Papers

Published or Forthcoming

• Oil Futures Prices in a Production Economy with Investment Constraints (with Leonid Kogan and Dmitry Livdan)
  Forthcoming Journal of Finance

• 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 Pricing Implications of Firms' Financing Constaints (with Joao Gomes and Lu Zhang)
  Review of Financial Studies, 2006, vol-19(4), pages 1321-1356

• 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

• 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

• 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)

• 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

• 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

• The Welfare Costs of Business Cycles Revisted : Finite Lives and Cyclical Variation in Idiosyncratic Risk (with Kjetil Storesletten and Chris Telmer)
  European Economic Review, 2001, 45, 1311-1339.

• 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.

• 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.

• Asset Pricing and Business Cycles with Costly External Finance (with Joao Gomes and Lu Zhang)
  Forthcoming, Review of Economic Dynamics

• 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.

  Work in Progress

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• Sources of Lifetime Inequality (with Mark Huggett and Gustavo Ventura)

• Equity Capital: A Puzzle? (with Ravi Bansal and Ed Fang)

• Risks for the Long Run: Estimation and Inference (with Ravi Bansal and Dana Kiku)

• The Macro-Asset Pricing Nexus and Return Cash Flow Predictability (with Ravi Bansal)

• What's Vol Got To Do With It (with Itamar Drechsler)

• An Empirical Evaluation of the Long-Run Risks Model for Asset Prices (with Ravi Bansal and Dana Kiku)

• The Foreign Exchange Risk Premium: Real and Nominal Factors (with Burton Hollifield)

• Time-Consistent No-Arbitrage Models of the Term Structure (with Michael Brandt)

• Asset Prices and Financing Constraints: Firm-Level Evidence (with Joao Gomes and Lu Zhang)

• A Note on the Economics and Statistics of Predictability: A Long Run Risks Perspective (with Ravi Bansal and Dana Kiku)

• Growth Rate Dynamics and the cost of Economic Fluctuations (with Ravi Bansal)

• The Value of Network Externalities in an Electronic Inter-Bank Payment Network: An Empirical Evaluation (with Sandra Slaughter, Eduardo Jallath and Tridas Mukophdyay)