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Publications of Ravi Bansal    :chronological  alphabetical  combined listing:

%% Papers Submitted   
@article{fds322707,
   Author = {Bansal, R and Kiku, D and Yaron, A},
   Title = {Risks for the long run: Estimation with time
             aggregation},
   Pages = {52-69},
   Publisher = {Elsevier BV},
   Year = {2016},
   Month = {September},
   url = {http://dx.doi.org/10.1016/j.jmoneco.2016.07.003},
   Abstract = {The discrepancy between the decision and data-sampling
             intervals, known as time aggregation, confounds the
             identification of long-, short-run growth, and volatility
             risks in asset prices. This paper develops a method to
             simultaneously estimate the model parameters and the
             decision interval of the agent by exploiting identifying
             restrictions of the Long Run Risk (LRR) model that account
             for time aggregation. The LRR model finds considerable
             empirical support in the data; the estimated decision
             interval of the agents is 33 days. Our estimation results
             establish that long-run growth and volatility risks are
             important for asset prices.},
   Doi = {10.1016/j.jmoneco.2016.07.003},
   Key = {fds322707}
}


%% Journal Articles   
@article{fds357940,
   Author = {Bansal, R and Miller, S and Song, D and Yaron, A},
   Title = {The term structure of equity risk premia},
   Journal = {Journal of Financial Economics},
   Year = {2021},
   Month = {January},
   url = {http://dx.doi.org/10.1016/j.jfineco.2021.05.043},
   Abstract = {We estimate a regime-switching model for the equity term
             structure with Bayesian methods. Our approach accounts for
             the data sample being unrepresentative of the population
             distribution of regimes. We find that (i) the term structure
             of expected equity dividend strip returns is downward
             sloping in recessions and upward sloping in expansions, and
             (ii) the unconditional term structure of expected equity
             returns is positively sloped. Our estimation shows that the
             sample unrepresentativeness induces a downward bias in the
             estimate of the equity term structure slope. We present a
             regime-switching consumption-based asset-pricing model that
             matches the empirical findings.},
   Doi = {10.1016/j.jfineco.2021.05.043},
   Key = {fds357940}
}

@article{fds339265,
   Author = {Ai, H and Bansal, R},
   Title = {Risk Preferences and the Macroeconomic Announcement
             Premium},
   Journal = {Econometrica},
   Volume = {86},
   Number = {4},
   Pages = {1383-1430},
   Publisher = {The Econometric Society},
   Year = {2018},
   Month = {January},
   url = {http://dx.doi.org/10.3982/ECTA14607},
   Abstract = {This paper develops a revealed preference theory for the
             equity premium around macroeconomic announcements. Stock
             returns realized around pre-scheduled macroeconomic
             announcements, such as the employment report and the FOMC
             statements, account for 55% of the market equity premium. We
             provide a characterization theorem for the set of
             intertemporal preferences that generates a nonnegative
             announcement premium. Our theory establishes that the
             announcement premium identifies a significant deviation from
             time-separable expected utility and provides
             asset-market-based evidence for a large class of
             non-expected utility models. We also provide conditions
             under which asset prices may rise prior to some
             macroeconomic announcements and exhibit a pre-announcement
             drift.},
   Doi = {10.3982/ECTA14607},
   Key = {fds339265}
}

@article{fds266063,
   Author = {Bansal, R and Kiku, D and Shaliastovich, I and Yaron,
             A},
   Title = {Volatility, the Macroeconomy, and Asset Prices},
   Journal = {The Journal of Finance},
   Volume = {69},
   Number = {6},
   Pages = {2471-2511},
   Publisher = {WILEY},
   Year = {2014},
   Month = {January},
   ISSN = {0022-1082},
   url = {http://dx.doi.org/10.1111/jofi.12110},
   Abstract = {How important are volatility fluctuations for asset prices
             and the macroeconomy? We find that an increase in
             macroeconomic volatility is associated with an increase in
             discount rates and a decline in consumption. We develop a
             framework in which cash flow, discount rate, and volatility
             risks determine risk premia and show that volatility plays a
             significant role in explaining the joint dynamics of returns
             to human capital and equity. Volatility risk carries a
             sizable positive risk premium and helps account for the
             cross section of expected returns. Our evidence demonstrates
             that volatility is important for understanding expected
             returns and macroeconomic fluctuations.},
   Doi = {10.1111/jofi.12110},
   Key = {fds266063}
}

