David Backus
Personal Information
David Backus is the Heinz Riehl Professor of International
Economics and Finance at New York University's Stern School of Business.
His interests include international capital markets, fixed income and
currency derivatives, and Asian and Latin American economic history.
Prior to joining Stern in 1990, he studied at Hamilton College (BA,
1975) and Yale University (PhD, 1981), taught at Queen's University
and the University of British Columbia, and served at the Federal Reserve
Bank of Minneapolis. He is currently an editor of the Review of Economic
Dynamics, an associate editor of the Journal of Monetary Economics,
and a research associate of the National Bureau of Economic Research.
He grew up in Pittsburgh and remains an avid follower of the Pirates
and Steelers.
Contact information: Stern School of Business,
New York University, 44 West 4th Street Suite 7-68, New York NY 10012;
(212) 998-0873; dbackus@stern.nyu.edu.
Curriculum Vita (pdf)
Teaching Materials
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MBA Macroeconomics Notes (Roubini version | Zin version)
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PhD International Macro (2004 version | 2006 version with Benigno)
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Debt Instruments and Markets (MBA Course B40.3333)
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Advanced Fixed Income Analytics for Financial Professionals (MBA Course B40.3176)
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Notes on Bond Pricing for PhD students and advanced MBAs
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Case: Derivatives at Banc One (view abstract at CaseNet)
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Case: Banc One at the Crossroads (distributed by the NYU Salomon Center)
Working Papers (postscript and pdf files)
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Cracking the conundrum (with Wright) (paper)
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Current account fact and fiction (with Henriksen, Lambert, and Telmer) (slides)
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Exotic preferences for macroeconomists (with Routledge and Zin, June 2004).
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Discrete-time models of bond pricing (with Foresi and Telmer) (Revised: October 23, 1998) (Matlab files - Self-Extracting)
(Review and synthesis of bond pricing models, including CIR, HJM, many others. Aimed at students and practitioners.) -
Oil Prices and the Terms of Trade (with Crucini) (NBER link)
(The relationships among oil prices, trade prices, and business cycles.) -
Accounting for biases in Black-Scholes (with Foresi, Li, and Wu) (Revised: November 25, 1997)
(An extremely simple characterization of volatility smiles for options of different maturities, applied to currency options.) -
Predictable changes in yields and forward rates (with Foresi, Mozumdar, and Wu) (Revised: January 13, 2000)
(Using spreads to forecast changes in yields and forward rates, and reconciling them with affine pricing models.) -
Arbitrage opportunities in arbitrage-free models of bond pricing (with Foresi and Zin) (Final version: February 1997)
(If you use the Ho and Lee or Black-Derman-Toy models, where might you go wrong? Forthcoming JBES, January 1998.) -
Affine models of currency pricing (with Foresi and Telmer) (Revised: July 1998)
(A quantitative assessment of risk premiums on currencies: why do high-interest rate currencies tend to appreciate? Forthcoming JF.)