Richard K. Crump

Federal Reserve Banks - Federal Reserve Bank of New York

33 Liberty Street

New York, NY 10045

United States

SCHOLARLY PAPERS

26

DOWNLOADS
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Top 14,738

in Total Papers Downloads

4,218

SSRN CITATIONS
Rank 2,106

SSRN RANKINGS

Top 2,106

in Total Papers Citations

357

CROSSREF CITATIONS

268

Scholarly Papers (26)

1.

Pricing the Term Structure with Linear Regressions

FRB of New York Staff Report No. 340
Number of pages: 68 Posted: 22 Mar 2009 Last Revised: 07 May 2013
Tobias Adrian, Richard K. Crump and Emanuel Moench
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 1,269 (19,791)
Citation 134

Abstract:

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term structure of interest rates, Fama-MacBeth regressions, dynamic asset pricing model estimation

2.
Downloads 346 (108,710)
Citation 34

Decomposing Real and Nominal Yield Curves

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 62 Posted: 03 Sep 2012 Last Revised: 07 Dec 2013
Massachusetts Institute of Technology (MIT) - Sloan School of Management, International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 191 (197,011)
Citation 26

Abstract:

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TIPS, inflation expectations, affine term structure models

Pricing TIPS and Treasuries with Linear Regressions

FRB of New York Staff Report No. 570
Number of pages: 57 Posted: 22 Sep 2012 Last Revised: 07 May 2013
Massachusetts Institute of Technology (MIT) - Sloan School of Management, International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 155 (236,345)
Citation 3

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TIPS, inflation expectations, affine term structure models

3.

The Term Structure of Expectations and Bond Yields

FRB of NY Staff Report No. 775
Number of pages: 88 Posted: 31 May 2016 Last Revised: 11 Apr 2018
Richard K. Crump, Stefano Eusepi and Emanuel Moench
Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin and Deutsche Bundesbank
Downloads 340 (110,849)
Citation 10

Abstract:

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term premiums, expectations formation, survey forecasts, monetary policy, business cycle fluctuations

4.

Nonlinearity and Flight to Safety in the Risk-Return Trade-Off for Stocks and Bonds

FRB of NY Staff Report No. 723
Number of pages: 116 Posted: 18 Aug 2015 Last Revised: 05 Dec 2017
Tobias Adrian, Richard K. Crump and Erik Vogt
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Citadel LLC
Downloads 327 (115,670)
Citation 13

Abstract:

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flight to safety, risk-return trade-off, dynamic asset pricing, volatility, nonparametric estimation and inference, intermediary asset pricing, asset management

5.

Characteristic-Sorted Portfolios: Estimation and Inference

FRB of NY Staff Report No. 788
Number of pages: 48 Posted: 15 Aug 2016 Last Revised: 08 Oct 2019
Princeton University, Federal Reserve Banks - Federal Reserve Bank of New York, University of Chicago - Booth School of Business - Econometrics and Statistics and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 256 (149,368)
Citation 2

Abstract:

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portfolio sorts, nonparametric estimation, partitioning, tuning parameter selection

6.

Unemployment Rate Benchmarks

FEDS Working Paper No. 2020-72
Number of pages: 19 Posted: 01 Sep 2020
Federal Reserve Banks - Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of San Francisco
Downloads 251 (152,314)
Citation 1

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Regression-Based Estimation of Dynamic Asset Pricing Models

FRB of New York Staff Report No. 493
Number of pages: 55 Posted: 12 May 2011 Last Revised: 09 Dec 2014
Tobias Adrian, Richard K. Crump and Emanuel Moench
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 249 (153,025)
Citation 4

Abstract:

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dynamic asset pricing, Fama-MacBeth regression, financial econometrics, GMM, minimum distance estimation, reduced rank regression

Regression Based Estimation of Dynamic Asset Pricing Models

CEPR Discussion Paper No. DP10449
Number of pages: 56 Posted: 02 Mar 2015
Tobias Adrian, Richard K. Crump and Emanuel Moench
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank
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Citation 9
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Dynamic Asset Pricing, Fama-MacBeth Regressions, GMM, Minimum Distance Estimation, Reduced Rank Regression, Time-varying Betas

8.