@article{fds266084,
   Author = {Bansal, R and Shaliastovich, I},
   Title = {A long-run risks explanation of predictability puzzles in
             bond and currency markets},
   Journal = {Review of Financial Studies},
   Volume = {26},
   Number = {1},
   Pages = {1-33},
   Publisher = {Oxford University Press (OUP)},
   Year = {2013},
   Month = {January},
   ISSN = {0893-9454},
   url = {http://dx.doi.org/10.1093/rfs/hhs108},
   Abstract = {We show that bond risk premia rise with uncertainty about
             expected inflation and fall with uncertainty about expected
             growth; the magnitude of return predictability using these
             uncertainty measures is similar to that by multiple yields.
             Motivated by this evidence, we develop and estimate a
             long-run risks model with timevarying volatilities of
             expected growth and inflation. The model simultaneously
             accounts for bond return predictability and violations of
             uncovered interest parity in currency markets. We find that
             preference for early resolution of uncertainty, time-varying
             volatilities, and non-neutral effects of inflation on growth
             are important to account for these aspects of asset markets.
             © 2012 The Author.},
   Doi = {10.1093/rfs/hhs108},
   Key = {fds266084}
}

@article{fds311136,
   Author = {Bansal, R and Kiku, D and Yaron, A},
   Title = {An Empirical Evaluation of the Long-Run Risks Model for
             Asset Prices},
   Volume = {1},
   Number = {1},
   Pages = {183-221},
   Year = {2012},
   Month = {January},
   Abstract = {We provide an empirical evaluation of the Long-Run Risks
             (LRR) model, and highlight important differences in the
             asset pricing implications of the LRR model relative to the
             habit model. We feature three key results: (i) consistent
             with the LRR model there is considerable evidence in the
             data for time-varying expected consumption growth and
             consumption volatility, (ii) the LRR model matches the key
             asset markets data features, (iii) in the data and in the
             LRR model accordingly, lagged consumption growth does not
             predict the future price-dividend ratio, while in the
             habit-model it counterfactually predicts the future
             price-dividend with an <italic>R</italic><sup>2</sup> of
             over 40%. Overall, we find considerable empirical support
             for the LRR model.},
   Key = {fds311136}
}

@article{fds266082,
   Author = {Bansal, R and Shaliastovich, I},
   Title = {Learning and asset-price jumps},
   Journal = {Review of Financial Studies},
   Volume = {24},
   Number = {8},
   Pages = {2738-2780},
   Publisher = {Oxford University Press (OUP)},
   Year = {2011},
   Month = {August},
   ISSN = {0893-9454},
   url = {http://dx.doi.org/10.1093/rfs/hhr023},
   Abstract = {We develop a general equilibrium model in which income and
             dividends are smooth but asset prices contain large moves
             (jumps). These large price jumps are triggered by optimal
             decisions of investors to learn the unobserved state. We
             show that learning choice is determined by preference
             parameters and the conditional volatility of income process.
             An important model prediction is that income volatility
             predicts future jump periods, while income growth does not.
             Consistent with the model, large moves in returns in the
             data are predicted by consumption volatility but not by
             consumption growth. © 2011 The Authors.},
   Doi = {10.1093/rfs/hhr023},
   Key = {fds266082}
}

