Research

Published or Forthcoming Papers

How Risky are the U.S. Corporate Assets? (with Tetiana Davydiuk, Scott Richard, and Ivan Shaliastovich); Journal of Finance, forthcoming.
Socially Responsible Investing in Good and Bad Times (with Ravi Bansal and Di Wu); Review of Financial Studies, forthcoming.
The Term Structure of Equity Risk Premia (with Ravi Bansal, Shane Miller, and Dongho Song); Journal of Financial Economics, forthcoming.
How Important Are Inflation Expectations for the Nominal Yield Curve? (with Roberto Gomez-Cram); Review of Financial Studies, 2021, 34, 985-1045.
Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach (with Frank Schorfheide and Dongho Song); Econometrica, 2018, 86 (2), 617-654.

Risks for the Long Run: Estimation with Time Aggregation (with Ravi Bansal and Dana Kiku); Journal of Monetary Economics, 2016, 82, 52-69.

Good and Bad Uncertainty: Macroeconomic and Financial Market Implications (with Gill Segal, and Ivan Shaliastovich), Journal of Financial Economics, 2015, 117,369-397.

Volatility, the Macroeconomy and Asset Prices (with Ravi Bansal, Dana Kiku, and Ivan Shaliastovich)
Journal of Finance, 2014, LXIX(6), 2471-2511.

An Empirical Evaluation of the Long-Run Risks Model for Asset Prices (with Ravi Bansal and Dana Kiku)
Critical Finance Review, 2012, 1, 183–221

Sources of Lifetime Inequality (with Mark Huggett and Gustavo Ventura)
American Economic Review, December 2011, 2923-2954

What's Vol Got To Do With It (with Itamar Drechsler)
Review of Financial Studies, 2011, 24(1), 1-45

Long Run Risks, the Macroeconomy and Asset Prices (with Ravi Bansal and Dana Kiku)
American Economic Review P&P, May 2010, 542-546

Oil Futures Prices in a Production Economy with Investment Constraints (with Leonid Kogan and Dmitry Livdan)
Journal of Finance, June 2009, 64(3), 1345-1375

Asset Pricing with Idiosyncrtic Risk and Overlapping Generations (with Kjetil Storesletten and Chris Telmer)
Review of Economic Dynamics, 2007, vol-10(4), 519-548

Asset Prices and Intergenerational Risk Sharing: The Role of Idiosyncratic Earnings Shocks (with Kjetil Storesletten and Chris Telmer)
In Handbook of Investments Volume 1; Equity Risk Premium, edited by Rajnish Mehra, North-Holland, 2007

Asset Pricing Implications of Firms' Financing Constaints (with Joao Gomes and Lu Zhang)
Review of Financial Studies, 2006, vol-19(4), pages 1321-1356
Human Capital and Earnings Distribution Dynamics (with Mark Huggett and Gustavo Ventura)
Journal of Monetary Economics 2006, 53(2), pages 265-290

Interpretable Asset Markets? (with Ravi Bansal and Varoujan Khatacharian)
European Economic Review, 2005, vol-49, 531-560

How Well Do Banks Manage Their Reserves? (with Eduardo Jallath and Tridas Mukophdyay)
Journal of Money Credit and Banking, 2005, vol-37(4), pages 623-644

Cyclical Dynamics of Idiosyncratic Labor Market Risk (with Kjetil Storesletten and Chris Telmer)
Journal of Political Economy, vol 112 (3), June 2004, pp. 695-717

Risks For the Long Run: A Potential Resolution of Asset Pricing Puzzles (with Ravi Bansal)
Journal of Finance, 2004, vol-59, 1481-1509 (Winner of the 2004 Smith-Breeden Paper Award given by the American Finance Association and the Journal of Finance)
Consumption and Risk Sharing Over the Life Cycle (with Kjetil Storesletten and Chris Telmer)
Journal of Monetary Economics, vol 51 (3), April 2004, pp. 609-633
Asset Pricing and Business Cycles with Costly External Finance (with Joao Gomes and Lu Zhang)
Review of Economic Dynamics, 2003, 767-788

How Important Are Idiosyncratic Shocks? Evidence From Labor Supply (with Kjetil Storesletten and Chris Telmer)
American Economic Review, May 2001, 91, 413-417.

Fixed Costs and Participation Patterns (with Harold Zhang)
Revista de Analisis Economico (in English), 2000, 15, 89-109.

The Risk Sharing Implications of Alternative Social Security Arrangements (with Kjetil Storesletten and Chris Telmer)
Carnegie-Rochester Conference on Public Policy, 1999, 50, 213-259.
Reprinted in "The Politics and Finance of Social Security Reform", 2002, Cambridge University Press, edited by Robin Brooks and Assaf Razin.

Finite Sample Properties of Some Alternative GMM Estimators (with Lars P. Hansen and John Heaton)
Journal of Business and Economic Statistics, 1996, 14, 261-280.

Working Papers

Fearing the Fed: How Wall Street Reads Main Street (with Tzuo-Hann Law and Dongho Song); last revised October 2020

Corporate Taxes, Leverage, and Business Cycles (with Brent Glover and Joao Gomes); last revised August 2011
The Asset Pricing-Macro Nexus and Return-Cash Flow Predictability(with Ravi Bansal); last revised December 2007
Equity Capital: A Puzzle? (with Ravi Bansal and Ed Fang); last revised March 2008