Ric Colacito

University of North Carolina Kenan-Flagler Business School

Professor of Finance

Kenan-Flagler Business School

Chapel Hill, NC 27599-3490

United States

http://drric.web.unc.edu/

NBER

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

  • University of North Carolina Kenan-Flagler Business School

  • NBER

SCHOLARLY PAPERS

25

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11,442

SSRN CITATIONS
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SSRN RANKINGS

Top 3,390

in Total Papers Citations

178

CROSSREF CITATIONS

223

Scholarly Papers (25)

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1.

Risks for the Long-Run and the Real Exchange Rate

Journal of Political Economy, Vol. 119, No. 1, 2011
Number of pages: 34 Posted: 14 Mar 2008 Last Revised: 03 Oct 2012
Ric Colacito and Mariano (Max) Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and Finance Department, Bocconi University
Downloads 1,719 (12,175)
Citation 18

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Exchange rates, international financial markets, long-run risks

2.

International Asset Pricing with Recursive Preferences

Downloads 1,248 ( 19,956)
Citation 25

International Asset Pricing with Recursive Preferences

Journal of Finance, Volume 68, Issue 6, December 2013
Number of pages: 53 Posted: 23 Jul 2010 Last Revised: 10 Mar 2017
Ric Colacito and Mariano (Max) Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and Finance Department, Bocconi University
Downloads 647 (49,625)
Citation 3

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International Asset Pricing with Recursive Preferences

Journal of Finance, 2013, AFA 2013 San Diego Meetings Paper
Number of pages: 53 Posted: 14 Mar 2012 Last Revised: 10 Mar 2017
Ric Colacito and Mariano (Max) Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and Finance Department, Bocconi University
Downloads 601 (54,672)
Citation 24

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Recursive preferences, risk-sharing, exchange rate

3.

Business Cycles and Currency Returns

Downloads 1,065 ( 25,270)
Citation 10

Business Cycles and Currency Returns

Number of pages: 74 Posted: 31 Jan 2017 Last Revised: 13 Sep 2019
Ric Colacito, Steven Riddiough and Lucio Sarno
University of North Carolina Kenan-Flagler Business School, University of Toronto - Rotman School of Management and University of Cambridge - Judge Business School
Downloads 1,048 (25,471)
Citation 10

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exchange rates; currency risk premium; business cycles; long-run risk.

Business Cycles and Currency Returns

NBER Working Paper No. w26299
Number of pages: 75 Posted: 23 Sep 2019 Last Revised: 12 May 2021
Ric Colacito, Steven Riddiough and Lucio Sarno
University of North Carolina Kenan-Flagler Business School, University of Toronto - Rotman School of Management and University of Cambridge - Judge Business School
Downloads 16 (679,976)

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Business Cycles and Currency Returns

CEPR Discussion Paper No. DP14015
Number of pages: 77 Posted: 07 Oct 2019
Ric Colacito, Lucio Sarno and Steven Riddiough
University of North Carolina Kenan-Flagler Business School, University of Cambridge - Judge Business School and University of Toronto - Rotman School of Management
Downloads 1 (813,473)
Citation 8
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business cycles, currency risk premium, Exchange Rates, Long-run risk

4.

A Component Model for Dynamic Correlations

Journal of Econometrics, Forthcoming
Number of pages: 51 Posted: 09 Mar 2009 Last Revised: 15 Nov 2013
Ric Colacito, Robert F. Engle and Eric Ghysels
University of North Carolina Kenan-Flagler Business School, New York University (NYU) - Department of Finance and University of North Carolina Kenan-Flagler Business School
Downloads 862 (34,117)
Citation 7

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5.

Currency Risk Factors in a Recursive Multi-Country Economy

Journal of Finance, Forthcoming, Simon Business School Working Paper No. FR 15-10, INSEAD Working Paper No. 2015/40/FIN
Number of pages: 51 Posted: 24 Dec 2014 Last Revised: 25 Aug 2018
Ric Colacito, Mariano (Max) Massimiliano Croce, Federico Gavazzoni and Robert C. Ready
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, INSEAD and University of Oregon - Department of Finance
Downloads 829 (35,993)
Citation 9

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Recursive Risk Sharing, Carry Trade, Currency Risk Factors

6.

Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory

Number of pages: 56 Posted: 06 Dec 2012 Last Revised: 22 Aug 2015
Ric Colacito, Eric Ghysels, Jinghan Meng and Wasin Siwasarit
University of North Carolina Kenan-Flagler Business School, University of North Carolina Kenan-Flagler Business School, University of Hong Kong and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 718 (43,797)
Citation 11

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Skewness, Consumption, Macro-Finance, Recursive Preferences

7.

