Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perspective
With Stijn Van Nieuwerburgh. (2005). Journal of Finance, [Link]
- Type: Journal Articles
- Type: Journal Articles
The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk
With Adrien Verdelhan. (2007). American Economic Review, [Link]
- Type: Journal Articles
Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data
With Dirk Krueger and Fabrizio Perri. (2008). Journal of the European Economic Association, [Link]
- Type: Journal Articles
Fiscal Hedging with Nominal Assets
With Chris Sleet and Sevin Yeltekin. (2008). Journal of Monetary Economics, [Link]
- Type: Journal Articles
The Returns on Human Wealth: Good News on Wall Street is Bad News on Main Street
With Stijn Van Nieuwerburgh. (2006). Review of Financial Studies, [Link]
- Type: Journal Articles
When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and when is it not)?
With Dirk Krueger. (January 2010). Journal of Economic Theory, [Link]
- Type: Journal Articles
How Much Does Household Collateral Constrain Regional Risk Sharing?
With Stijn Van Nieuwerburgh. (April 2010). Review of Economic Dynamics, [Link]
- Type: Journal Articles
The Market Price of Aggregate Risk and the Wealth Distribution
With YiLi Chien. (2010). Review of Financial Studies, [Link]
- Type: Journal Articles
A Multiplier Approach to Understanding the Macro Implications of Household Finance
With YiLi Chien, Hal Cole (2011), Review of Economic Studies [Link]
- Type: Journal Articles
Technological Change and the Growing Inequality in Managerial Compensation
With Chad Syverson and Stijn Van Nieuwerburgh. (2010). Journal of Financial Economics. [Link]
- Type: Journal Articles
Common Risk Factors in Currency Markets
With Nick Roussanov and Adrien Verdelhan. (2011), Review of Financial Studies [Link]
- Type: Journal Articles
The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk: A Reply
With Adrien Verdelhan. (2012). American Economic Review, [Link]
- Type: Journal Articles
Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Rebalancing?
With YiLi Chien and Hal Cole (2012), American Economic Review, forthcoming [Link]
- Type: Journal Articles
Business Cycle Variation in the Risk-Return Trade-Off
With Adrien Verdelhan (2012), Journal of Monetary Economics. [Link]
- Type: Journal Articles
The Wealth-Consumption Ratio
With Stijn Van Nieuwerburgh and Adrien Verdelhan (2013), Review of Asset Pricing Studies. [Link]
- Type: Journal Articles
Countercyclical Currency Risk Premia
With Nick Roussanov and Adrien Verdelhan (2013), Journal of Financial Economics. [Link]
- Type: Journal Articles
The TIPS-Treasury Bond Puzzle
With Matthias Fleckenstein and Francis Longstaff (2014), Journal of Finance [Link]
- Distinguished Paper Award, Amundi-Smith-Breeden Prize 2014)
- Type: Journal Articles
Size Anomalies in Bank Stock Returns
With Priyank Gandhi (2015), Journal of Finance. [Link] [Reply to Goyal] [Identifying Banks in CRSP]
- Type: Journal Articles
Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees
With Bryan Kelly and Stijn VanNieuwerburgh (2016), American Economic Review [Link]
- Type: Journal Articles
The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications
With Bernard Herskovic, Bryan Kelly, and Stijn VanNieuwerburgh (2015), Journal of Financial Economics. [Link]
- Type: Journal Articles
Inflation-Adjusted Bonds and the Inflation Risk Premium
With Matthias Fleckenstein and Francis Longstaff (2018), Handbook of Fixed-Income Securities [Link]
- Type: Journal Articles
Implications of heterogeneity in preferences, beliefs and asset trading in an endowment economy
With Yi-Li Chien, Harold Cole and Hanno Lustig (2015), Review of Economic Dynamics. [Link]
- Type: Journal Articles
- Type: Journal Articles
Complex Asset Markets
(with Andrea Eisfeldt and Lei Zhang). Conditionally accepted at the Journal of Finance (2021). [Link] First Version, Aug. 2016
- Type: Journal Articles
The Cross-section and Time-series of Stock and Bond Returns
With Ralph Koijen and Stijn VanNieuwerburgh (2017), Journal of Monetary Economics. [Link]
