Richard K. Crump

Richard Crump

Financial Research Advisor
Macrofinance Studies
Federal Reserve Bank of New York
33 Liberty Street
New York, NY 10045

richard.crump@ny.frb.org

   
The Primary and Secondary Corporate Credit Facilities
With Nina Boyarchenko, Caren Cox, Andrew Danzig, Anna Kovner, Or Shachar, and Patrick Steiner
Federal Reserve Bank of New York Economic Policy Review, Volume 28 Number 1, June 2022

The Commercial Paper Funding Facility
With Nina Boyarchenko, Anna Kovner, and Deborah Leonard
Federal Reserve Bank of New York Economic Policy Review, Volume 28 Number 1, June 2022

Review of New York Fed Studies on the Effects of Post-Crisis Banking Reforms
With João A.C. Santos
Federal Reserve Bank of New York Economic Policy Review, Volume 24 Number 2, October 2018

Subjective Intertemporal Substitution
With Stefano Eusepi, Andrea Tambalotti, and Giorgio Topa
Journal of Monetary Economics, March 2022, 126(1): 118-133
previously circulated as
Federal Reserve Bank of New York Staff Reports 734, July 2015; Revised August 2021 

On the Factor Structure of Bond Returns
With Nikolay Gospodinov
Econometrica, January 2022, 90(1): 295-314

Characteristic-Sorted Portfolios: Estimation and Inference
With Matias D. Cattaneo, Max H. Farrell, and Ernst Schaumburg
Review of Economics and Statistics, July 2020, 102(3): 531-551
previously circulated as
Federal Reserve Bank of New York Staff Reports 788, August 2016; Revised February 2019 

Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds
With Tobias Adrian and Erik Vogt
Journal of Finance, August 2019, 74(4): 1931-1973
previously circulated as
Federal Reserve Bank of New York Staff Reports 723, April 2015; Revised November 2017

A Unified Approach to Measuring u*
With Stefano Eusepi, Marc P. Giannoni, and Ayşegül Şahin
Brookings Papers on Economic Activity, Spring 2019, 50(1): 143-214
previously circulated as
Federal Reserve Bank of New York Staff Reports 889, May 2019

Decomposing Real and Nominal Yield Curves
With Michael Abrahams, Tobias Adrian, and Emanuel Moench
Journal of Monetary Economics, December 2016, 84(1): 182-200
previously circulated as
Federal Reserve Bank of New York Staff Reports 570, September 2012; Revised February 2015

Fundamental Disagreement
With Philippe Andrade, Stefano Eusepi, and Emanuel Moench
Journal of Monetary Economics, October 2016, 83(1): 106-128
previously circulated as
Federal Reserve Bank of New York Staff Reports 655, December 2013; Revised November 2014

Regression-Based Estimation of Dynamic Asset Pricing Models
With Tobias Adrian and Emanuel Moench
Journal of Financial Economics, November 2015, 118(2): 211-244
previously circulated as
Federal Reserve Bank of New York Staff Reports 493, August 2011, Revised December 2014

Bootstrapping Density-Weighted Average Derivatives
With Matias D. Cattaneo and Michael Jansson
Econometric Theory, December 2014, 30(6): 1135-1164

Small Bandwidth Asymptotics for Density-Weighted Average Derivatives
With Matias D. Cattaneo and Michael Jansson
Econometric Theory, February 2014, 30(1): 176-200

Generalized Jackknife Estimators of Weighted Average Derivatives
With Matias D. Cattaneo and Michael Jansson
Journal of the American Statistical Association, December 2013, 108(504): 1243-1256

Pricing the Term Structure with Linear Regressions
With Tobias Adrian and Emanuel Moench
Journal of Financial Economics, October 2013, 110(1): 110-138
previously circulated as
Federal Reserve Bank of New York Staff Reports 340, August 2008, Revised April 2013

Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors
With Matias D. Cattaneo and Michael Jansson
Journal of Econometrics, March 2012, 167(1): 1-15

Robust Data-Driven Inference for Density-Weighted Average Derivatives
With Matias D. Cattaneo and Michael Jansson
Journal of the American Statistical Association, September 1, 2010, 105(491): 1070-1083

Dealing with Limited Overlap in Estimation of Average Treatment Effects
With V. Joseph Hotz, Guido W. Imbens, and Oscar A. Mitnik
Biometrika, March 2009, 96(1): 187-199

Nonparametric Tests for Treatment Effect Heterogeneity
With V. Joseph Hotz, Guido W. Imbens, and Oscar A. Mitnik
Review of Economics and Statistics, August 2008, 90(3): 389-405

Richard Crump's CVPDF

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