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

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

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

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

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

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

Fiscal Hedging with Nominal Assets

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

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]

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]

A Multiplier Approach to Understanding the Macro Implications of Household Finance

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

Technological Change and the Growing Inequality in Managerial Compensation

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

Common Risk Factors in Currency Markets

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

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

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

Business Cycle Variation in the Risk-Return Trade-Off

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

The Wealth-Consumption Ratio

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

Countercyclical Currency Risk Premia

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

The TIPS-Treasury Bond Puzzle

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

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

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

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

Inflation-Adjusted Bonds and the Inflation Risk Premium

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

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]

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]

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

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

Equity is Cheap for Large Financial Institutions: The International Evidence

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

Deflation Risk

with Matthias Fleckenstein and Francis LongstaffReview of Financial Studies. [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]

Gravity in the Exchange Rate Factor Structure

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

Does Incomplete Spanning Help to Explain Exchange Rates?

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

Capital Share Dynamics when Firms Insure Workers

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

Firm Volatility in Granular Networks

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

Why are Exchange Rates so Smooth? A Household Finance Explanation

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

Foreign Safe Asset Demand and the Dollar Exchange Rate

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

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.

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]

A European History lesson for Today’s Central Bankers

International Journal of Central Banking (2013), prepared for the 4th IJCB Financial Stability Conference.

Foreign Safe Asset Demand for US Treasurys and the Dollar

With Zhengyang Jiang and Arvind Krishnamurthy (2018), AEA Papers and Proceedings, [Link]