Department of Economics
579 Serra Mall
Stanford, CA 94305-6072
“Decomposing the Yield Curve” (with John Cochrane), March 2008
“Inflation and the Price of Real Assets” (with Martin Schneider), March 2012
“Monetary Policy Tick-by-Tick” (with Michael Fleming)
“No Arbitrage Taylor Rules” (with Andrew Ang)
“Housing assignment with restrictions: theory and evidence from Stanford campus.” (with Martin Schneider and Tim Landvoigt), AEA P&P, Volume 104(5), pp. 67-72.
“Remapping the Flow of Funds” (with Juliane Begenau and Martin Schneider),
“Interest Rate Risk in Credit Markets” (with Martin Schneider), American Economic Review P&P, Volume 100, Issue 2, 2010, pp. 579-584.
“Momentum traders in the housing market: survey evidence and a search model” (with Martin Schneider), American Economic Review P&P, Volume 99, Issue 2, 2009, pp. 406-411.
“Futures Prices as Risk-Adjusted Forecasts of Monetary Policy” (with Eric Swanson), Journal of Monetary Economics 2008, 55, May issue, pp. 677-691. New York Times 7/11/04.
“Inflation Illusion, Credit, and Asset Pricing” (with Martin Schneider), in Asset Pricing and Monetary Policy, John Y. Campbell (ed.), Chicago IL, Chicago University Press, pp. 147-181. Article in the Region: Masters of Illusion.
“Asset Prices and Asset Quantities” (with Martin Schneider) Journal of the European Economic Association 2007, 5, p. 380-389.
“Equilibrium Yield Curves” (with Martin Schneider), zip file with MATLAB programs, in Daron Acemoglu, Kenneth Rogoff, and Michael Woodford, NBER Macroeconomics Annual 2006, published in 2007, Cambridge MA: MIT Press p. 389-442.
“Modeling Bond Yields in Finance and Macroeconomics” (with Francis X. Diebold and Glenn Rudebusch), American Economic Review P&P, Volume 95, Issue 2, 2005, pp. 415-520, Appendix.
“What does the yield curve tell us about GDP growth?” (with Andrew Ang and Min Wei), Journal of Econometrics 2006, 131, pp. 359-403. Economist 6/2/05. Businessweek 01/09/06. Out of sample forecasts, Dec 2005.
“Bond risk premia” (with John Cochrane), Appendix and zip file with MATLAB programs, American Economic Review 2005, Volume 94, Issue 1, pp. 138-160. The NBER working paper draft shows that our factor predicts GDP growth 2-3 years from now (Figure 4) and is positively related to the unemployment rate (Figure 3).
“Bond Yields and the Federal Reserve”, Journal of Political Economy, Volume 113, Issue 2, April 2005, pp. 311-344.
Additional results in the earlier 2001 version: “An Econometric Model of the Yield Curve with Macroeconomic Jump Effects”, NBER Working paper no 8246: theoretical results for deterministic jump times and state-dependent jump size distributions, linear-quadratic jump-diffusion model; empirical results with macro news releases that change the conditional distribution of a future Fed move.
“Corporate earnings and the equity premium” (with Francis Longstaff), 2004, Journal of Financial Economics Volume 74 (Lead Article), Issue 3, pp. 401-421.
“A No-Arbitrage Vector Regression of Term Structure Dynamics with Macroeconomic and Latent Variables” (with Andrew Ang), Journal of Monetary Economics, Volume 50, Issue 4, May 2003, pp. 745-787.
The Fed and Interest Rates: A High-Frequency Identification” (with John Cochrane), American Economic Review P&P, May 2002, Volume 92, Issue 2, pp. 90-95. zip-file with MATLAB programs.
“Should the Monetary Policy Rule Be Different in a Financial Crisis?”, Forthcoming in the Journal of Economic Dynamics and Control.
Program Report for the NBER Asset Pricing Program, NBER Reporter 2010, Number 2, July 2010.
Estimating Rational Expectations Models”, prepared for the New Palgrave, May 2007.
“The Role of Policy Rules in Inflation Targeting, Commentary”, Federal Reserve Bank of Saint Louis, 2004, Volume 86, Issue 4, pp. 113-15.
The 6-D Bias and the Equity Premium Puzzle: Comment” in B.S. Bernanke and K. Rogoff, NBER Macroeconomics Annual 2011, Volume 16, Cambridge and London: MIT Press, 2020, pp. 317-329.
“Note on exponential-affine stock prices” answers questions raised at the NBER asset pricing meeting 2002 in Chicago about the functional form result in Mamaysky (2001).
Discussion of Campbell, Pflueger and Viceira “Monetary Policy Drivers of Bond and Equity Risks”, NBER AP Meeting, Summer Institute 2014
Discussion of Malmendier and Nagel, “Learning from Inflation Experiences”, Spring EFG Meeting 2012
Discussion of Krishnamurthy and Vissing-Jorgensen, Hamilton and Wu, d’Amico and King at the San Francisco Fed Conference, February 2011
Discussion of Brunnermeier and Yannikov June 2010, “A Macroeconomic Model with a Financial Sector”, Monetary Economics Conference, Bank of Portugal.
Discussion of Jermann and Quadrini, April 2010, Macroeconomic Effects of Financial Shocks, Conference at the Federal Reserve Bank of Minneapolis.
EFG 2010 Spring Meeting Discussion Slides of Favilukis, Ludvigson and van Nieuwerburgh “The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium”
AFA 2010 Atlanta Discussion Slides of Lustig, Koijen, and van Nieuwerburgh “The Cross Section and Times Series of Stock and Bond Returns”, graphs taken from the NBER working paper version of Cochrane and Piazzesi 2005.
EFG 2009 Spring Meeting Discussion Slides of Glenn Rudebusch and Eric Swanson “The Bon Premium in a DSGE Model with Long Run Real and Nominal Risks”
EFG 2009 Meeting at the Summer Institute Discussion Slides of James Kahn “What Drives House Prices?” Fall Schedule 2010