Publications of A. Craig Burnside
%% Books
@book{fds350375,
Author = {Burnside, C},
Title = {Comment},
Volume = {23},
Pages = {349-359},
Year = {2008},
Month = {January},
Doi = {10.1086/593089},
Key = {fds350375}
}
@book{fds43897,
Title = {Fiscal Sustainability in Theory and Practice: A
Handbook},
Publisher = {World Bank},
Editor = {Craig Burnside},
Year = {2005},
Month = {June},
Key = {fds43897}
}
%% Journal Articles
@article{fds324943,
Author = {Burnside, AC and Graveline, JJ},
Title = {On the Asset Market View of Exchange Rates},
Journal = {Review of Financial Studies},
Year = {2019},
Month = {January},
Key = {fds324943}
}
@article{fds305299,
Author = {Burnside, C and Eichenbaum, M and Rebelo, S},
Title = {Understanding booms and busts in housing
markets},
Journal = {Journal of Political Economy},
Volume = {124},
Series = {NBER Working Paper 16734},
Number = {4},
Pages = {1088-1147},
Publisher = {University of Chicago Press},
Year = {2016},
Month = {August},
ISSN = {1537-534X},
url = {http://hdl.handle.net/10161/10440 Duke open access
repository},
Abstract = {Some booms in housing prices are followed by busts. Others
are not. It is generally difficult to find observable
fundamentals that are useful for predicting whether a boom
will turn into a bust or not. We develop a model consistent
with these observations. Agents have heterogeneous
expectations about long-run fundamentals but change their
views because of “social dynamics.” Agents with tighter
priors are more likely to convert others to their beliefs.
Boom-bust episodes typically occur when skeptical agents
happen to be correct. The booms that are not followed by
busts typically occur when optimistic agents happen to be
correct.},
Doi = {10.1086/686732},
Key = {fds305299}
}
@article{fds315018,
Author = {Burnside, AC},
Title = {Identification and inference in linear stochastic discount
factor models with excess returns},
Journal = {Journal of Financial Econometrics},
Volume = {14},
Number = {2},
Pages = {295-330},
Publisher = {Oxford University Press (OUP)},
Year = {2016},
ISSN = {1479-8409},
url = {http://hdl.handle.net/10161/10441 Duke open access
repository},
Abstract = {When excess returns are used to estimate linear stochastic
discount factor (SDF) models, researchers often adopt a
normalization of the SDF that sets its mean to 1, or one
that sets its intercept to 1. These normalizations are often
treated as equivalent, but they are subtly different both in
population, and in finite samples. Standard asymptotic
inference relies on rank conditions that differ across the
two normalizations, and which can fail to differing degrees.
I first establish that failure of the rank conditions is a
genuine concern for many well-known SDF models in the
literature. I also describe how failure of the rank
conditions can affect inference, both in population and in
finite samples. I propose using tests of the rank conditions
not only as a diagnostic device, but also for model
reduction. I show that this model reduction procedure has
desirable properties in a Monte-Carlo experiment with a
calibrated model.},
Doi = {10.1093/jjfinec/nbv018},
Key = {fds315018}
}
@article{fds320422,
Author = {Burnside, AC and Graveline, J},
Title = {Exchange Rate Determination, Risk Sharing and the Asset
Market View},
Journal = {Economic Research Initiatives at Duke (ERID)},
Number = {139},
Pages = {49 pages},
Year = {2012},
Month = {December},
Abstract = {Recent research in international finance has equated changes
in real exchange rates with differences between the marginal
utility growths of representative agents in different
economies. The asset market view of exchange rates,
encapsulated in this equation, has been used to gain
insights into exchange rate determination, foreign exchange
risk premia, and international risk sharing. We argue that,
in fact, this equation is of limited usefulness. By itself,
the asset market view does not identify the economic
mechanism that determines the exchange rate. It only holds
under complete markets, and even then, it does not generally
allow us to identify the marginal utility growths of
distinct agents. Moreover, if we allow for incomplete asset
markets, measures of agents' marginal utility growths, and
international risk sharing, cannot be based on asset market
and exchange rate data alone. Instead, we argue that in