@article{fds266083,
   Author = {Bansal, R and Kiku, D},
   Title = {Cointegration and long-run asset allocation},
   Journal = {Journal of Business & Economic Statistics},
   Volume = {29},
   Number = {1},
   Pages = {161-173},
   Publisher = {Informa UK Limited},
   Year = {2011},
   Month = {January},
   ISSN = {0735-0015},
   url = {http://dx.doi.org/10.1198/jbes.2010.08062},
   Abstract = {We show that economic restrictions of cointegration between
             asset cash flows and aggregate consumption have important
             implications for return dynamics and optimal portfolio
             rules, particularly at long investment horizons. When cash
             flows and consumption share a common stochastic trend (i.e.,
             are cointegrated), temporary deviations between their levels
             forecast long-horizon dividend growth rates and returns, and
             consequently, alter the term profile of risks and expected
             returns. We show that the optimal asset allocation based on
             the error-correction vector autoregression (EC-VAR)
             specification can be quite different relative to a
             traditional VAR that ignores the cointegrating relation.
             Unlike the EC-VAR, the commonly used VAR approach to model
             expected returns focuses on short-run forecasts and can
             considerably miss on long-horizon return dynamics, and
             hence, the optimal portfolio mix in the presence of
             cointegration. We develop and implement methods to account
             for parameter uncertainty in the EC-VAR setup and highlight
             the importance of the error-correction channel for optimal
             portfolio decisions at various investment horizons. © 2011
             American Statistical Association.},
   Doi = {10.1198/jbes.2010.08062},
   Key = {fds266083}
}

@article{fds266080,
   Author = {Bansal, R and Shaliastovich, I},
   Title = {Confidence risk and asset prices},
   Journal = {American Economic Review},
   Volume = {100},
   Number = {2},
   Pages = {537-541},
   Publisher = {American Economic Association},
   Year = {2010},
   Month = {May},
   ISSN = {0002-8282},
   url = {http://hdl.handle.net/10161/3297 Duke open
             access},
   Doi = {10.1257/aer.100.2.537},
   Key = {fds266080}
}

@article{fds266081,
   Author = {Bansal, R and Kiku, D and Yaron, A},
   Title = {Long run risks, the macroeconomy, and asset
             prices},
   Journal = {American Economic Review},
   Volume = {100},
   Number = {2},
   Pages = {542-546},
   Publisher = {American Economic Association},
   Year = {2010},
   Month = {May},
   ISSN = {0002-8282},
   url = {http://hdl.handle.net/10161/3374 Duke open
             access},
   Doi = {10.1257/aer.100.2.542},
   Key = {fds266081}
}

@article{fds266079,
   Author = {Bansal, R and Dittmar, R and Kiku, D},
   Title = {Cointegration and consumption risks in asset
             returns},
   Journal = {Review of Financial Studies},
   Volume = {22},
   Number = {3},
   Pages = {1343-1375},
   Publisher = {Oxford University Press (OUP)},
   Year = {2009},
   Month = {March},
   ISSN = {0893-9454},
   url = {http://dx.doi.org/10.1093/rfs/hhm085},
   Abstract = {We argue that the cointegrating relation between dividends
             and consumption, a measure of long-run consumption risks, is
             a key determinant of risk premia at all investment horizons.
             As the investment horizon increases, transitory risks
             disappear, and the asset's beta is dominated by long-run
             consumption risks. We show that the return betas, derived
             from the cointegration-based VAR (EC-VAR) model,
             successfully account for the cross-sectional variation in
             equity returns at both short and long horizons; however,
             this is not the case when the cointegrating restriction is
             ignored. Our evidence highlights the importance of
             cointegration-based long-run consumption risks for financial
             markets.},
   Doi = {10.1093/rfs/hhm085},
   Key = {fds266079}
}

@article{fds266064,
   Author = {Bansal, R},
   Title = {Long-Run Risks and Risk Compensation in Equity
             Markets},
   Pages = {167-193},
   Publisher = {Elsevier},
   Year = {2008},
   Month = {December},
   url = {http://dx.doi.org/10.1016/B978-044450899-7.50009-9},
   Doi = {10.1016/B978-044450899-7.50009-9},
   Key = {fds266064}
}