Measuring Corporate Bond Market Dislocations

FRB of New York Staff Report No. 957, Rev. July 2021
Number of pages: 72 Posted: 20 Jan 2021 Last Revised: 01 Jul 2021
Nina Boyarchenko, Richard K. Crump, Anna Kovner and Or Shachar
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 179 (208,681)

Abstract:

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corporate bond market conditions, corporate bond spreads, corporate bond issuance, corporate bond liquidity

9.
Downloads 170 (218,185)
Citation 25

Nonparametric Tests for Treatment Effect Heterogeneity

IZA Discussion Paper No. 2091
Number of pages: 34 Posted: 25 Apr 2006
Federal Reserve Banks - Federal Reserve Bank of New York, Duke University, Stanford Graduate School of Business and Inter-American Development Bank
Downloads 96 (337,369)
Citation 1

Abstract:

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average treatment effects, causality, unconfoundedness, treatment effect

Nonparametric Tests for Treatment Effect Heterogeneity

NBER Working Paper No. t0324
Number of pages: 45 Posted: 29 Jun 2006 Last Revised: 23 May 2021
Federal Reserve Banks - Federal Reserve Bank of New York, Duke University, Stanford Graduate School of Business and Inter-American Development Bank
Downloads 74 (395,965)
Citation 2

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10.
Downloads 165 (223,685)
Citation 48

Fundamental Disagreement

FRB of New York Staff Report No. 655
Number of pages: 52 Posted: 11 Jan 2014 Last Revised: 07 Dec 2014
Federal Reserve Banks - Federal Reserve Bank of Boston, Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin and Deutsche Bundesbank
Downloads 125 (280,330)
Citation 4

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expectations, survey forecasts, imperfect information, term structure of disagreement

Fundamental Disagreement

Banque de France Working Paper No. 524
Number of pages: 57 Posted: 29 Nov 2014
Federal Reserve Banks - Federal Reserve Bank of Boston, Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin and Deutsche Bundesbank
Downloads 40 (529,900)
Citation 44

Abstract:

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Expectations, survey forecasts, imperfect information, term structure of disagreement

11.

Deconstructing the Yield Curve

FRB of New York Staff Report No. 884
Number of pages: 65 Posted: 10 Apr 2019 Last Revised: 20 Nov 2019
Richard K. Crump and Nikolay Gospodinov
Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of Atlanta
Downloads 129 (272,678)
Citation 2

Abstract:

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term structure of interest rates, factor models, principal components, bond risk premiums, resampling-based inference

12.

Subjective Intertemporal Substitution

FRB of New York Staff Report No. 734, Rev. August 2021
Number of pages: 70 Posted: 24 Jul 2015 Last Revised: 12 Aug 2021
Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 124 (280,905)
Citation 22

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subjective expectations, inflation expectations, Euler equation, elasticity of

13.

Moving the Goalposts: Addressing Limited Overlap in Estimation of Average Treatment Effects by Changing the Estimand

IZA Discussion Paper No. 2347
Number of pages: 49 Posted: 01 Nov 2006
Federal Reserve Banks - Federal Reserve Bank of New York, Duke University, Stanford Graduate School of Business and Inter-American Development Bank
Downloads 102 (321,986)
Citation 25

Abstract:

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average treatment effects, causality, unconfoundedness, overlap, treatment effect heterogeneity

Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates

FRB of New York Staff Report No. 934, Rev. August 2021
Number of pages: 33 Posted: 21 Jul 2020 Last Revised: 13 Aug 2021
Shuo Cao, Richard K. Crump, Stefano Eusepi and Emanuel Moench
Shenzhen Stock Exchange, Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin and Deutsche Bundesbank
Downloads 52 (474,541)

Abstract:

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disagreement, heterogeneous beliefs, noisy information, speculation, survey forecasts, yield curve, term premium

Fundamental Disagreement About Monetary Policy and the Term Structure of Interest Rates

CEPR Discussion Paper No. DP15122
Number of pages: 35 Posted: 18 Aug 2020 Last Revised: 22 Sep 2021
Shuo Cao, Richard K. Crump, Emanuel Moench and Stefano Eusepi
Shenzhen Stock Exchange, Federal Reserve Banks - Federal Reserve Bank of New York, Deutsche Bundesbank and The University of Texas at Austin
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disagreement, heterogeneous beliefs, Noisy information, Speculation, Survey Forecasts, Term premium, yield curve

15.

On Binscatter

FRB of New York Staff Report No. 881, Rev. August 2021
Number of pages: 37 Posted: 01 Mar 2019 Last Revised: 12 Aug 2021
Princeton University, Federal Reserve Banks - Federal Reserve Bank of New York, University of Chicago - Booth School of Business - Econometrics and Statistics and University of Michigan, College of Literature, Science and the Arts, Department of Economics, Students
Downloads 45 (495,979)
Citation 25

Abstract:

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binned scatter plot, regressogram, piecewise polynomials, splines, partitioning estimators, nonparametric regression, nonparametric quantile regression, nonparametric nonlinear semilinear quasimaximum likelihood, robust bias correction, uniform inference, binning selection

16.