order to explain how exchange rates are determined, it is
necessary to make specific assumptions about preferences,
goods market frictions, the assets agents can trade, and the
nature of endowments or production.},
Key = {fds320422}
}
@article{fds291841,
Author = {Burnside, C},
Title = {The cross section of foreign currency risk premia and
consumption growth risk: Comment},
Journal = {American Economic Review},
Volume = {101},
Number = {7},
Pages = {3456-3476},
Publisher = {American Economic Association},
Year = {2011},
Month = {December},
ISSN = {0002-8282},
url = {http://hdl.handle.net/10161/2034 Duke open access
repository},
Abstract = {Lustig and Verdelhan (2007) argue that the excess returns to
borrowing US dollars and lending in foreign currency
"compensate US investors for taking on more US consumption
growth risk," yet the stochastic discount factor
corresponding to their benchmark model is approximately
uncorrelated with the returns they study. Hence, one cannot
reject the null hypothesis that their model explains none of
the cross sectional variation of the expected returns. Given
this finding, and other evidence, I argue that the forward
premium puzzle remains a puzzle.},
Doi = {10.1257/aer.101.7.3456},
Key = {fds291841}
}
@article{fds291840,
Author = {Burnside, C and Eichenbaum, M and Rebelo, S},
Title = {Carry trade and momentum in currency markets},
Journal = {Annual Review of Financial Economics},
Volume = {3},
Number = {1},
Pages = {511-535},
Publisher = {ANNUAL REVIEWS},
Year = {2011},
Month = {November},
ISSN = {1941-1367},
url = {http://arjournals.annualreviews.org/eprint/CdDwFbwREd8HNpdXPhKb/full/10.1146/annurev-financial-102710-144913},
Abstract = {We examine the empirical properties of the payoffs to two
popular currency speculation strategies: the carry trade and
momentum. We review three possible explanations for the
apparent profitability of these strategies. The first is
that speculators are being compensated for bearing risk. The
second is that these strategies are vulnerable to rare
disasters or peso problems. The third is that there is price
pressure in currency markets. © 2011 by Annual Reviews. All
rights reserved.},
Doi = {10.1146/annurev-financial-102710-144913},
Key = {fds291840}
}
@article{fds291861,
Author = {Burnside, C and Han, B and Hirshleifer, D and Wang,
TY},
Title = {Investor overconfidence and the forward premium
puzzle},
Journal = {Review of Economic Studies},
Volume = {78},
Number = {2},
Pages = {523-558},
Publisher = {Oxford University Press (OUP)},
Year = {2011},
Month = {April},
ISSN = {0034-6527},
url = {http://restud.oxfordjournals.org/content/78/2/523.abstract},
Abstract = {We offer an explanation for the forward premium puzzle in
foreign exchange markets based upon investor overconfidence.
In the model, overconfident individuals overreact to their
information about future inflation, which causes greater
overshooting in the forward rate than in the spot rate.
Thus, when agents observe a signal of higher future
inflation, the consequent rise in the forward premium
predicts a subsequent downward correction of the spot rate.
The model can explain the magnitude of the forward premium
bias and several other stylized facts related to the joint
behaviour of forward and spot exchange rates. Our approach
is also consistent with the availability of profitable carry
trade strategies. © The Author 2011. Published by Oxford
University Press on behalf of The Review of Economic Studies
Limited.},
Doi = {10.1093/restud/rdq013},
Key = {fds291861}
}
@article{fds291862,
Author = {Burnside, C and Eichenbaum, M and Kleshchelski, I and Rebelo,
S},
Title = {Do peso problems explain the returns to the carry
trade?},
Journal = {Review of Financial Studies},
Volume = {24},
Number = {3},
Pages = {853-891},
Publisher = {Oxford University Press (OUP)},
Year = {2011},
Month = {March},
ISSN = {0893-9454},
url = {http://hdl.handle.net/10161/2017 Duke open access
repository},
Abstract = {We study the properties of the carry trade, a currency
speculation strategy in which an investor borrows
low-interest-rate currencies and lends high-interest-rate
currencies. This strategy generates payoffs that are on
average large and uncorrelated with traditional risk
factors. We argue that these payoffs reflect a peso problem.
