Richard K. Crump

Federal Reserve Banks - Federal Reserve Bank of New York

33 Liberty Street

New York, NY 10045

United States

SCHOLARLY PAPERS

29

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Top 14,171

in Total Papers Downloads

4,622

SSRN CITATIONS
Rank 2,055

SSRN RANKINGS

Top 2,055

in Total Papers Citations

358

CROSSREF CITATIONS

267

Scholarly Papers (29)

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 Frankfurt School of Finance and Management
Downloads 1,310 (19,902)
Citation 134

Abstract:

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

2.

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 Frankfurt School of Finance and Management
Downloads 355 (110,454)
Citation 10

Abstract:

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

3.
Downloads 353 (111,156)
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 Frankfurt School of Finance and Management
Downloads 193 (203,728)
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 Frankfurt School of Finance and Management
Downloads 160 (240,004)
Citation 3

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TIPS, inflation expectations, affine term structure models

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 332 (118,963)
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.

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 318 (124,626)
Citation 1

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6.

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 262 (152,419)
Citation 2

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portfolio sorts, nonparametric estimation, partitioning, tuning parameter selection

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 Frankfurt School of Finance and Management
Downloads 252 (158,077)
Citation 4

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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 Frankfurt School of Finance and Management
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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 222 (179,822)

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

9.
Downloads 173 (224,196)
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 98 (347,025)
Citation 2

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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 75 (409,285)
Citation 2

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10.
Downloads 167 (231,058)
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 Frankfurt School of Finance and Management
Downloads 127 (288,853)
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 Frankfurt School of Finance and Management
Downloads 40 (551,109)
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, Rev. Jan. 2022
Number of pages: 61 Posted: 10 Apr 2019 Last Revised: 22 Jan 2022
Richard K. Crump and Nikolay Gospodinov
Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of Atlanta
Downloads 149 (254,077)
Citation 2

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term structure of interest rates, predictive regression of bond returns, 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 134 (276,250)
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 104 (331,047)
Citation 25

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

14.

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 58 (462,036)
Citation 31

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

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 Frankfurt School of Finance and Management
Downloads 57 (473,281)

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, Frankfurt School of Finance and Management and The University of Texas at Austin
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disagreement, heterogeneous beliefs, Noisy information, Speculation, Survey Forecasts, Term premium, yield curve

16.

The Term Structure of Expectations

FRB of New York Staff Report No. 992, 2021
Number of pages: 74 Posted: 16 Nov 2021
Federal Reserve Banks - Federal Reserve Bank of New York, The University of Texas at Austin, Frankfurt School of Finance and Management and University of Melbourne - Department of Economics
Downloads 51 (489,473)

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expectation formation, imperfect information, survey forecasts, shifting endpoint models, monetary policy, term premiums

17.

COVID Response: The Primary and Secondary Corporate Credit Facilities

FRB of New York Staff Report No. 986
Number of pages: 35 Posted: 29 Sep 2021
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 47 (506,632)

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Federal Reserve, corporate bond markets, corporate credit facilities, PMCCF, SMCCF, Federal Reserve lending facilities

18.

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 (520,159)
Citation 9

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Semiparametric estimation, density-weighted average derivatives

19.

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 43 (529,651)

Abstract:

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

20.

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 (549,275)
Citation 2

Abstract:

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

21.

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: 28 Nov 2021
Federal Reserve Banks - Federal Reserve Bank of New York, Duke University, Stanford Graduate School of Business and Inter-American Development Bank
Downloads 33 (575,783)

Abstract:

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22.

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 (624,716)
Citation 5

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Averaged derivatives, Bootstrap, Small bandwidth asymptotics

23.

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 25 (624,716)
Citation 11

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Instrumental variables regression, weak instruments, adaptive estimation

24.

COVID Response: The Commercial Paper Funding Facility

FRB of New York Staff Report No. 982
Number of pages: 13 Posted: 29 Sep 2021
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 23 (638,551)

Abstract:

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Federal Reserve, commercial paper market, CPFF, Federal Reserve lending facilities

25.

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 16 (689,191)
Citation 3

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firm dynamics, demographics, business dynamism, macroeconomics

26.

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 (696,683)

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27.

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 12 (720,440)
Citation 3

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

28.
Downloads 4 (784,550)
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 4 (817,881)
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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29.

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 (831,860)
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