@article{fds266078,
   Author = {Bansal, R},
   Title = {Long-run risks and financial markets},
   Journal = {Federal Reserve Bank of St. Louis Review},
   Volume = {89},
   Number = {4},
   Pages = {283-299},
   Year = {2007},
   Month = {January},
   ISSN = {0014-9187},
   url = {http://dx.doi.org/10.20955/r.89.283-300},
   Abstract = {The recently developed long-run risks asset pricing model
             shows that concerns about long-run expected growth and
             time-varying uncertainty (i.e., volatility) about future
             economic prospects drive asset prices. These two channels of
             economic risks can account for the risk premia and asset
             price fluctuations. In addition, the model can empirically
             account for the cross-sectional differences in asset
             returns. Hence, the long-run risks model provides a coherent
             and systematic framework for analyzing financial markets.
             (JEL G0, G00, G1, G10, G12) © 2007, The Federal Reserve
             Bank of St. Louis.},
   Doi = {10.20955/r.89.283-300},
   Key = {fds266078}
}

@article{fds266077,
   Author = {Bansal, R and Gallant, AR and Tauchen, G},
   Title = {Rational pessimism, rational exuberance, and asset pricing
             models},
   Journal = {Review of Economic Studies},
   Volume = {74},
   Number = {4},
   Pages = {1005-1033},
   Publisher = {Oxford University Press (OUP)},
   Year = {2007},
   ISSN = {0034-6527},
   url = {http://dx.doi.org/10.1111/j.1467-937X.2007.00454.x},
   Abstract = {The paper estimates and examines the empirical plausibility
             of asset pricing models that attempt to explain features of
             financial markets such as the size of the equity premium and
             the volatility of the stock market. In one model, the
             long-run risks (LRR) model of Bansal and Yaron,
             low-frequency movements, and time-varying uncertainty in
             aggregate consumption growth are the key channels for
             understanding asset prices. In another, as typified by
             Campbell and Cochrane, habit formation, which generates
             time-varying risk aversion and consequently time variation
             in risk premia, is the key channel. These models are fitted
             to data using simulation estimators. Both models are found
             to fit the data equally well at conventional significance
             levels, and they can track quite closely a new measure of
             realized annual volatility. Further, scrutiny using a rich
             array of diagnostics suggests that the LRR model is
             preferred. © 2007 The Review of Economic Studies
             Limited.},
   Doi = {10.1111/j.1467-937X.2007.00454.x},
   Key = {fds266077}
}

@article{fds266075,
   Author = {Bansal, R and Dittmar, RF and Lundblad, CT},
   Title = {Consumption, dividends, and the cross section of equity
             returns},
   Journal = {The Journal of Finance},
   Volume = {60},
   Number = {4},
   Pages = {1639-1672},
   Publisher = {WILEY},
   Year = {2005},
   Month = {August},
   ISSN = {0022-1082},
   url = {http://dx.doi.org/10.1111/j.1540-6261.2005.00776.x},
   Abstract = {We show that aggregate consumption risks embodied in cash
             flows can account for the puzzling differences in risk
             premia across book-to-market, momentum, and size-sorted
             portfolios. The dynamics of aggregate consumption and cash
             flow growth rates, modeled as a vector autoregression, are
             used to measure the consumption beta of discounted cash
             flows. Differences in these cash flow betas account for more
             than 60% of the cross-sectional variation in risk premia.
             The market price for risk in cash flows is highly
             significant. We argue that cash flow risk is important for
             interpreting differences in risk compensation across
             assets.},
   Doi = {10.1111/j.1540-6261.2005.00776.x},
   Key = {fds266075}
}

