocks and long-term interest rates
    Economic Perspectives, 1996, 20, (Mar), 2-17 View citations (28)

1995

25. Estimating Policy-Invariant Deep Parameters in the Financial Sector When Risk and Growth Matter: Comment
    Journal of Money, Credit and Banking, 1995, 27, (4), 1436-40

1993

26. Search, Bargaining, Money and Prices: Recent Results and Policy Implications: Comment
    Journal of Money, Credit and Banking, 1993, 25, (3), 577-81

1992

27. Inflation and Asset Returns in a Monetary Economy
    Journal of Finance, 1992, 47, (4), 1315-42 View citations (118)

1991

28. The Permanent Income Hypothesis Revisited
    Econometrica, 1991, 59, (2), 397-423 View citations (77)
    See also Working Paper The permanent income hypothesis revisited, Staff Report (1990) View citations (1) (1990)