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Details about David Aaron Marshall

Workplace:Federal Reserve Bank of Chicago, (more information at EDIRC)

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Short-id: pma2426


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Working Papers

2005

  1. Fundamental Economic Shocks and The Macroeconomy
    Working Papers Central Bank of Chile, Central Bank of Chile Downloads View citations (2)
    See also Journal Article in Journal of Money, Credit and Banking (2009)

2002

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

2001

  1. Economic determinants of the nominal treasury yield curve
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (24)
    See also Journal Article in Journal of Monetary Economics (2007)

2000

  1. Bank capital regulation with and without state-contingent penalties
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (25)
    See also Journal Article in Carnegie-Rochester Conference Series on Public Policy (2001)

1999

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

1998

  1. Consumption-based modeling of long-horizon returns
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (3)

1997

  1. "Peso Problem" Explanations for Term Structure Anomalies
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (33)
    Also in Working Paper Series, Issues in Financial Regulation, Federal Reserve Bank of Chicago (1997) Downloads View citations (37)

    See also Journal Article in Journal of Monetary Economics (2001)
  2. Bank capital standards for market risk: a welfare analysis
    Proceedings, Federal Reserve Bank of Chicago
    Also in Working Paper Series, Issues in Financial Regulation, Federal Reserve Bank of Chicago (1997) Downloads View citations (4)

    See also Journal Article in Review of Finance (1999)
  3. 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 in Carnegie-Rochester Conference Series on Public Policy (1998)
  4. The implications of first-order risk aversion for asset market risk premiums
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (61)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1994) Downloads View citations (8)
    Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago (1994) View citations (5)

    See also Journal Article in Journal of Monetary Economics (1997)

1996

  1. 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 Downloads View citations (8)
    Also in Working Paper Series, Issues in Financial Regulation, Federal Reserve Bank of Chicago (1996) View citations (35)

    See also Journal Article in Journal of Financial Economics (1997)
  2. 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

  1. Asset return volatility with extremely small costs of consumption adjustment
    Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago View citations (3)
  2. 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 (18)
    Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1994) Downloads View citations (23)
    Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago (1994) View citations (18)
  3. The effect of costly consumption adjustment on asset price volatility
    Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago View citations (1)

1992

  1. 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 (4)

1990

  1. The permanent income hypothesis revisited
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1987) Downloads View citations (1)

    See also Journal Article in Econometrica (1991)

Journal Articles

2013

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

2009

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

2008

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

2007

  1. Economic determinants of the nominal treasury yield curve
    Journal of Monetary Economics, 2007, 54, (7), 1986-2003 Downloads View citations (70)
    See also Working Paper (2001)

2006

  1. State-contingent bank regulation with unobserved actions and unobserved characteristics
    Journal of Economic Dynamics and Control, 2006, 30, (11), 2015-2049 Downloads View citations (14)
    See also Working Paper (2002)

2005

  1. Comment on: "Estimating the expected marginal rate of substitution"
    Journal of Monetary Economics, 2005, 52, (5), 971-979 Downloads View citations (1)

2002

  1. Financial crises and coordination failure: A comment
    Journal of Banking & Finance, 2002, 26, (2-3), 547-555 Downloads
  2. Origins of the use of Treasury debt in open market operations: lessons for the present
    Economic Perspectives, 2002, 26, (Q I), 45-54 Downloads View citations (1)

2001

  1. A retrospective on the Asian crisis of 1997: was it foreseen?
    Chicago Fed Letter, 2001, (Jan) Downloads
  2. Bank capital regulation with and without state-contingent penalties
    Carnegie-Rochester Conference Series on Public Policy, 2001, 54, (1), 139-184 Downloads View citations (19)
    See also Working Paper (2000)
  3. Peso problem explanations for term structure anomalies
    Journal of Monetary Economics, 2001, 48, (2), 241-270 Downloads View citations (115)
    See also Working Paper (1997)
  4. The crisis of 1998 and the role of the central bank
    Economic Perspectives, 2001, 25, (Q I), 2-23 Downloads View citations (2)

1999

  1. Bank Capital Standards for Market Risk: A Welfare Analysis
    Review of Finance, 1999, 2, (2), 125-157 Downloads
    See also Working Paper (1997)
  2. Investing social security trusts funds in the stock market
    Chicago Fed Letter, 1999, (Dec) Downloads

1998

  1. 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 Downloads View citations (107)
    See also Working Paper (1997)
  2. Understanding the Asian crisis: systemic risk as coordination failure
    Economic Perspectives, 1998, 22, (Q III), 13-38 Downloads View citations (25)
  3. Whither the stock market?
    Chicago Fed Letter, 1998, (Aug) Downloads

1997

  1. COMMENT ON “CAPM RISK ADJUSTMENT FOR EXACT AGGREGATION OVER FINANCIAL ASSETS,†BY BARNETT, LIU, AND JENSEN
    Macroeconomic Dynamics, 1997, 1, (2), 513-517 Downloads
  2. EQUITY-PREMIUM AND RISK-FREE-RATE PUZZLES AT LONG HORIZONS
    Macroeconomic Dynamics, 1997, 1, (2), 452-484 Downloads View citations (18)
  3. On biases in tests of the expectations hypothesis of the term structure of interest rates
    Journal of Financial Economics, 1997, 44, (3), 309-348 Downloads View citations (160)
    See also Working Paper (1996)
  4. The implications of first-order risk aversion for asset market risk premiums
    Journal of Monetary Economics, 1997, 40, (1), 3-39 Downloads View citations (82)
    See also Working Paper (1997)

1996

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

1995

  1. 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 Downloads

1993

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

1992

  1. Inflation and Asset Returns in a Monetary Economy
    Journal of Finance, 1992, 47, (4), 1315-42 Downloads View citations (101)

1991

  1. The Permanent Income Hypothesis Revisited
    Econometrica, 1991, 59, (2), 397-423 Downloads View citations (67)
    See also Working Paper (1990)
 
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