@article{fds266076,
   Author = {Bansal, R and Khatchatrian, V and Yaron, A},
   Title = {Interpretable asset markets?},
   Journal = {European Economic Review},
   Volume = {49},
   Number = {3},
   Pages = {531-560},
   Publisher = {Elsevier BV},
   Year = {2005},
   Month = {April},
   ISSN = {0014-2921},
   url = {http://dx.doi.org/10.1016/j.euroecorev.2004.09.002},
   Abstract = {In this paper we show that measures of economic uncertainty
             (conditional volatility of consumption) predict and are
             predicted by valuation ratios at long horizons. Further we
             document that asset valuations drop as economic uncertainty
             rises-that is, financial markets dislike economic
             uncertainty. Moreover, future earnings growth rates are
             sharply predicted by current price-earnings ratios. It seems
             that much of the variation in asset prices can be attributed
             to fluctuations in economic uncertainty and expected
             cash-flow growth. This empirical evidence is consistent with
             the implications of existing parametric general equilibrium
             models. Hence, the channels of fluctuating economic
             uncertainty and expected growth seem important for
             interpreting asset markets. © 2004 Elsevier B.V. All rights
             reserved.},
   Doi = {10.1016/j.euroecorev.2004.09.002},
   Key = {fds266076}
}

@article{fds266072,
   Author = {Bansal, R and Tauchen, G and Zhou, H},
   Title = {Regime shifts, risk premiums in the term structure, and the
             business cycle},
   Journal = {Journal of Business & Economic Statistics},
   Volume = {22},
   Number = {4},
   Pages = {396-409},
   Publisher = {Informa UK Limited},
   Year = {2004},
   Month = {October},
   url = {http://dx.doi.org/10.1198/073500104000000398},
   Abstract = {Recent evidence indicates that using multiple forward rates
             sharply predicts future excess returns on U.S. Treasury
             Bonds, with the R2's being around 30%. The projection
             coefficients in these regressions exhibit a distinct pattern
             that relates to the maturity of the forward rate. These
             dimensions of the data, in conjunction with the transition
             dynamics of bond yields, offer a serious challenge to term
             structure models. In this article we show that a
             regime-shifting term structure model can empirically account
             for these challenging data features. Alternative models,
             such as affine specification, fail to account for these
             important features. We find that regimes in the model are
             intimately related to bond risk premia and real business
             cycles.},
   Doi = {10.1198/073500104000000398},
   Key = {fds266072}
}

@article{fds266074,
   Author = {Bansal, R and Yaron, A},
   Title = {Risks for the long run: A potential resolution of asset
             pricing puzzles},
   Journal = {The Journal of Finance},
   Volume = {59},
   Number = {4},
   Pages = {1481-1509},
   Publisher = {WILEY},
   Year = {2004},
   Month = {August},
   ISSN = {0022-1082},
   url = {http://dx.doi.org/10.1111/j.1540-6261.2004.00670.x},
   Abstract = {We model consumption and dividend growth rates as containing
             (1) a small longrun predictable component, and (2)
             fluctuating economic uncertainty (consumption volatility).
             These dynamics, for which we provide empirical support, in
             conjunction with Epstein and Zin's (1989) preferences, can
             explain key asset markets phenomena. In our economy,
             financial markets dislike economic uncertainty and better
             long-run growth prospects raise equity prices. The model can
             justify the equity premium, the risk-free rate, and the
             volatility of the market return, risk-free rate, and the
             price-dividend ratio, As in the data, dividend yields
             predict returns and the volatility of returns is
             time-varying.},
   Doi = {10.1111/j.1540-6261.2004.00670.x},
   Key = {fds266074}
}

@article{fds266073,
   Author = {Bansal, R and Christiano, L and Mendoza, EG},
   Title = {Introduction: Macroeconomic implications of capital flows in
             a global economy},
   Journal = {Journal of Economic Theory},
   Volume = {119},
   Number = {1 SPEC. ISS.},
   Pages = {1-5},
   Publisher = {Elsevier BV},
   Year = {2004},
   Month = {January},
   url = {http://dx.doi.org/10.1016/j.jet.2004.07.002},
   Abstract = {The papers in this volume address issues raised by the wave
             of financial crises that hit emerging markets since the mid
             1990s. Several of the papers examine the role that different
             credit market frictions may have played in triggering the
             crises, or in determining the effects of policies aimed at
             containing them. Other papers ask more general questions
             about the implications of international financial
             integration for business cycles, risk sharing, and sovereign
             lending. © 2004 Elsevier Inc. All rights
             reserved.},
   Doi = {10.1016/j.jet.2004.07.002},
   Key = {fds266073}
}

