Published and Forthcoming Articles

• “How the Wealth Was Won: Factors Shares as Market Fundamentals” (with Dan Greenwald and Martin Lettau ). Journal of Political Economy, (forthcoming). Virtual Finance Workshop presentation here.

• Market Reactions to the Federal Reserve’s Balance Sheet Normalization Plans. Brookings Papers on Economic Activity, Fall 2022: 243-258.

• Belief Distortions and Macroeconomic Fluctuations (with Francesco Bianchi and Sai Ma). American Economic Review, 2022, 112(7): 2269-2315.

• "Monetary Policy and Asset Valuation" (with Francesco Bianchi and Martin Lettau). The Journal of Finance, 2022, 77(2): 967-1017. NBER Working paper version HERE.

• "Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?" (with Sai Ma and Serena Ng). American Economic Journal: Macroeconomics, 2021, 13(4): 369-410.

• Covid-19 and the Costs of Deadly Disasters (with Sai Ma and Serena Ng). AEA Papers and Proceedings, 2021, 111: 366-370.

• “Drivers of the Great Housing Boom-Bust: Credit Conditions, Beliefs, or Both?” (with Josue Cox). Real Estate Economics, 2019, 1-33. Winner of the 2021 Edward Mills Best Paper Award in Real Estate Economics.

• "Capital Share Risk in U.S. Asset Pricing" (with Martin Lettau and Sai Ma). The Journal of Finance, 2019 74(4): 1753-1792.

• "The Macroecononomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium," (with Jack Favilukis and Stijn Van Nieuwerburgh). Journal of Political Economy, 2017, 125(1): 140-223. Winner of best paper prize, Utah Winter Finance Conference, 2010. Additional results in NBER Working Paper version here.

• "Measuring Uncertainty" (with Kyle Jurado and Serena Ng). The American Economic Review, 2015, 105(3): 1177-1215. Supplementary material (including data appendix). Data HERE.

• "Investor Information, Long-Run Risk, and the Term Structure of Equity" (with Massimiliano Croce and Martin Lettau). The Review of Financial Studies, 2015, 8(3): 706-742, Download online appendix HERE.

• "Shocks and Crashes," (with Martin Lettau). National Bureau of Economic Research Twenty-eighth Macroeconomics Annual, 2013, e.d. by Jonathan Parker and Michael Woodford, 2013, pp. 293-354. MIT Press, Cambridge, MA. Download online appendix HERE.

• "An Estimation of Economic Models With Recursive Preferences" (with Jack Favilukis and Xiaohong Chen). Quantitative Economics, 2013, 4(1): 39-83. Download online Appendix HERE.

• "International Capital Flows and House Prices: Theory and Evidence" (with Jack Favilukis, David Kohn, and Stijn Van Nieuwerburgh). Housing and the Financial Crisis, 2013, e.d. by Edward L. Glaeser and Todd Sinai, pp. 235-299. University of Chicago Press, Chicago, IL.

• "Advances in Consumption-Based Asset Pricing: Empirical Tests". Handbook of the Economics of Finance, 2013, e.d. by George M. Constantinides, Milton Harris and Rene M. Stulz, vol. 2, pp. 799-906. Elsevier Science B.V., North Holland, Amsterdam.

• "A Factor Analysis of Bond Risk Premia" (with Serena Ng). Handbook of Empirical Economics and Finance, 2010, e.d. by Aman Uhla and David E. A. Giles, pp. 313-372. Chapman and Hall, Boca Raton, FL. Download large dataset used to create factors HERE.

• "Measuring and Modeling Variation in the Risk-Return Tradeoff" (with Martin Lettau). Handbook of Financial Econometrics, 2010, ed. by Yacine Ait-Sahalia and Lars P. Hansen vol. 1, pp. 617-690. Elsevier Science B.V., North Holland, Amsterdam.

• "Macro Factors in Bond Risk Premia" (with Serena Ng). The Review of Financial Studies, 2009, 22(12): 5027-5067.

• "Euler Equation Errors" (with Martin Lettau).Review of Economic Dynamics, 2009, 12(2): 255-283.

• "Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models" (with Xiaohong Chen). Journal of Applied Econometrics, 2009, 24(7): 1057-1093.

• "Discussion of Housing and Consumer Behavior". Proceedings of the Federal Reserve Bank of Kansas City's symposium on "Housing, Housing Finance, and Monetary Policy," Jackson Hole, Wyoming, August 30-September 1, 2007.

• "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?" (with Martin Lettau and Jessica A. Wachter). The Review of Financial Studies, 2008, 21(4): 1653-1687. Additional results in NBER working paper version HERE.

• "The Empirical Risk-Return Tradeoff: A Factor Analysis Approach" (with Serena Ng). The Journal of Financial Economics, 2007, 83: 171-222.

• "Expected Returns and Expected Dividend Growth" (with Martin Lettau) The Journal of Financial Economics, 2005, 76: 583-626"

• "tay's As Good as cay: Reply" (with Martin Lettau) Finance Research Letters, 2005, 2(1): 15-22.

• "Consumer Confidence and Consumer Spending" Journal of Economic Perspectives, 2004, Spring, 18(2): 29-50.

• "Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption" (with Martin Lettau). American Economic Review, 2004, March, 94(1): 276-299.

• "Monetary Policy Transmission Through the Consumption-Wealth Channel" (with Charles Steindel and Martin Lettau). FRBNY Economic Policy Review, 2002, May, 117-133.

• "Time-Varying Risk-Premia and the Cost of Capital: An Alternative Implication of the q Theory of Investment" (with Martin Lettau). Journal of Monetary Economics, 2002, January, 49: 31-66.

• "Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia are Time-Varying." (with Martin Lettau) Journal of Political Economy, 2001, December, 109(6): 1238-1287.

• "Elasticities of Substitution in Real Business Cycle Models With Home Production." (with John Y. Campbell) Journal of Money, Credit and Banking, 2001, November, 33(4): 847-875.

• "Does Buffer Stock Saving Explain the Smoothness and Excess Sensitivity of Consumption?" (with Alexander Michaelides) American Economic Review, 2001, June, 91(3): 631-647.

• "Consumption, Aggregate Wealth, and Expected Stock Returns." (with Martin Lettau) Journal of Finance, 2001, June, 56(3): 815-849.

• "Approximation Bias in Linearized Euler Equations." (with Christina H. Paxson) Review of Economics and Statistics, 2001, May, 83(2): 242-256.

• "Consumption and Credit: A Model of Time-Varying Liquidity Constraints." Review of Economics and Statistics, 1999, August, 81(3): 434-47.

• "How Important is the Stock Market Effect on Consumption?" (with Charles Steindel) FRBNY Economic Policy Review, 1999, July, 5(2): 29-51. If you are interested in this paper, you may also be interested in "Understanding Trend and Cycle in Asset Values."

• "The Channel of Monetary Transmission to Demand: Evidence from the Market for Automobile Credit." Journal of Money, Credit, and Banking, 1998, August, 30(3): 366-83.

• "Does Consumer Confidence Forecast Household Expenditure? A Sentiment Index Horse Race." (with Jason Bram) FRBNY Economic Policy Review, 1998, June, 4(2): 59-78.

• "The Macroeconomic Effects of Government Debt in a Stochastic Growth Model." Journal of Monetary Economics, 1996, 38: 25-45.