Risks for the Long Run and the Real Exchange Rate
By R. Colacito, Mariano Massimiliano Croce. Journal of Political Economy, 2011
272 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/39e0cf8d05207bde0ef3640ad592e9d958908935
How researchers see this paper
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In Economics and Econometrics
- Brent Neiman
- Jesse Schreger
- Matteo Maggiori
- Emmanuel Farhi
- Tomasz Strzalecki
- Larry G. Epstein
- Martin Schneider
- Lars Peter Hansen
In Finance
- Brent Neiman
- Jesse Schreger
- Matteo Maggiori
- Emmanuel Farhi
- Larry G. Epstein
- Tomasz Strzalecki
- Shige Peng
- Martin Schneider
Citations in the corpus
- Trade Network Centrality and Currency Risk Premia (2019, unknown): “Colacito and Croce (2011) show that correlation in long-run consumption risk can resolve disconnects between economic fundamentals and asset prices.”
- International Currencies and Capital Allocation (2020, background): “(2008); Tille and Van Wincoop (2010); Devereux and Sutherland (2011); Dou and Verdelhan (2015); Colacito and Croce (2011); Colacito et al. (2015); Hassan (2013); Hassan et al.”
- How Much Would You Pay to Resolve Long-Run Risk? (2014, background): “For elaboration and many additional references see Bansal (2007), Piazzesi and Schneider (2007), Hansen, Heaton, and Li (2008), Colacito and Croce (2011) and Chen (2010). consumption path is in the CES class with the elasticity of intertemporal substitution EIS = 1 1− ρ .”
- Long-Run Productivity Risk: A New Hope for Production-Based Asset Pricing? (2014, unknown): “…by any seasonal adjustment; second, they are more likely to contain a better signal and194 less noise related to the low-frequency component of productivity (see, among others, Bansal et al.195 2010 and Colacito and Croce 2011).196 The top panel shows the estimation results for the AR(1) process.”
- Forward and Spot Exchange Rates in a Multi-Currency World* (2018, unknown): “in Engel and West (2005), Colacito and Croce (2011, 2013), Gourio, Siemer, and Verdelhan (2013), and Colacito, Croce, Ho, and Howard (2013). Our work builds heavily on a series of papers that use portfolio-based analysis to study the cross section of multilateral currency returns.”