Kenneth J Singleton

Biographic Data

ID743630
NAMEKenneth J Singleton
GIVEN NAMESKenneth J
FAMILY NAMESingleton
SIGNATURESINGLETON K J
AFFILIATIONSNational Bureau of Economic Research
VERIFIEDNo
TOTAL WORKS8
TOTAL CITATIONS41
WORKS AS AUTHOR8
WORKS AS EDITOR0
FIRST PUBLICATION YEAR1980
LATEST PUBLICATION YEAR2011
H-INDEX2

  • How Sovereign Is Sovereign Credit Risk

    Francis A Longstaff, Jun Pan et al.ARTICLEAmerican Economic Journal…2011Cited by: 10References: 18

    We study the nature of sovereign credit risk using an extensive set of sovereign CDS data. We find that the majority of sovereign credit risk can be linked to global factors. A single principal component accounts for 64 percent of the variation in sovereign credit spreads. Furthermore, sovereign credit spreads are more related to the US stock and high-yield markets than they are to local economic measures. We decompose credit spreads into their r…

  • Efficient Estimation of Linear Asset-Pricing Models With Moving Average Errors

    Lars Peter Hansen, Kenneth J SingletonARTICLEJournal of Business and Economic…1996

    This article studies alternative methods for estimating parameters from multiperiod conditional moment restrictions. Our discussion is couched in the context of a multivariate linear time series model, and we use the log-linear intertemporal asset-pricing model as a prototype when comparing alternative econometric methods. We propose a generalized method of moments estimator that is scale invariant and is asymptotically equivalent to one used pre…

  • Japanese Monetary Policy

    Martin Bronfenbrenner, Kenneth J SingletonARTICLESouthern Economic Journal1995

    How has the Bank of Japan (BOJ) helped shape Japan's economic growth during the past two decades? This book comprehensively explores the relations between financial market liberalization and BOJ policies and examines the ways in which these policies promoted economic growth in the 1980s. The authors argue that the structure of Japan's financial markets, particularly restrictions on money-market transactions and the key role of commercial banks in…

  • Japanese Monetary Policy

    Robert Dekle, Kenneth J SingletonARTICLEPacific Affairs1995

  • Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns

    Lars Peter Hansen, Kenneth J SingletonARTICLEJournal of Political Economy1983Cited by: 30References: 1

    This paper studies the time-series behavior of asset returns and aggregate consumption. Using a representative consumer model and imposing restrictions on preferences and the joint distribution of consumption and returns, we deduce a restricted log-linear time-series representation. Preference parameters for the representative agent are estimated and the implied restrictions are tested using postwar data

  • Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

    Lars Peter Hansen, Kenneth J SingletonARTICLEEconometrica1982

  • Multinational Inflation under Fixed Exchange Rates

    Edgar L Feige, Kenneth J SingletonARTICLEThe Review of Economics and…1981

    Edgar L. Feige, Kenneth J. Singleton, Multinational Inflation under Fixed Exchange Rates: Some Empirical Evidence from Latent Variable Models, The Review of Economics and Statistics, Vol. 63, No. 1 (Feb., 1981), pp. 11-19

  • Expectations Models of the Term Structure and Implied Variance Bounds

    Kenneth J SingletonARTICLEJournal of Political Economy1980Cited by: 1

    Variance bounds are derived for general present-value relations involving the expected future values of any finite number of variables. The estimators of these bounds and the variance being bounded are then shown to have a joint distribution converging to that of the multivariate normal, with moments which can be consistently estimated from the data. As a special case of these results, it is shown that expectations models of the term structure im…