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| Publications of A. Craig Burnside :chronological combined listing:%% Books @book{fds350375, Author = {Burnside, C}, Title = {Comment}, Volume = {23}, Pages = {349-359}, Year = {2008}, Month = {January}, url = {http://dx.doi.org/10.1086/593089}, 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{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{fds324973, Author = {Dollar, D and Burnside, AC}, Title = {Aid, the Incentive Regime, and Poverty Reduction}, Year = {1998}, Month = {April}, Key = {fds324973} } @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{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{fds167782, Title = {Carry Trade and Currency Crashes: A Comment}, Journal = {NBER Macroeconomics Annual 2008}, Year = {2008}, Month = {July}, Key = {fds167782} } @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{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}, 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{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{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{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{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}, 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{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{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{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{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{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{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}, 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{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} } @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{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}, 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} } %% Chapters in Books @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{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{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{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{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{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{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{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{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{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{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{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{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} } @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{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{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} } | |
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