@article{fds266070,
   Author = {Bansal, R and Lundblad, C},
   Title = {Market efficiency, asset returns, and the size of the risk
             premium in global equity markets},
   Journal = {Journal of Econometrics},
   Volume = {109},
   Number = {2},
   Pages = {195-237},
   Publisher = {Elsevier BV},
   Year = {2002},
   Month = {August},
   url = {http://dx.doi.org/10.1016/S0304-4076(02)00067-2},
   Abstract = {An important economic insight is that observed equity prices
             must equal the present value of the cash flows associated
             with the equity claim. An implication of this insight is
             that present values of cash flows must also quantitatively
             justify the observed volatility and cross-correlations of
             asset returns. In this paper, we show that parametric
             economic models for present values can indeed account for
             the observed high ex post return volatility and
             cross-correlation observed across five major equity markets
             - the U.S., the U.K., France, Germany, and Japan. We present
             evidence that cash flow growth rates contain a small
             predictable long-run component; this feature, in conjunction
             with time-varying systematic risk, can justify key empirical
             characteristics of observed equity prices. Our model also
             has direct implications for the level of equity prices and
             specific versions of the model can, in many cases, capture
             observed price levels. Our evidence suggests that the ex
             ante risk premium on the global market portfolio has dropped
             considerably - we show that this fall in the risk premium is
             related to a decline in the conditional variance of global
             real cash flow growth rates. © 2002 Elsevier Science B.V.
             All rights reserved.},
   Doi = {10.1016/S0304-4076(02)00067-2},
   Key = {fds266070}
}

@article{fds266071,
   Author = {Bansal, R and Zhou, H},
   Title = {Term structure of interest rates with regime
             shifts},
   Journal = {The Journal of Finance},
   Volume = {57},
   Number = {5},
   Pages = {1997-2043},
   Publisher = {WILEY},
   Year = {2002},
   Month = {January},
   url = {http://dx.doi.org/10.1111/0022-1082.00487},
   Abstract = {We develop a term structure model where the short interest
             rate and the market price of risks are subject to discrete
             regime shifts. Empirical evidence from efficient method of
             moments estimation provides considerable support for the
             regime shifts model. Standard models, which include affine
             specifications with up to three factors, are sharply
             rejected in the data. Our diagnostics show that only the
             regime shifts model can account for the well-documented
             violations of the expectations hypothesis, the observed
             conditional volatility, and the conditional correlation
             across yields. We find that regimes are intimately related
             to business cycles.},
   Doi = {10.1111/0022-1082.00487},
   Key = {fds266071}
}

@article{fds266069,
   Author = {Bansal, R and Dahlquist, M},
   Title = {The forward premium puzzle: Different tales from developed
             and emerging economies},
   Journal = {Journal of International Economics},
   Volume = {51},
   Number = {1},
   Pages = {115-144},
   Publisher = {Elsevier BV},
   Year = {2000},
   Month = {January},
   url = {http://dx.doi.org/10.1016/S0022-1996(99)00039-2},
   Abstract = {In this paper we document new results regarding the forward
             premium puzzle. The often found negative correlation between
             the expected currency depreciation and interest rate
             differential is, contrary to popular belief, not a pervasive
             phenomenon. It is confined to developed economies, and here
             only to states where the U.S. interest rate exceeds foreign
             interest rates. Furthermore, we find that differences across
             economies are systematically related to per capita GNP,
             average inflation rates, and inflation volatility. Our
             empirical work suggests that it is hard to justify the
             cross-sectional differences in the risk premia as
             compensation for systematic risk. Instead, country-specific
             attributes seem to be important in characterizing the
             cross-sectional dispersion in the risk premia. (C) 2000
             Elsevier Science B.V. All rights reserved.},
   Doi = {10.1016/S0022-1996(99)00039-2},
   Key = {fds266069}
}