Testing and Valuing Dynamic Correlations for Asset Allocation

Journal of Business and Economic Statistics, Vol. 24, N. 2,, pp. 238-253, April 2006
Number of pages: 48 Posted: 15 Sep 2008
Robert F. Engle and Ric Colacito
New York University (NYU) - Department of Finance and University of North Carolina Kenan-Flagler Business School
Downloads 587 (57,042)
Citation 14

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GARCH, DCC, Forecast Evaluation

8.

Volatility Risk Pass-Through

Downloads 565 ( 59,760)
Citation 2

Volatility Risk Pass-Through

Number of pages: 66 Posted: 27 Nov 2015 Last Revised: 29 Apr 2021
Ric Colacito, Mariano (Max) Massimiliano Croce, Yang Liu and Ivan Shaliastovich
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin - Madison
Downloads 555 (60,494)
Citation 2

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Volatility pass-through, foreign exchange disconnect, risk sharing

Volatility Risk Pass-Through

NBER Working Paper No. w25276
Number of pages: 51 Posted: 19 Nov 2018
Ric Colacito, Mariano (Max) Massimiliano Croce, Yang Liu and Ivan Shaliastovich
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin - Madison
Downloads 10 (729,573)

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Volatility Risk Pass-Through

CEPR Discussion Paper No. DP13325
Number of pages: 53 Posted: 19 Nov 2018
Ric Colacito, Mariano (Max) Massimiliano Croce, Yang Liu and Ivan Shaliastovich
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin - Madison
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foreign exchange disconnect, Risk Sharing, Volatility pass-through

Volatility Risk Pass-Through

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Posted: 01 Oct 2018 Last Revised: 29 Apr 2021
Ric Colacito, Mariano (Max) Massimiliano Croce, Yang Liu and Ivan Shaliastovich
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin - Madison

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Volatility, International Risk Sharing, Exchange Rate

9.

The Term Structures of Coentropy in International Financial Markets

Fisher College of Business Working Paper No. 2013-03-17, Charles A. Dice Center Working Paper No. 2013-17
Number of pages: 54 Posted: 24 Oct 2013 Last Revised: 22 Sep 2017
Fousseni Chabi-Yo and Ric Colacito
University of Massachusetts Amherst - Isenberg School of Management and University of North Carolina Kenan-Flagler Business School
Downloads 524 (65,672)
Citation 14

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10.

Temperatures and Growth: A Panel Analysis of the United States

Journal of Money, Credit, and Banking, 51 (2-3), 2019, 313-368
Number of pages: 76 Posted: 10 Jan 2015 Last Revised: 09 Jun 2019
Ric Colacito, Bridget Hoffmann and Toan Phan
University of North Carolina Kenan-Flagler Business School, Inter-American Development Bank and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 490 (71,402)
Citation 7

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temperatures, growth, climate change, industry analysis

11.

Recursive Allocations and Wealth Distribution with Multiple Goods: Existence, Survivorship, and Dynamics

Number of pages: 62 Posted: 23 Jul 2010 Last Revised: 14 Apr 2020
Ric Colacito, Mariano (Max) Massimiliano Croce and Zhao Liu
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University and Duke University, Department of Economics
Downloads 407 (89,031)
Citation 2

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12.

The Short- and Long-Run Benefits of Financial Integration

American Economic Review, Papers and Proceedings, May 2010
Number of pages: 5 Posted: 04 Feb 2010
Ric Colacito and Mariano (Max) Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and Finance Department, Bocconi University
Downloads 403 (90,059)
Citation 3

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13.

International Asset Pricing with Risk-Sensitive Agents

Number of pages: 41 Posted: 05 Feb 2010 Last Revised: 03 Oct 2012
Ric Colacito and Mariano (Max) Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and Finance Department, Bocconi University
Downloads 335 (111,171)
Citation 2

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Recursive Preferences, time-varying volatility, international finance, exchange rates

14.

'O Sole Mio: An Experimental Analysis of Weather and Risk Attitudes in Financial Decisions

Number of pages: 38 Posted: 12 Nov 2011 Last Revised: 30 Nov 2013
Anna Bassi, Ric Colacito and Paolo Fulghieri
UNC Chapel Hill, University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School
Downloads 290 (129,624)
Citation 13

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Experiments, Risk Aversion, Weather, Sunshine

15.

Term Structure of Risk, the Role of Known and Unknown Risks and Non-Stationary Distributions

Downloads 267 (141,293)
Citation 1

Term Structure of Risk, the Role of Known and Unknown Risks and Non-Stationary Distributions

THE KNOWN, THE UNKNOWN AND THE UNKNOWABLE IN FINANCIAL RISK MANAGEMENT, F.X. Diebold, ed., Forthcoming
Number of pages: 25 Posted: 14 Sep 2008
Ric Colacito and Robert F. Engle
University of North Carolina Kenan-Flagler Business School and New York University (NYU) - Department of Finance
Downloads 160 (226,896)

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Term Structure of Risk, the Role of Known and Unknown Risks and Non-Stationary Distributions

NYU Working Paper No. FIN-08-040
Number of pages: 25 Posted: 09 Mar 2009
Ric Colacito and Robert F. Engle
University of North Carolina Kenan-Flagler Business School and New York University (NYU) - Department of Finance
Downloads 107 (309,614)

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16.

