“Drivers of the Great Housing Boom-Bust: Credit Conditions, Beliefs, or Both?” (with Josue Cox). Real Estate Economics, forthcoming.
"Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?" (with Sai Ma and Serena Ng). American Economic Journal: Macroeconomics, forthcoming.
"Capital Share Risk in U.S. Asset Pricing" (with Martin Lettau and Sai Ma). The Journal of Finance, 2019 74(4): pp. 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): pp. 140-223. Winner of best paper prize, Utah Winter Finance Conference, 2010. Additional results in NBER Working Paper version 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"
"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. CAY data HERE
"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. CAY data HERE
"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.