Small Bandwidth Asymptotics for Density-Weighted Average Derivatives

CREATES Research Paper 2008-24
Number of pages: 34 Posted: 25 Jun 2008
Matias D. Cattaneo, Richard K. Crump and Michael Jansson
Princeton University, Federal Reserve Banks - Federal Reserve Bank of New York and University of California, Berkeley - Department of Economics
Downloads 44 (500,463)
Citation 9

Abstract:

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Semiparametric estimation, density-weighted average derivatives

17.

Changing Risk-Return Profiles

FRB of New York Staff Report No. 850
Number of pages: 67 Posted: 15 Jun 2018
Richard K. Crump, Domenico Giannone and Sean Hundtofte
Federal Reserve Banks - Federal Reserve Bank of New York, Centre for Economic Policy Research (CEPR) and NYU Stern
Downloads 38 (528,532)
Citation 2

Abstract:

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stock returns, realized volatility, density forecasts, optimal pools, Dodd-Frank, financial intermediation, financial conditions

18.

Moving the Goalposts: Addressing Limited Overlap in the Estimation of Average Treatment Effects by Changing the Estimand

NBER Working Paper No. t0330
Number of pages: 48 Posted: 20 Oct 2006 Last Revised: 29 May 2021
Federal Reserve Banks - Federal Reserve Bank of New York, Duke University, Stanford Graduate School of Business and Inter-American Development Bank
Downloads 31 (565,295)

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19.

Bootstrapping Density-Weighted Average Derivatives

University of Aarhus Economics Working Paper Series
Number of pages: 32 Posted: 21 May 2010
Matias D. Cattaneo, Richard K. Crump and Michael Jansson
Princeton University, Federal Reserve Banks - Federal Reserve Bank of New York and University of California, Berkeley - Department of Economics
Downloads 25 (602,205)
Citation 5

Abstract:

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Averaged derivatives, Bootstrap, Small bandwidth asymptotics

20.

Optimal Inference for Instrumental Variables Regression with Non-Gaussian Errors

CREATES Research Paper 2007-11
Number of pages: 45 Posted: 23 Jun 2008
Matias D. Cattaneo, Richard K. Crump and Michael Jansson
Princeton University, Federal Reserve Banks - Federal Reserve Bank of New York and University of California, Berkeley - Department of Economics
Downloads 24 (608,944)
Citation 11

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Instrumental variables regression, weak instruments, adaptive estimation

21.

A Unified Approach to Measuring u*

FRB of New York Staff Report No. 889 (2019)
Number of pages: 76 Posted: 24 May 2019
Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin, Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Bank of New York
Downloads 15 (672,656)
Citation 3

Abstract:

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firm dynamics, demographics, business dynamism, macroeconomics

22.

Fertility and the Personal Exemption: Comment

NBER Working Paper No. w15984
Number of pages: 24 Posted: 17 May 2010 Last Revised: 05 Sep 2021
Richard K. Crump, Gopi Shah Goda and Kevin J. Mumford
Federal Reserve Banks - Federal Reserve Bank of New York, Stanford University and Purdue University
Downloads 15 (680,249)

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23.

Robust Data-Driven Inference for Density-Weighted Average Derivatives

Number of pages: 38 Posted: 02 Oct 2009
Matias D. Cattaneo, Richard K. Crump and Michael Jansson
Princeton University, Federal Reserve Banks - Federal Reserve Bank of New York and University of California, Berkeley - Department of Economics
Downloads 11 (703,563)
Citation 3

Abstract:

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Average derivatives, Bandwidth selection, Robust inference, Small bandwidth asymptotics

24.

A Large Bayesian VAR of the United States Economy

FRB of New York Staff Report No. 976
Number of pages: 65 Posted: 21 Aug 2021
Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin, Centre for Economic Policy Research (CEPR), Princeton University and Federal Reserve Bank of New York
Downloads 8 (727,075)

Abstract:

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bayesian vector autoregressions, conditional forecasts, scenario analyses, financial conditions index

25.
Downloads 3 (766,449)
Citation 8

A Unified Approach to Measuring U

NBER Working Paper No. w25930
Number of pages: 76 Posted: 11 Jun 2019 Last Revised: 09 May 2021
Federal Reserve Banks - Federal Reserve Bank of New York, Independent, Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Texas at Austin
Downloads 3 (799,553)
Citation 3

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A Unified Approach to Measuring U

CEPR Discussion Paper No. DP13939
Number of pages: 77 Posted: 07 Oct 2019
Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin, Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Texas at Austin
Downloads 0
Citation 10
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26.

Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds

CEPR Discussion Paper No. DP11401
Number of pages: 81 Posted: 25 Jul 2016
Tobias Adrian, Richard K. Crump and Erik Vogt
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Citadel LLC
Downloads 0 (804,439)
Citation 2
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asset management, dynamic asset pricing, flight-to-safety, intermediary asset pricing, nonparametric estimation and inference, risk-return tradeoff, volatility