Chris Telmer

Design and Estimation of Affine Yield Models (1999)

A number of existing studies have concluded that risk sharing allocations supported by competitive, incomplete markets equilibria are quantitatively close to #rst-best. Equilibrium asset prices in...

David Backus, Chris Telmer

We consider the design and estimation of ane term structure models, starting with a list of properties of bond yields one might want a model to reproduce. We emphasize one property that we think is...

Asset Pricing with Idiosyncratic Risk and Overlapping Generations (1999)

What is the ProbabilityofaStock Market Crash? (1999)

Anumber of existing studies have concluded that risk sharing allocations supported by competitive, incomplete markets equilibria are quantitatively close to #rst-best. Equilibrium asset prices in...

Gurdip Bakshi, Dilip Madan, David Bates, Phelim Boyle, Stephen Brown, Charles Cao, ...

This article addresses the provocative question: What is the probability that the stock market will crash? Using more than 100 years of daily data on the DJIA (and shorter series on NASDAQ, IBM, and...

Consumption and Risk Sharing over the Life Cycle (1997)

Asset Pricing with Idiosyncratic Risk and Overlapping Generations (1996)

Cross-sectional variation in consumption and income have been found to increase with age, while wealth dispersion remains relatively stable. Using panel data sets, we examine the extent to which...

Affine Models of Currency Pricing (1996)

A number of existing studies have concluded that risk sharing allocations supported by competitive, incomplete markets equilibria are quantitatively close to first-best. Equilibrium asset prices in...

David, Backus, Foresi, Silverio, Telmer, Chris

Perhaps the most puzzling feature of currency prices is the tendency for high interest rate currencies to appreciate when the expectations hypothesis suggests the reverse. Some have attributed this...

Price Dispersion: The Role of Borders, Distance and Location

Interpreting the Forward Premium Anomoly

Real exchange rates, trade costs, business cycles

Discrete time models of bond pricing

David K. Backus, Silverio Foresi, Chris Telmer

The Forward Premium Anamoly: Three Examples in Search of a Solution

Asset Pricing with Idiosyncratic Risk and Overlapping Generations

Life-cycle income and consumption variability

What is the effect of non-tradeable idiosyncratic risk on asset-market risk premiums? Constantinides and Duffie (1996) and Mankiw (1986) have shown that risk premiums will increase if the...

Peter Rupert, Chris Telmer

By all accounts, economic inequality is growing—the rich are getting richer, and the poor are getting poorer. This Economic Commentary explores inequality in income and consumption and asks whether...

Intergenerational Mobility and the Informative Content of Surnames

Maia Güell, Chris Telmer

We propose an alternative method for measuring intergenerational mobility. Traditional methods based on panel data provide measurements that are scarce, difficult to compare across countries and...

Intergenerational Mobility and the Informative Content of Surnames

Güell, Maia, Mora, José V Rodríguez, Telmer, Chris

We propose an alternative method for measuring intergenerational mobility. Traditional methods based on panel data provide measurements that are scarce, difficult to compare across countries and...

International price dispersion in the G7

David K. Backus, Mario Crucini, Chris Telmer

What can we learn from deviations from the law of one price?

Understanding European Real Exchange Rates

We use cross sectional data on local currency prices of over 1800 goods across 13 European countries to examine deviations from the law of one price. We find that an average (across goods for a...

Price dispersion: The role of distance, borders and location

We study good-by-good deviations from the Law-of-One-Price for over 5,000 goods and services between European Union countries for the years 1975, 1980, 1985 and 1990. We find that between most...

Demographic Variation, Capital Accumulation and Asset Prices

We study deviations from the Law-of-One-Price using microeconomic data on the retail prices of approximately 220 individual goods and services across 122 cities located in 79 countries over the...

Espen Henriksen, Chris Telmer

During the 1990s, asset prices increased significantly in North America and Western Europe and in particular in the United States. This surge in asset prices coincided with the baby boom generation...

Consumption and risk sharing over the life cycle

The risk sharing implications of alternative social security arrangements

Asset pricing with idiosyncratic risk and overlapping generations

An important aspect of the current U.S. social security system is the tradeoff between the risk sharing it provides and the distortions it imparts on private decisions. We focus on this tradeoff as...

Persistent Idiosyncratic Shocks and Incomplete Markets

A number of existing studies have concluded that risk sharing allocations supported by competitive, incomplete markets equilibria are quantitatively close to first-best. Equilibrium asset prices in...

The yield curve: terms of endearment or terms of endowment?

Chris Telmer, Stanley E. Zin

By solving an incomplete-markets model of multiperiod bond pricing {\it backwards}, we show that the mean and autocorrelation properties of the term premiums in the yield curve can be a reflection of...

Consumption and Risk Sharing Over the Life Cycle

Asset pricing with idiosyncratic risk and overlapping generations

A striking feature of U.S. data on income and consumption is that inequality increases with age. Using both panel data and an equilibrium life cycle model, we argue that this is informative for...

Affine Models of Currency Pricing

Constantinides and Duffie (1996) show that for idiosynratic risk to matter for asset pricing the shocks must (i) be highly persistent and (ii) become more volatile during economic contractions. We...

Asset Pricing with Idiosyncratic Risk and Overlapping Generations

Asset Pricing with Idiosyncratic Risk and Overlapping Generations

Constantines and Duffie (1996) show that for Idiosyncratic risk to matter for asset pricing the shocks must (i) be highly persistent and (ii) become more volatile during economic contractions. We...

Intergenerational Mobility and the Informative Content of Surnames

A number of existing studies have concluded that risk sharing allocations supported by competitive, incomplete markets equilibria are quantitatively close to first-best. Equilibrium asset prices in...

Maia Güell, Chris Telmer

We propose an alternative method for measuring intergenerational mobility. Measurements obtained from traditional methods (based on panel data) are scarce, difficult to compare across countries and...

Affine Models of Currency Pricing

Discrete-Time Models of Bond Pricing

Perhaps the most puzzling feature of currency prices is the tendency for high interest rate currencies to appreciate, when the expectations hypothesis suggests the reverse. Some have attributed this...