David Aaron Marshall : Citation Profile


Are you David Aaron Marshall?

Federal Reserve Bank of Chicago

13

H index

14

i10 index

983

Citations

RESEARCH PRODUCTION:

28

Articles

25

Papers

RESEARCH ACTIVITY:

   26 years (1987 - 2013). See details.
   Cites by year: 37
   Journals where David Aaron Marshall has often published
   Relations with other researchers
   Recent citing documents: 17.    Total self citations: 17 (1.7 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pma2426
   Updated: 2021-10-16    RAS profile:    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with David Aaron Marshall.

Is cited by:

Bekaert, Geert (30)

Thornton, Daniel (27)

Ang, Andrew (25)

Piazzesi, Monika (17)

Christiano, Lawrence (16)

Guillén, Osmani (15)

Sarno, Lucio (15)

Guidolin, Massimo (13)

Swanson, Eric (12)

Gürkaynak, Refet (11)

Prescott, Edward (11)

Cites to:

Christiano, Lawrence (24)

Eichenbaum, Martin (20)

Bekaert, Geert (15)

Hodrick, Robert (14)

Bernanke, Ben (11)

Evans, Charles (10)

Smith, Bruce (9)

Campbell, John (9)

Sims, Christopher (9)

chang, chun (8)

Prescott, Edward (8)

Main data


Where David Aaron Marshall has published?


Journals with more than one article published# docs
Chicago Fed Letter6
Economic Perspectives5
Journal of Monetary Economics4
Journal of Money, Credit and Banking3
Carnegie-Rochester Conference Series on Public Policy2
Macroeconomic Dynamics2

Working Papers Series with more than one paper published# docs
Working Paper Series / Federal Reserve Bank of Chicago5
Working Paper Series, Macroeconomic Issues / Federal Reserve Bank of Chicago5
Working Paper Series, Issues in Financial Regulation / Federal Reserve Bank of Chicago4

Recent works citing David Aaron Marshall (2021 and 2020)


YearTitle of citing document
2020Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies?. (2020). Guidolin, Massimo ; Orlov, Alexei. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20146.

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2021Yield curve modelling and forecasting in an undeveloped financial market: The case of Bulgaria. (2021). Makarieva, Martina. In: Economic Thought journal. RePEc:bas:econth:y:2021:i:2:p:61-83,84-104.

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2020The term structure of Eurozone peripheral bond yields: an asymmetric regime-switching equilibrium correction approach. (2020). lucey, brian ; Bekiros, Stelios ; Brian, Lucey ; Stelios, Bekiros ; Christos, Avdoulas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:4:p:23:n:4.

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2021MoNK: Mortgages in a New-Keynesian model. (2021). Ustek, Roman ; Kydland, Finn E ; Garriga, Carlos. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:123:y:2021:i:c:s016518892030227x.

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2021Labour market miracle, productivity debacle: Measuring the effects of skill-biased and skill-neutral technical change. (2021). Weber, Enzo ; Hutter, Christian. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001735.

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2021Can interest rate factors explain exchange rate fluctuations?. (2021). Yung, Julieta. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:34-56.

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2020Asset pricing with long-run durable expenditure risk. (2020). Li, Huan. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318306597.

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2020No-arbitrage determinants of credit spread curves under the unconventional monetary policy regime in Japan. (2020). Takaoka, Sumiko ; Okimoto, Tatsuyoshi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s1042443119300290.

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2020Asset pricing implications of money: New evidence. (2020). Silva, Andre ; Maio, Paulo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:120:y:2020:i:c:s0378426620302181.

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2020Risk Premia at the ZLB: A Macroeconomic Interpretation. (2020). Gourio, Francois ; Ngo, Phuong. In: Working Paper Series. RePEc:fip:fedhwp:87504.

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2020Risk Premia at the ZLB: A Macroeconomic Interpretation. (2020). Ngo, Phuong ; Gourio, Francois. In: Working Paper Series. RePEc:fip:fedhwp:92785.

