Details about Robert Litterman

Access statistics for papers by Robert Litterman.

Last updated 2022-03-08. Update your information in the RePEc Author Service.

Short-id: pli374

Working Papers

2016

1. Applying Asset Pricing Theory to Calibrate the Price of Climate Risk
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (34)

1986

2. Forecasting and conditional projection using realistic prior distribution
   Staff Report, Federal Reserve Bank of Minneapolis View citations (131)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (1983) View citations (375)
3. The limits of counter-cyclical monetary policy: an analysis based on optimal control theory and vector autoregressions
   Working Papers, Federal Reserve Bank of Minneapolis View citations (2)
   See also Journal Article The Limits of Counter-Cyclical Monetary Policy: an Analysis Based on Optimal Control Theory and Vector Autoregressions, Annals of Economics and Statistics, GENES (1987) View citations (2) (1987)

1985

4. Forecasting with Bayesian vector autoregressions five years of experience
   Working Papers, Federal Reserve Bank of Minneapolis View citations (154)
   See also Journal Article Forecasting with Bayesian Vector Autoregressions-Five Years of Experience, Journal of Business & Economic Statistics, American Statistical Association (1986) View citations (1050) (1986)

1984

5. Forecasting with Bayesian vector autoregressions four years of experience
   Staff Report, Federal Reserve Bank of Minneapolis View citations (6)
6. Money, real interest rates, and output: a reinterpretation of postwar U.S. data
   Staff Report, Federal Reserve Bank of Minneapolis View citations (22)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (1983) View citations (7)
   See also Journal Article Money, Real Interest Rates, and Output: A Reinterpretation of Postwar U.S. Data, Econometrica, Econometric Society (1985) View citations (91) (1985)
7. Specifying vector autoregressions for macroeconomic forecasting
   Staff Report, Federal Reserve Bank of Minneapolis View citations (14)
8. The costs of intermediate targeting
   Working Papers, Federal Reserve Bank of Minneapolis View citations (7)

1983

9. A random walk, Markov model for the distribution of time series
   Staff Report, Federal Reserve Bank of Minneapolis View citations (151)
   See also Journal Article A Random Walk, Markov Model for the Distribution of Time Series, Journal of Business & Economic Statistics, American Statistical Association (1983) View citations (179) (1983)
10. Optimal control of the money supply
    Staff Report, Federal Reserve Bank of Minneapolis View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1982) View citations (5)
    See also Journal Article Optimal control of the money supply, Quarterly Review, Federal Reserve Bank of Minneapolis (1982) View citations (5) (1982)

1982

11. A use of index models in macroeconomic forecasting
    Staff Report, Federal Reserve Bank of Minneapolis View citations (1)

1979

12. Techniques of forecasting using vector autoregressions
    Working Papers, Federal Reserve Bank of Minneapolis View citations (114)

Journal Articles

2022

1. Measuring comprehensive carbon prices of national climate policies
   Climate Policy, 2022, 22, (2), 198-207 View citations (2)

2019

2. Declining CO 2 price paths
   Proceedings of the National Academy of Sciences, 2019, 116, (42), 20886-20891 View citations (19)

1998

3. Building a coherent risk measurement and capital optimisation model for financial firms
   Economic Policy Review, 1998, 4, (Oct), 171-182 View citations (3)

1994

4. Explorations into Factors Explaining Money Market Returns
   Journal of Finance, 1994, 49, (5), 1861-82 View citations (146)

1987

5. The Limits of Counter-Cyclical Monetary Policy: an Analysis Based on Optimal Control Theory and Vector Autoregressions
   Annals of Economics and Statistics, 1987, (6-7), 125-160 View citations (2)
   See also Working Paper The limits of counter-cyclical monetary policy: an analysis based on optimal control theory and vector autoregressions, Working Papers (1986) View citations (2) (1986)

1986

6. A Statistical Approach to Economic Forecasting
   Journal of Business & Economic Statistics, 1986, 4, (1), 1-4 View citations (33)
7. A statistical approach to economic forecasting: Robert B. Litterman, Journal of Business and Economic Statistics 4 (1986) 1-4
   International Journal of Forecasting, 1986, 2, (4), 497-498 View citations (24)
8. Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts: Comment
   Journal of Business & Economic Statistics, 1986, 4, (1), 17-19 View citations (4)
9. Forecasting with Bayesian Vector Autoregressions-Five Years of Experience
   Journal of Business & Economic Statistics, 1986, 4, (1), 25-38 View citations (1050)
   See also Working Paper Forecasting with Bayesian vector autoregressions five years of experience, Working Papers (1985) View citations (154) (1985)
10. Forecasting with Bayesian vector autoregressions -- Five years of experience: Robert B. Litterman, Journal of Business and Economic Statistics 4 (1986) 25-38
    International Journal of Forecasting, 1986, 2, (4), 497-498 View citations (822)

1985

11. How monetary policy in 1985 affects the outlook
    Quarterly Review, 1985, 9, (Fall) View citations (3)
12. Money, Real Interest Rates, and Output: A Reinterpretation of Postwar U.S. Data
    Econometrica, 1985, 53, (1), 129-56 View citations (91)
    See also Working Paper Money, real interest rates, and output: a reinterpretation of postwar U.S. data, Staff Report (1984) View citations (22) (1984)

1984

13. Above-average national growth in 1985 and 1986
    Quarterly Review, 1984, 8, (Fall) View citations (26)
14. Forecasting and policy analysis with Bayesian vector autoregression models
    Quarterly Review, 1984, 8, (Fall) View citations (35)

1983

15. A Random Walk, Markov Model for the Distribution of Time Series
    Journal of Business & Economic Statistics, 1983, 1, (2), 169-73 View citations (179)
    See also Working Paper A random walk, Markov model for the distribution of time series, Staff Report (1983) View citations (151) (1983)
16. District conditions / a midyear report
    Quarterly Review, 1983, 7, (Spr)
17. Using vector autoregressions to measure the uncertainty in Minnesota's revenue forecasts
    Quarterly Review, 1983, 7, (Spr) View citations (9)

1982

18. As the nation's economy goes, so goes Minnesota's
    Quarterly Review, 1982, 6, (Spr / Sum) View citations (2)
19. Optimal control of the money supply
    Quarterly Review, 1982, 6, (Fall) View citations (5)
    See also Working Paper Optimal control of the money supply, Staff Report (1983) View citations (1) (1983)