The underlying peso event features high values of the
stochastic discount factor rather than very large negative
payoffs. © 2010 The Author Published by Oxford University
Press on behalf of The Society for Financial Studies. All
rights reserved.},
Doi = {10.1093/rfs/hhq138},
Key = {fds291862}
}
@article{fds324947,
Author = {Tabova, A and Burnside, AC},
Title = {Risk, Volatility, and the Global Cross-Section of Growth
Rates},
Journal = {Duke Department of Economics Research Paper},
Number = {43},
Year = {2010},
Month = {April},
Key = {fds324947}
}
@article{fds167782,
Title = {Carry Trade and Currency Crashes: A Comment},
Journal = {NBER Macroeconomics Annual 2008},
Year = {2008},
Month = {July},
Key = {fds167782}
}
@article{fds324953,
Author = {Burnside, AC},
Title = {Empirical Asset Pricing and Statistical Power in the
Presence of Weak Risk Factors},
Year = {2008},
Month = {March},
Key = {fds324953}
}
@article{fds324957,
Author = {Burnside, AC},
Title = {The Forward Premium is Still a Puzzle},
Year = {2007},
Month = {May},
Key = {fds324957}
}
@article{fds324958,
Author = {Burnside, AC and Eichenbaum, M and Kleshchelski, I and Rebelo,
ST},
Title = {The Returns to Currency Speculation},
Journal = {CEPR Discussion Paper},
Number = {5883},
Year = {2006},
Month = {October},
Key = {fds324958}
}
@article{fds324961,
Author = {A.C. Burnside and Burnside, AC and Dollar, D},
Title = {Aid, Policies, and Growth: Revisiting the
Evidence},
Year = {2004},
Month = {March},
Key = {fds324961}
}
@article{fds324967,
Author = {Burnside, AC and Eichenbaum, M and Rebelo, ST},
Title = {On the Fundamentals of Self-Fulfilling Speculative
Attacks},
Year = {2000},
Month = {February},
Key = {fds324967}
}
@article{fds324968,
Author = {A.C. Burnside and Burnside, AC and Eichenbaum, M and Fisher, JDM},
Title = {Fiscal Shocks in an Efficiency Wage Model},
Booktitle = {Macroeconomics and the Real World, Volume 1: Econometric
Techniques and Macroeconomics},
Publisher = {Oxford: Oxford University Press},
Editor = {Roger E. Backhouse and Andrea Salanti},
Year = {2000},
Month = {January},
Key = {fds324968}
}
@article{fds324969,
Author = {Burnside, AC and Eichenbaum, M and Fisher, JDM},
Title = {Assessing the Effects of Fiscal Shocks},
Year = {2000},
Month = {January},
Key = {fds324969}
}
@article{fds324973,
Author = {Dollar, D and Burnside, AC},
Title = {Aid, the Incentive Regime, and Poverty Reduction},
Year = {1998},
Month = {April},
Key = {fds324973}
}
@article{fds191300,
Title = {Industry Innovation: Where and Why. A Comment},
Journal = {Carnegie-Rochester Conference Series on Public
Policy},
Volume = {44},
Pages = {151–67},
Year = {1996},
Month = {June},
Key = {fds191300}
}
@article{fds191297,
Author = {A.C. Burnside and Martin Eichenbaum and Sergio Rebelo},
Title = {Capital Utilization and Returns to Scale},
Journal = {1995 NBER Macroeconomics Annual},
Publisher = {Cambridge, MA: MIT Press},
Year = {1996},
Month = {January},
Key = {fds191297}
}
@article{fds324974,
Author = {Burnside, AC and Eichenbaum, M and Rebelo, ST},
Title = {Capital Utilization and Returns to Scale},
Year = {1995},
Month = {May},
Key = {fds324974}
}
@article{fds324976,
Author = {A.C. Burnside and Burnside, AC and McCurdy, TH},
Title = {The Equity Premium Puzzle},
Booktitle = {The New Palgrave Dictionary of Money and
Finance},
Year = {1992},
Key = {fds324976}
}
%% Chapters in Books
@misc{fds154214,
Author = {Craig Burnside and Martin Eichenbaum and Sergio
Rebelo},
Title = {Currency Crises Models},
Booktitle = {The New Palgrave Dictionary of Economics, 2nd
ed.},
Publisher = {Palgrave Macmillan},
Editor = {Steven N. Durlauf and Lawrence E. Blume},
Year = {2008},
Month = {December},
Key = {fds154214}
}
@misc{fds51684,
Author = {Craig Burnside and Domenico Fanizza},
Title = {Debt Relief and Fiscal Sustainability for
HIPCs},
Booktitle = {Reinventing Foreign Aid},
Publisher = {MIT Press},
Editor = {William Easterly},
Year = {2008},
Month = {July},
Key = {fds51684}
}
@misc{fds43891,
Author = {A.C. Burnside and Martin Eichenbaum and Sergio Rebelo},
Title = {Financing the Costs of Currency Crises},
Pages = {233-70},
Booktitle = {Fiscal Sustainability in Theory and Practice: A
Handbook},
Publisher = {World Bank},
Editor = {Craig Burnside},
Year = {2005},
Month = {June},
Key = {fds43891}
}
@misc{fds43892,
Author = {A.C. Burnside and Martin Eichenbaum and Sergio Rebelo},