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2020Dynamic Prudential Regulation. (2020). Yang, Baozhong ; Subramanian, Ajay. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:7:p:3183-3210.

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2021The talkative variables of the hybrid Heston model: Yields’ maturity and economic (in)stability. (2021). Recchioni, Maria Cristina ; Tedeschi, Gabriele ; Campigli, Francesco. In: Working Papers. RePEc:jau:wpaper:2021/03.

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2020Biases in Long-Horizon Predictive Regressions. (2020). Richardson, Matthew P ; Israel, Ronen ; Boudoukh, Jacob . In: NBER Working Papers. RePEc:nbr:nberwo:27410.

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2020Monetary policy after the crisis: A threat to hedge funds alphas?. (2020). Guidolin, Massimo ; Pedio, Manuela ; Berglund, Alexander. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:3:d:10.1057_s41260-020-00160-7.

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2020.

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2020A time–frequency analysis of the Canadian macroeconomy and the yield curve. (2020). Ojo, Mustapha Olalekan ; Soares, Maria Joana ; Aguiar-Conraria, Luis. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:5:d:10.1007_s00181-018-1580-y.

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Works by David Aaron Marshall:


YearTitleTypeCited
1992 Inflation and Asset Returns in a Monetary Economy. In: Journal of Finance.
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article99
2005Fundamental Economic Shocks and The Macroeconomy In: Working Papers Central Bank of Chile.
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paper11
2009Fundamental Economic Shocks and the Macroeconomy.(2009) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has another version. Agregated cites: 11
article
1997EQUITY-PREMIUM AND RISK-FREE-RATE PUZZLES AT LONG HORIZONS In: Macroeconomic Dynamics.
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article18
1997COMMENT ON BY BARNETT, LIU, AND JENSEN In: Macroeconomic Dynamics.
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article0
1991The Permanent Income Hypothesis Revisited. In: Econometrica.
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article69
1990The permanent income hypothesis revisited.(1990) In: Staff Report.
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This paper has another version. Agregated cites: 69
paper
1987The Permanent Income Hypothesis Revisited.(1987) In: NBER Working Papers.
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This paper has another version. Agregated cites: 69
paper
1998Monetary policy and the term structure of nominal interest rates: Evidence and theory In: Carnegie-Rochester Conference Series on Public Policy.
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article117
1997Monetary policy and the term structure of nominal interest rates: evidence and theory.(1997) In: Working Paper Series, Macroeconomic Issues.
[Citation analysis]
This paper has another version. Agregated cites: 117
paper
2001Bank capital regulation with and without state-contingent penalties In: Carnegie-Rochester Conference Series on Public Policy.
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article34
2000Bank capital regulation with and without state-contingent penalties.(2000) In: Working Paper Series.
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This paper has another version. Agregated cites: 34
paper
2006State-contingent bank regulation with unobserved actions and unobserved characteristics In: Journal of Economic Dynamics and Control.
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article22
2002State-contingent bank regulation with unobserved action and unobserved characteristics.(2002) In: Working Paper Series.
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This paper has another version. Agregated cites: 22
paper
2002Financial crises and coordination failure: A comment In: Journal of Banking & Finance.
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article0
1997On biases in tests of the expectations hypothesis of the term structure of interest rates In: Journal of Financial Economics.
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article187
1996On biases in tests of the expectations hypothesis of the term structure of interest rates.(1996) In: Working Paper Series, Issues in Financial Regulation.
[Citation analysis]
This paper has another version. Agregated cites: 187
paper
1996On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates.(1996) In: NBER Technical Working Papers.
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This paper has another version. Agregated cites: 187
paper
1997The implications of first-order risk aversion for asset market risk premiums In: Journal of Monetary Economics.
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article85
1994The implications of first-order risk aversion for asset market risk premiums.(1994) In: Working Paper Series, Macroeconomic Issues.
[Citation analysis]
This paper has another version. Agregated cites: 85
paper
1994The Implications of First-Order Risk Aversion for Asset Market Risk Premiums.(1994) In: NBER Working Papers.
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This paper has another version. Agregated cites: 85
paper
1997The implications of first-order risk aversion for asset market risk premiums.(1997) In: Discussion Paper.
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This paper has another version. Agregated cites: 85
paper
