Published Papers

What Drives Variation in the U.S. Debt/Output Ratio? The Dog that Didn’t Bark

With Zhengyang Jiang, Stijn Van Nieuwerburgh, and Mindy Z. Xiaolan (2023). Journal of Finance forthcoming [Link]

Dollar Safety and the Global Financial Cycle

With Zhengyang Jiang and Arvind Krishnamurthy. (2023) Stanford University Graduate School of Business Research Paper No. 19-16 [Link]

Fiscal Capacity: An Asset Pricing Perspective

with Zhengyang Jiang, Stijn Van Nieuwerburgh and Mindy Z. Xiaolan (2022), Review of Financial Economics (accepted). [Link] [PDF]

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]

Spending Less After (Seemingly) Bad News

with Mark J. Garmaise and Yaron Levi (2022), Journal of Finance (accepted). [Link]

Complex Asset Markets

with Andrea Eisfeldt and Lei Zhang (2022), Journal of Finance (accepted). [Link]

How Much Does Household Collateral Constraint Regional Risk Sharing?

With Stijn Van Nieuwerburgh. (2022) NBER Working Paper No. w10505 [Link]

Foreign Safe Asset Demand and the Dollar Exchange Rate

With Zhengyang Jiang, Arvind Krishnamurthy (2021), Journal of Finance (accepted). [Link]

Firm Volatility in Granular Networks

With Bernard Herksovic, Bryan Kelly, and Stijn Van Nieuwerburgh (2020), Journal of Political Economy (accepted). [Link]

Why are Exchange Rates so Smooth? A Household Finance Explanation

With YiLi Chien and Kanda Naknoi, 2019, Journal of Monetary Economics (accepted), [PDF] [Link]

Capital Share Dynamics when Firms Insure Workers

With Barney Hartman-Glaeser and Mindy Z. Xialan (2019), Journal of Finance (accepted). [Link][slides][appendix]

Does Incomplete Spanning Help to Explain Exchange Rates?

with Adrien Verdelhan (2019),  American Economic Review. [Link] [slides]

Gravity in the Exchange Rate Factor Structure

With Robert Richmond (2019), Review of Financial Studies (accepted), [Link] 

The Term Structure of Currency Carry Trade Risk Premia

With Adrien Verdelhan and Andreas Stathopoulos, (2019),  American Economic Review (accepted), [Link ] [online appendix] [slides]

Deflation Risk

with Matthias Fleckenstein and Francis Longstaff, Review of Financial Studies. [Link]

Equity is Cheap for Large Financial Institutions: The International Evidence

With Priyank Gandhi and Alberto Plazzi (2019),  Review of Financial Studies (accepted), [Link]

The Cross-section and Time-series of Stock and Bond Returns

With Ralph Koijen and Stijn VanNieuwerburgh (2017), Journal of Monetary Economics. [Link]

Complex Asset Markets

(with Andrea Eisfeldt and Lei Zhang). Conditionally accepted at the Journal of Finance (2021). [Link] First Version, Aug. 2016

Are Stocks Real Assets? Sticky Discount Rates in Stock Markets

With Michael Katz and Lars Nielsen (2016), accepted Review of Financial Studies.[Link][code][slides][appendix]

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]

Inflation-Adjusted Bonds and the Inflation Risk Premium

With Matthias Fleckenstein and Francis Longstaff (2018), Handbook of Fixed-Income Securities [Link]

The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications

With Bernard Herskovic, Bryan Kelly, and Stijn VanNieuwerburgh (2015), Journal of Financial Economics. [Link]

Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees

With Bryan Kelly and Stijn VanNieuwerburgh (2016), American Economic Review [Link]

Size Anomalies in Bank Stock Returns

With Priyank Gandhi (2015), Journal of Finance. [Link] [Reply to Goyal] [Identifying Banks in CRSP]

The TIPS-Treasury Bond Puzzle

With Matthias Fleckenstein and Francis Longstaff (2014), Journal of Finance [Link]

• Distinguished Paper Award, Amundi-Smith-Breeden Prize 2014)

Countercyclical Currency Risk Premia

With Nick Roussanov and Adrien Verdelhan (2013), Journal of Financial Economics. [Link]

The Wealth-Consumption Ratio

With Stijn Van Nieuwerburgh and Adrien Verdelhan (2013), Review of Asset Pricing Studies. [Link]

Business Cycle Variation in the Risk-Return Trade-Off

With Adrien Verdelhan (2012), Journal of Monetary Economics. [Link]

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]

The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk: A Reply

With Adrien Verdelhan. (2012). American Economic Review, [Link]

Common Risk Factors in Currency Markets

With Nick Roussanov and Adrien Verdelhan. (2011), Review of Financial Studies [Link]

Technological Change and the Growing Inequality in Managerial Compensation

With Chad Syverson and Stijn Van Nieuwerburgh. (2010). Journal of Financial Economics. [Link]

A Multiplier Approach to Understanding the Macro Implications of Household Finance

With YiLi Chien, Hal Cole (2011), Review of Economic Studies [Link]

How Much Does Household Collateral Constrain Regional Risk Sharing?

With Stijn Van Nieuwerburgh. (April 2010). Review of Economic Dynamics, [Link]

The Market Price of Aggregate Risk and the Wealth Distribution

With YiLi Chien. (2010). Review of Financial Studies, [Link]

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]

Does the US Government Hedge against Expenditure Risk

With Antje Berndt and Sevin Yeltekin. (2009) [Link]

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]

Fiscal Hedging with Nominal Assets

With Chris Sleet and Sevin Yeltekin. (2008). Journal of Monetary Economics, [Link]

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]

The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk

With Adrien Verdelhan. (2007). American Economic Review, [Link]

Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution

With Adrien Verdelhan. (2006).  JEEA Papers and Proceedings, [Link]

Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perspective

With Stijn Van Nieuwerburgh. (2005). Journal of Finance, [Link]