Now showing items 1-14 of 14

    • Capital Utilization and Returns to Scale 

      Burnside, A Craig; Eichenbaum, Martin; Rebelo, Sergio T (1995)
      This paper studies the implications of procyclical capital utilization rates for inference regarding cyclical movements in labor productivity and the degree of returns to scale. We organize our investigation around five ...
    • Carry trade: The gains of diversification 

      Burnside, A Craig; Eichenbaum, Martin; Rebelo, Sergio T (Journal of the European Economic Association, 2008-04-01)
      Market participants routinely take advantage of the failure of uncovered interest rate parity to speculate in currency markets. Perhaps the most widely used currency speculation strategy is the carry trade. In this article ...
    • Do peso problems explain the returns to the carry trade? 

      Burnside, A Craig; Eichenbaum, Martin; Kleshchelski, Isaac; Rebelo, Sergio T (Review of Financial Studies, 2011-03-01)
      We study the properties of the carry trade, a currency speculation strategy in which an investor borrows low-interest-rate currencies and lends high-interest-rate currencies. This strategy generates payoffs that are on average ...
    • Factor-Hoarding and the Propagation of Business-Cycle Shocks 

      Burnside, A Craig; Eichenbaum, Martin (American Economic Review, 1996-12-01)
      This paper analyzes the role of variable capital-utilization rates in propagating shocks over the business cycle. The model on which our analysis is based treats variable capital-utilization rates as a form of factor-hoarding. ...
    • Fiscal shocks and their consequences 

      Burnside, A Craig; Eichenbaum, Martin; Fisher, Jonas DM (Journal of Economic Theory, 2004-03-01)
      This paper investigates the response of hours worked and real wages to fiscal policy shocks in the post-World-War II US. We identify these shocks with exogenous changes in military purchases and argue that they lead to a ...
    • Government finance in the wake of currency crises 

      Burnside, A Craig; Eichenbaum, Martin; Rebelo, Sergio T (Journal of Monetary Economics, 2006-04-01)
      We address three questions: (i) Can classical models be reconciled with the fact that many crises are marked by high rates of depreciation and small increases in seignorage revenue? (ii) What are the implications of different ...
    • Government guarantees and self-fulfilling speculative attacks 

      Burnside, A Craig; Eichenbaum, Martin; Rebelo, Sergio T (Journal of Economic Theory, 2004-11-01)
      We develop a model in which government guarantees to banks' foreign creditors are a root cause of self-fulfilling twin banking-currency crises. Absent guarantees, such crises are not possible. In the presence of guarantees ...
    • Hedging and financial fragility in fixed exchange rate regimes 

      Burnside, A Craig; Eichenbaum, Martin; Rebelo, Sergio T (European Economic Review, 2001-06-23)
      Currency crises that coincide with banking crises tend to share at least three elements. First, banks have a currency mismatch between their assets and liabilities. Second, banks do not completely hedge the associated exchange ...
    • Labor hoarding and the business cycle 

      Burnside, A Craig; Eichenbaum, Martin; Rebelo, Sergio T (Journal of Political Economy, 1993-12-01)
      This paper investigates the sensitivity of Solow residual based measures of technology shocks to labor hoarding behavior. Using a structural model of labor hoarding and the identifying restriction that innovations to technology ...
    • Prospective Deficits and the Asian Currency Crisis 

      Eichenbaum, Martin; Rebelo, Sergio T (Journal of Political Economy, 2001-12)
    • Small-sample properties of GMM-based wald tests 

      Burnside, A Craig; Eichenbaum, Martin (Journal of Business and Economic Statistics, 1996-01-01)
      This article assesses the small-sample properties of generalized-method-of-moments-based Wald statistics by using (a) a vector white-noise process and (b) an equilibrium business-cycle model as the data-generating mechanisms. ...
    • The Returns to Currency Speculation 

      Burnside, A Craig; Eichenbaum, Martin; Kleshchelski, Isaac; Rebelo, Sergio T (2006)
      Currencies that are at a forward premium tend to depreciate. This `forward-premium puzzle` represents an egregious deviation from uncovered interest parity. We document the properties of returns to currency speculation strategies ...
    • Understanding booms and busts in housing markets 

      Burnside, A Craig; Eichenbaum, Martin; Rebelo, Sergio T (Journal of Political Economy, 2016-08-01)
      © 2016 by The University of Chicago. All rights reserved.Some booms in housing prices are followed by busts. Others are not. It is generally difficult to find observable fundamentals that are useful for predicting whether ...
    • Understanding the Forward Premium Puzzle: A Microstructure Approach 

      Burnside, A Craig; Eichenbaum, Martin; Rebelo, Sergio T (American Economic Journal: Macroeconomics, 2009-07)