2001Peso problem explanations for term structure anomalies In: Journal of Monetary Economics.
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article152
1997\Peso problem\ explanations for term structure anomalies.(1997) In: Working Paper Series, Issues in Financial Regulation.
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This paper has another version. Agregated cites: 152
paper
1997Peso Problem Explanations for Term Structure Anomalies.(1997) In: NBER Working Papers.
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This paper has another version. Agregated cites: 152
paper
2005Comment on: Estimating the expected marginal rate of substitution In: Journal of Monetary Economics.
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article1
2007Economic determinants of the nominal treasury yield curve In: Journal of Monetary Economics.
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article97
2001Economic determinants of the nominal treasury yield curve.(2001) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 97
paper
1996Monetary policy shocks and long-term interest rates In: Economic Perspectives.
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article20
1998Understanding the Asian crisis: systemic risk as coordination failure In: Economic Perspectives.
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article24
2001The crisis of 1998 and the role of the central bank In: Economic Perspectives.
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article1
2002Origins of the use of Treasury debt in open market operations: lessons for the present In: Economic Perspectives.
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article1
2013The role of time-critical liquidity in financial markets In: Economic Perspectives.
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article1
1996The equity premium puzzle and the risk-free rate puzzle at long horizons In: Working Paper Series, Issues in Financial Regulation.
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paper0
1997Bank capital standards for market risk: a welfare analysis In: Working Paper Series, Issues in Financial Regulation.
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paper5
1997Bank capital standards for market risk: a welfare analysis.(1997) In: Proceedings.
[Citation analysis]
This paper has another version. Agregated cites: 5
paper
1999Bank Capital Standards for Market Risk: A Welfare Analysis.(1999) In: Review of Finance.
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This paper has another version. Agregated cites: 5
article
1996Bank capital for market risk: a study in incentive compatible regulation In: Chicago Fed Letter.
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article2
1998Whither the stock market? In: Chicago Fed Letter.
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article0
1999Investing social security trusts funds in the stock market In: Chicago Fed Letter.
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article0
2001A retrospective on the Asian crisis of 1997: was it foreseen? In: Chicago Fed Letter.
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article0
2008Explaining the decline in the auction rate securities market In: Chicago Fed Letter.
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article1
2009Financial market utilities and the challenge of just-in-time liquidity In: Chicago Fed Letter.
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article1
1994Solving nonlinear rational expectations models by parameterized expectations: convergence to stationary solutions In: Working Paper Series, Macroeconomic Issues.
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paper24
1994Solving nonlinear rational expectations models by parameterized expectations: convergence to stationary solutions.(1994) In: Discussion Paper / Institute for Empirical Macroeconomics.
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This paper has another version. Agregated cites: 24
paper
1994Solving nonlinear rational expectations models by parameterized expectations: Convergence to stationary solutions.(1994) In: Economics Working Papers.
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This paper has another version. Agregated cites: 24
paper
1994The effect of costly consumption adjustment on asset price volatility In: Working Paper Series, Macroeconomic Issues.
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paper0
1994Asset return volatility with extremely small costs of consumption adjustment In: Working Paper Series, Macroeconomic Issues.
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paper2
1998Consumption-based modeling of long-horizon returns In: Working Paper Series.
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paper3
1999Thoughts on financial derivatives, systematic risk, and central banking: a review of some recent developments In: Working Paper Series.
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paper2
1993Search, Bargaining, Money and Prices: Recent Results and Policy Implications: Comment. In: Journal of Money, Credit and Banking.
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article0
1995Estimating Policy-Invariant Deep Parameters in the Financial Sector When Risk and Growth Matter: Comment. In: Journal of Money, Credit and Banking.
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article0
1992Convergence of approximate model solutions to rational expectation equilibria using the method of parameterized expectations In: Economics Working Papers.
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paper4

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