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
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Working Papers
2005
- 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
- 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
- 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
- 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
- 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
- Consumption-based modeling of long-horizon returns
Working Paper Series, Federal Reserve Bank of Chicago View citations (5)
1997
- "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)
- Bank capital standards for market risk: a welfare analysis
Working Paper Series, Issues in Financial Regulation, Federal Reserve Bank of Chicago View citations (4)
Also in Proceedings, Federal Reserve Bank of Chicago (1997) View citations (3)
See also Journal Article Bank Capital Standards for Market Risk: A Welfare Analysis, Review of Finance, European Finance Association (1999) View citations (4) (1999)
- 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)
- The implications of first-order risk aversion for asset market risk premiums
Discussion Paper, Tilburg University, Center for Economic Research View citations (79)
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 (89) (1997)
1996
- 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 (202) (1997)
- 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
- Asset return volatility with extremely small costs of consumption adjustment
Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago View citations (4)
- 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)
- The effect of costly consumption adjustment on asset price volatility
Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago View citations (1)
1992
- 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
- 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
- The role of time-critical liquidity in financial markets
Economic Perspectives, 2013, 37, (Q II), 30-46 View citations (2)
2009
- Financial market utilities and the challenge of just-in-time liquidity
Chicago Fed Letter, 2009, (Nov) View citations (2)
- 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
- Explaining the decline in the auction rate securities market
Chicago Fed Letter, 2008, (Nov) View citations (1)
2007
- 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
- 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
- Comment on: "Estimating the expected marginal rate of substitution"
Journal of Monetary Economics, 2005, 52, (5), 971-979 View citations (3)
2002
- Financial crises and coordination failure: A comment
Journal of Banking & Finance, 2002, 26, (2-3), 547-555
- 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
- A retrospective on the Asian crisis of 1997: was it foreseen?
Chicago Fed Letter, 2001, (Jan)
- 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)
- 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)
- The crisis of 1998 and the role of the central bank
Economic Perspectives, 2001, 25, (Q I), 2-23 View citations (3)
1999
- 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, Working Paper Series, Issues in Financial Regulation (1997) View citations (4) (1997)
- Investing social security trusts funds in the stock market
Chicago Fed Letter, 1999, (Dec)
1998
- 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)
- Understanding the Asian crisis: systemic risk as coordination failure
Economic Perspectives, 1998, 22, (Q III), 13-38 View citations (30)
- Whither the stock market?
Chicago Fed Letter, 1998, (Aug)
1997
- COMMENT ON “CAPM RISK ADJUSTMENT FOR EXACT AGGREGATION OVER FINANCIAL ASSETS,” BY BARNETT, LIU, AND JENSEN
Macroeconomic Dynamics, 1997, 1, (2), 513-517
- EQUITY-PREMIUM AND RISK-FREE-RATE PUZZLES AT LONG HORIZONS
Macroeconomic Dynamics, 1997, 1, (2), 452-484 View citations (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 (202)
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)
- The implications of first-order risk aversion for asset market risk premiums
Journal of Monetary Economics, 1997, 40, (1), 3-39 View citations (89)
See also Working Paper The implications of first-order risk aversion for asset market risk premiums, Discussion Paper (1997) View citations (79) (1997)
1996
- Bank capital for market risk: a study in incentive compatible regulation
Chicago Fed Letter, 1996, (Apr) View citations (2)
- Monetary policy shocks and long-term interest rates
Economic Perspectives, 1996, 20, (Mar), 2-17 View citations (28)
1995
- 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
- Search, Bargaining, Money and Prices: Recent Results and Policy Implications: Comment
Journal of Money, Credit and Banking, 1993, 25, (3), 577-81
1992
- Inflation and Asset Returns in a Monetary Economy
Journal of Finance, 1992, 47, (4), 1315-42 View citations (118)
1991
- 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)
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