Title = {Currency Crises and Fiscal Sustainability},
Pages = {205-32},
Booktitle = {Fiscal Sustainability in Theory and Practice: A
Handbook},
Publisher = {World Bank},
Editor = {Craig Burnside},
Year = {2005},
Month = {June},
Key = {fds43892}
}
@misc{fds43893,
Title = {Some Tools for Fiscal Sustainability Analysis},
Pages = {35-80},
Booktitle = {Fiscal Sustainability in Theory and Practice: A
Handbook},
Publisher = {World Bank},
Editor = {Craig Burnside},
Year = {2005},
Month = {June},
Key = {fds43893}
}
@misc{fds43896,
Title = {Theoretical Prerequisites for Fiscal Sustainability
Analysis},
Pages = {11-34},
Booktitle = {Fiscal Sustainability in Theory and Practice: A
Handbook},
Publisher = {World Bank},
Editor = {Craig Burnside},
Year = {2005},
Month = {June},
Key = {fds43896}
}
@misc{fds43894,
Author = {A.C. Burnside and Yuliya Meshcheryakova},
Title = {Mexico: A Case Study of Procyclical Fiscal
Policy},
Pages = {133-74},
Booktitle = {Fiscal Sustainability in Theory and Practice: A
Handbook},
Publisher = {World Bank},
Editor = {Craig Burnside},
Year = {2005},
Month = {June},
Key = {fds43894}
}
@misc{fds43895,
Author = {A.C. Burnside and Yuliya Meshcheryakova},
Title = {Cyclical Adjustment of the Budget Surplus: Concepts and
Measurement Issues},
Pages = {113-32},
Booktitle = {Fiscal Sustainability in Theory and Practice: A
Handbook},
Publisher = {World Bank},
Editor = {Craig Burnside},
Year = {2005},
Month = {June},
Key = {fds43895}
}
@misc{fds29658,
Title = {Discussion [of Monetary Policy in a Small Open Economy, by
Gabriel Srour]},
Booktitle = {Price Adjustment and Monetary Policy},
Publisher = {Ottawa: Bank of Canada},
Year = {2003},
Key = {fds29658}
}
@misc{fds325681,
Author = {A.C. Burnside and Burnside, AC and Eichenbaum, M and Rebelo, S},
Title = {On the Fiscal Implications of Twin Crises},
Booktitle = {Managing Currency Crises in Emerging Markets},
Publisher = {University of Chicago Press},
Editor = {Dooley, MP and Frankel, JA},
Year = {2003},
Key = {fds325681}
}
@misc{fds29660,
Author = {A.C. Burnside and David Dollar},
Title = {Aid, Growth, the Incentive Regime, and Poverty
Reduction},
Booktitle = {The World Bank: Structure and Policies},
Publisher = {Cambridge: Cambridge University Press},
Editor = {Christopher L. Gilbert and David Vines},
Year = {2000},
Key = {fds29660}
}
@misc{fds29661,
Title = {Discrete State-Space Methods for the Study of Dynamic
Economies},
Booktitle = {Computational Methods for the Study of Dynamic
Economies},
Publisher = {Oxford: Oxford University Press},
Editor = {Ramon Marimon and Andrew Scott},
Year = {1999},
Key = {fds29661}
}
@misc{fds29662,
Author = {A.C. Burnside and Martin Eichenbaum and Sergio Rebelo},
Title = {What Caused the Recent Asian Currency Crisis?},
Booktitle = {The Asian Financial Crisis: Origins, Implications and
Solutions},
Publisher = {Boston: Kluwer Academic Publishers},
Editor = {William C. Hunter and George G. Kaufman and Thomas H.
Krueger},
Year = {1999},
Key = {fds29662}
}
%% Working Papers
@article{fds204478,
Author = {Craig Burnside and Jeremy J. Graveline},
Title = {On the Asset Market View of Exchange Rates},
Year = {2014},
Month = {July},
url = {http://www.nber.org/papers/w18646},
Key = {fds204478}
}
%% Other
@misc{fds211374,
Author = {Craig Burnside and Martin Eichenbaum and Sergio
Rebelo},
Title = {Understanding the Profitability of Currency-Trading
Strategies},
Journal = {NBER Reporter},
Volume = {2012},
Number = {3},
Pages = {10-14},
Year = {2012},
Month = {July},
url = {http://www.nber.org/reporter/2012number3/burnside.html},
Key = {fds211374}
}
@misc{fds44266,
Title = {Comments on “The Welfare Implications of Inflation versus
Price-Level Targeting in a Two-Sector Small Open Economy
Model”},
Series = {Economic Conference Papers and Proceedings},
Booktitle = {Issues in Inflation Targeting},
Publisher = {Bank of Canada},
Year = {2006},
Key = {fds44266}
}
@misc{fds27357,
Author = {A.C. Burnside and David Dollar},
Title = {Aid Spurs Growth-in a Sound Policy Environment},
Journal = {Finance & Development},
Volume = {34},
Number = {4},
Pages = {4–7},
Year = {1997},
Key = {fds27357}
}
@misc{fds27359,
Author = {contributor to the},
Title = {1989-90 Official National Hockey League Guide and Record
Book},
Publisher = {Montreal: National Hockey League},
Year = {1989},
Key = {fds27359}
}