- Type: Journal Articles
Equity is Cheap for Large Financial Institutions: The International Evidence
With Priyank Gandhi and Alberto Plazzi (2019), Review of Financial Studies (accepted), [Link]
- Type: Journal Articles
Deflation Risk
with Matthias Fleckenstein and Francis Longstaff, Review of Financial Studies. [Link]
- Type: Journal Articles
The Term Structure of Currency Carry Trade Risk Premia
With Adrien Verdelhan and Andreas Stathopoulos, (2019), American Economic Review (accepted), [Link ] [online appendix] [slides]
- Type: Journal Articles
Gravity in the Exchange Rate Factor Structure
With Robert Richmond (2019), Review of Financial Studies (accepted), [Link]
- Type: Journal Articles
- Type: Journal Articles
- Type: Journal Articles
Firm Volatility in Granular Networks
With Bernard Herksovic, Bryan Kelly, and Stijn Van Nieuwerburgh (2020), Journal of Political Economy (accepted). [Link]
- Type: Journal Articles
- Type: Journal Articles
Foreign Safe Asset Demand and the Dollar Exchange Rate
With Zhengyang Jiang, Arvind Krishnamurthy (2021), Journal of Finance (accepted). [Link]
- Type: Journal Articles
Complex Asset Markets
with Andrea Eisfeldt and Lei Zhang (2022), Journal of Finance (accepted). [Link]
- Type: Journal Articles
Spending Less After (Seemingly) Bad News
with Mark J. Garmaise and Yaron Levi (2022), Journal of Finance (accepted). [Link]
- Type: Journal Articles
Measuring U.S. Fiscal Capacity using Discounted Cash Flow Analysis
with Zhengyang Jiang, Stijn Van Nieuwerburgh and Mindy Z. Xiaolan (2022), Brookings Papers on Economic Activity [Link]
- Type: Journal Articles
- Type: Journal Articles
Other Publications
Discussion of “Carry Trades and Currency Crashes”
by Markus Brunnermeier, Stefan Nagel and Lasse Pedersen, in NBER Macro Annual 2008, edited by Daron Acemoglu, Kenneth Rogoff and Michael Woodford, University of Chicago Press.
- Type: Other Publications
Consumption Based Asset Pricing Models: Empirical Performance
with Fatih Guvenen, in New Palgrave Dictionary of Economics (2008), Second Edition, edited by Stephen Durlauf and Lawrence Blume, Palgrave Macmillan. [Link]
- Type: Other Publications
Consumption Based Asset Pricing Models: Theory
with Fatih Guvenen, in New Palgrave Dictionary of Economics (2008), Second Edition, edited by Stephen Durlauf and Lawrence Blume, Palgrave Macmillan. [Link]
- Type: Other Publications
Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk
With Ralph S. J. Koijen, Stijn Van Nieuwerburgh and Adrien Verdelhan. (2010). American Economic Review, Papers and Proceedings [Link]
- Type: Other Publications
Exchange Rates in a Stochastic Discount Factor Framework
Handbook of Exchange Rates (2012), edited by Jessica James, Ian W. Marsh, and Lucio Sarno, John Wiley & Sons. [Link]
- Type: Other Publications
A European History lesson for Today’s Central Bankers
International Journal of Central Banking (2013), prepared for the 4th IJCB Financial Stability Conference.
- Type: Other Publications
Inflation-Indexed Bonds and the Inflation Risk Premium
with Matthias Fleckenstein and Francis Longstaff, Handbook of Fixed Income, edited by Pietro Veronesi (2015), John Wiley & Sons. [Link]
- Type: Other Publications
Foreign Safe Asset Demand for US Treasurys and the Dollar
With Zhengyang Jiang and Arvind Krishnamurthy (2018), AEA Papers and Proceedings, [Link]
- Type: Other Publications
Mind the Gap in Sovereign Debt Markets: The U.S. Treasury basis and the Dollar Risk Factor
with Arvind Krishnamurthy. August 29, 2019, prepared for the annual Jackson Hole Symposium. [Link]
- Type: Other Publications
Review Article: Perspectives on the Future of Asset Pricing
With Markus Brunnermeier, Emmanuel Farhi, Ralph S.J. Koijen, Arvind Krishnamurthy, Sydney C. Ludvigson, Stefan Nagel, Monika Piazzesi (2021) Vol. 34 Issue 4 Pages 2126–2160, Review of Financial Studies [Link]
- Type: Other Publications
Matteo Maggiori: Winner of the 2021 Fischer Black Prize
The Journal of Finance, 76(5). [Link]
- Type: Other Publications