International Robust Disagreement

American Economic Review, Vol. 102, No. 2, May 2012
Number of pages: 5 Posted: 14 Jan 2012
Ric Colacito and Mariano (Max) Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and Finance Department, Bocconi University
Downloads 257 (146,804)

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Robustness, Disagreement, International

17.

Concealed Carry

Number of pages: 75 Posted: 10 Feb 2021 Last Revised: 23 Jul 2021
Spencer Andrews, Ric Colacito, Mariano (Max) Massimiliano Croce and Federico Gavazzoni
University of North Carolina (UNC) at Chapel Hill - Finance Area, University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University and INSEAD
Downloads 175 (209,921)

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Currency Risk, Carry Trade, Inflation Risk

18.

Risks for the Long Run and the Real Exchange Rate: Technical Appendix

Number of pages: 16 Posted: 14 Sep 2008
Ric Colacito and Mariano (Max) Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and Finance Department, Bocconi University
Downloads 168 (217,411)
Citation 18

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19.

Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory. Online Appendix.

Number of pages: 61 Posted: 02 Apr 2015 Last Revised: 22 Aug 2015
Ric Colacito, Eric Ghysels, Jinghan Meng and Wasin Siwasarit
University of North Carolina Kenan-Flagler Business School, University of North Carolina Kenan-Flagler Business School, University of Hong Kong and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 146 (244,442)
Citation 5

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Skewness, Consumption, Macro-Finance, Recursive Preferences

20.

On the Existence of the Exchange Rate When Agents Have Complete Home Bias and Non-Time Separable Preferences

Number of pages: 9 Posted: 14 Sep 2008
Ric Colacito
University of North Carolina Kenan-Flagler Business School
Downloads 145 (245,809)
Citation 3

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21.

Robustness and U.S. Monetary Policy Experimentation

Journal of Money, Credit, and Banking, Forthcoming
Number of pages: 29 Posted: 18 Sep 2008
Timothy Cogley, Ric Colacito, Lars Peter Hansen and Thomas J. Sargent
Leonard N. Stern School of Business - Department of Economics, University of North Carolina Kenan-Flagler Business School, University of Chicago - Department of Economics and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 113 (296,180)
Citation 6

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Learning, model uncertainty, Bayes' law, Phillips curve, experimentation, robustness, pessimism, entropy

22.

Benefits from U.S. Monetary Policy Experimentation in the Days of Samuelson and Solow and Lucas

Journal of Money, Credit, and Banking, Vol. 39, No. 2, 2007
Number of pages: 34 Posted: 15 Sep 2008
Timothy Cogley, Ric Colacito and Thomas J. Sargent
Leonard N. Stern School of Business - Department of Economics, University of North Carolina Kenan-Flagler Business School and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 69 (401,638)
Citation 1

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23.

Global Sales, International Currencies and the Currency Denomination of Debt

Number of pages: 49 Posted: 22 Mar 2021
Ric Colacito, Yan Qian and Andreas Stathopoulos
University of North Carolina Kenan-Flagler Business School, University of North Carolina at Chapel Hill and University of North Carolina (UNC) at Chapel Hill
Downloads 60 (431,434)

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International bonds, exchange rates

24.

Currency Risk Factors in a Recursive Multicountry Economy

CEPR Discussion Paper No. DP12610
Number of pages: 79 Posted: 22 Jan 2018
Ric Colacito, Mariano (Max) Massimiliano Croce, Federico Gavazzoni and Robert Ready
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, INSEAD and University of Rochester
Downloads 0 (794,597)
Citation 11
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25.

BKK the EZ Way. International Long-Run Growth News and Capital Flows

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BKK the EZ Way. International Long-Run Growth News and Capital Flows

CEPR Discussion Paper No. DP12783
Number of pages: 82 Posted: 13 Mar 2018
Ric Colacito, Mariano (Max) Massimiliano Croce, Steven Wei Ho and Philip Howard
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Wake Forest University - School of Business
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Citation 7
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BKK the EZ Way: International Long-Run Growth News and Capital Flows

Posted: 18 Nov 2012 Last Revised: 10 Mar 2017
Ric Colacito, Mariano (Max) Massimiliano Croce, Steven Wei Ho and Philip Howard
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Wake Forest University - School of Business

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International Investment Flows, Long-Run Growth News, Recursive Preferences