David Backus

Miscelleneous working papers

• Disasters implied by equity index options (with Chernov and Martin) (paper) (slides) (preliminary!)
• Cyclical component of US asset returns (with Routledge and Zin) (paper) (slides)
• Asset prices in business cycle analysis (with Routledge and Zin) (paper) (slides)
• Taxes and the global allocation of capital (with Henriksen and Storesletten) (paper) (slides)
• Cracking the conundrum (with Wright) (paper)
• Current account fact and fiction (with Henriksen, Lambert, and Telmer) (slides)
• Exotic preferences for macroeconomists (with Routledge and Zin, June 2004) (slides)
• Discrete-time models of bond pricing (with Foresi and Telmer) (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)
• Accounting for biases in Black-Scholes (with Foresi, Li, and Wu)
• Predictable changes in yields and forward rates (with Foresi, Mozumdar, and Wu) Arbitrage opportunities in arbitrage-free models of bond pricing (with Foresi and Zin)
• Affine models of currency pricing (with Foresi and Telmer)