@article{fds266065,
   Author = {Bansal, R and Lehmann, BN},
   Title = {Growth-optimal portfolio restrictions on asset pricing
             models},
   Journal = {Macroeconomic Dynamics},
   Volume = {1},
   Number = {2},
   Pages = {333-354},
   Year = {1997},
   Month = {January},
   ISSN = {1365-1005},
   url = {http://dx.doi.org/10.1017/s1365100597003039},
   Abstract = {We show that absence of arbitrage in frictionless markets
             implies a lower bound on the average of the logarithm of the
             reciprocal of the stochastic discount factor implicit in
             asset pricing models. The greatest lower bound for a given
             asset menu is the average continuously compounded return on
             its growth-optimal portfolio. We use this bound to evaluate
             the plausibility of various parametric asset pricing models
             to characterize financial market puzzles such as the equity
             premium puzzle and the risk-free rate puzzle. We show that
             the insights offered by the growth-optimal bounds differ
             substantially from those obtained by other nonparametric
             bounds.},
   Doi = {10.1017/s1365100597003039},
   Key = {fds266065}
}

@article{fds266068,
   Author = {Bansal, R},
   Title = {An exploration of the forward premium puzzle in currency
             markets},
   Journal = {Review of Financial Studies},
   Volume = {10},
   Number = {2},
   Pages = {369-403},
   Publisher = {Oxford University Press (OUP)},
   Year = {1997},
   Month = {January},
   url = {http://dx.doi.org/10.1093/rfs/10.2.369},
   Abstract = {A standard empirical finding is that expected changes in
             exchange rates and interest rate differentials across
             countries are negatively related, implying that uncovered
             interest rate parity is violated in the data. This article
             provides new empirical evidence that suggests that
             violations of uncovered interest rate parity, and its
             economic implications, depend on the sign of the interest
             rate differential A framework related to term structure
             models is developed to account for the puzzling relationship
             between expected changes in exchange rates and interest rate
             differentials. Estimation results suggest that a particular
             term structure model can account for the puzzling empirical
             evidence.},
   Doi = {10.1093/rfs/10.2.369},
   Key = {fds266068}
}

@article{fds266066,
   Author = {Bansal, R and Coleman, WJ},
   Title = {A monetary explanation of the equity premium, term premium,
             and risk-free rate puzzles},
   Journal = {Journal of Political Economy},
   Volume = {104},
   Number = {6},
   Pages = {1135-1171},
   Publisher = {University of Chicago Press},
   Year = {1996},
   Month = {January},
   url = {http://dx.doi.org/10.1086/262056},
   Abstract = {This paper develops and estimates a monetary model that
             offers an explanation of some puzzling features of observed
             returns on equities and default-free bonds. The key feature
             of the model is that some assets other than money play a
             special role in facilitating transactions, which affects the
             rate of return that they offer. The model is capable of
             producing a low risk-free rate, a high equity premium, and
             an average positive relationship between maturity and term
             premium for default-free bonds. The model's implications for
             the joint distribution of asset returns, velocity,
             inflation, money growth, and consumption growth are also
             compared to the behavior of these variables in the U.S.
             economy.},
   Doi = {10.1086/262056},
   Key = {fds266066}
}

@article{fds266067,
   Author = {Bansal, R and Gallant, AR and Hussey, R and Tauchen,
             G},
   Title = {Nonparametric estimation of structural models for
             high-frequency currency market data},
   Journal = {Journal of Econometrics},
   Volume = {66},
   Number = {1-2},
   Pages = {251-287},
   Publisher = {Elsevier BV},
   Year = {1995},
   Month = {January},
   ISSN = {0304-4076},
   url = {http://hdl.handle.net/10161/1902 Duke open
             access},
   Abstract = {Empirical modeling of high-frequency currency market data
             reveals substantial evidence for nonnormality, stochastic
             volatility, and other nonlinearities. This paper
             investigates whether an equilibrium monetary model can
             account for nonlinearities in weekly data. The model
             incorporates time-nonseparable preferences and a transaction
             cost technology. Simulated sample paths are generated using
             Marcet's parameterized expectations procedure. The paper
             also develops a new method for estimation of structural
             economic models. The method forces the model to match (under
             a GMM criterion) the score function of a nonparametric
             estimate of the conditional density of observed data. The
             estimation uses weekly U.S.-German currency market data,
             1975-90. © 1995.},
   Doi = {10.1016/0304-4076(94)01618-A},
   Key = {fds266067}
}

@article{fds311138,
   Author = {BANSAL, R and VISWANATHAN, S},
   Title = {No Arbitrage and Arbitrage Pricing: A New
             Approach},
   Journal = {The Journal of Finance},
   Volume = {48},
   Number = {4},
   Pages = {1231-1262},
   Publisher = {WILEY},
   Year = {1993},
   Month = {January},
   ISSN = {0022-1082},
   url = {http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:A1993MB51200005&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=47d3190e77e5a3a53558812f597b0b92},
   Abstract = {We argue that arbitrage‐pricing theories (APT) imply the
             existence of a low‐dimensional nonnegative nonlinear
             pricing kernel. In contrast to standard constructs of the
             APT, we do not assume a linear factor structure on the
             payoffs. This allows us to price both primitive and
             derivative securities. Semi‐nonparametric techniques are
             used to estimate the pricing kernel and test the theory.
             Empirical results using size‐based portfolio returns and
             yields on bonds reject the nested capital asset‐pricing
             model and linear APT and support the nonlinear APT.
             Diagnostics show that the nonlinear model is more capable of
             explaining variations in small firm returns. 1993 The
             American Finance Association},
   Doi = {10.1111/j.1540-6261.1993.tb04753.x},
   Key = {fds311138}
}

@article{fds311137,
   Author = {BANSAL, R and HSIEH, DA and VISWANATHAN, S},
   Title = {A New Approach to International Arbitrage
             Pricing},
   Journal = {The Journal of Finance},
   Volume = {48},
   Number = {5},
   Pages = {1719-1747},
   Publisher = {WILEY},
   Year = {1993},
   Month = {January},
   ISSN = {0022-1082},
   url = {http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:A1993MP99100006&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=47d3190e77e5a3a53558812f597b0b92},
   Abstract = {This paper uses a nonlinear arbitrage‐pricing model, a
             conditional linear model, and an unconditional linear model
             to price international equities, bonds, and forward currency
             contracts. Unlike linear models, the nonlinear
             arbitrage‐pricing model requires no restrictions on the
             payoff space, allowing it to price payoffs of options,
             forward contracts, and other derivative securities. Only the
             nonlinear arbitrage‐pricing model does an adequate job of
             explaining the time series behavior of a cross section of
             international returns. 1993 The American Finance
             Association},
   Doi = {10.1111/j.1540-6261.1993.tb05126.x},
   Key = {fds311137}
}


%% Chapters in Books   
@misc{fds266062,
   Author = {Bansal, R},
   Title = {Long Run Risks and Risk Compensation in Equity
             Market},
   Booktitle = {Handbook of Investments: Equity Risk Premium},
   Publisher = {North Holland},
   Editor = {Mehra, R},
   Year = {2006},
   Key = {fds266062}
}

@misc{fds266061,
   Author = {Bansal, R},
   Title = {Growth-Optimal Portfolio Restrictions on Asset Pricing
             Model},
   Volume = {1},
   Pages = {333-354},
   Booktitle = {Macroeconomic Dynamics},
   Year = {1997},
   Key = {fds266061}
}

@misc{fds266060,
   Author = {Bansal, R},
   Title = {Computational Aspects of Nonparametric Simulation
             Estimation},
   Publisher = {Kluwer Academic Publishers},
   Editor = {Belsley, D},
   Year = {1994},
   Key = {fds266060}
}


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