Working papers
Housing betas,
September 2025, AFA Presidential Address, Forthcoming Journal of Finance
Moving to Fluidity: Regional Growth and Labor Market Churn (with Eran Hoffmann and Martin Schneider), October 2025
Asset
returns as carbon taxes (with Lautaro Chittaro, Marcelo Sena and Martin
Schneider),September 2025
Banks Risk Exposures
(with Juliane Begenau
and Martin
Schneider), August 2025, under
revision for Econometrica
Household Climate
Finance: Theory and Survey Data on Safe and Risky Green Assets, with Shifrah Aron-Dine, Johannes Beutel and Martin Schneider, March 2025, under
revision for American Economic Review
How unconventional is green monetary policy? with Melina Papoutsi and Martin Schneider, March 2022
JEEA-FBBVA Lecture at ASSA January 2021, Video is on ASSA website
Credit Lines, bank deposits or CBDC? Competition and efficiency in modern payment systems (with Martin Schneider), June 2022
Money and Banking in a New Keynesian Model (with Ciaran Rogers and Martin Schneider) March 2021
Learning about Housing Cost: Survey Evidence from the German House Price Boom (with Fabian Kindermann, Julia Le Blanc and Martin Schneider), under revision for Review of Financial Studies
Payments, Credit and Asset Prices (with Martin Schneider), May 2021
Inflation and the Price of Real Assets (with Matteo Leombroni, Ciaran Rogers and Martin Schneider), under revision for Review of Economic Studies
Trend and Cycle in Bond Premia (with Juliana Salomao and Martin Schneider), March 2015
Decomposing the Yield Curve (with John Cochrane), March 2008
No Arbitrage Taylor Rules (with Andrew Ang)
Published papers
Housing Market Expectations (with Theresa Kuchler and Johannes Stroebel), 2022, prepared for the Handbook of Economic Expectations
Segmented Housing Search (with Martin Schneider and Johannes Stroebel), 2020, American Economic Review, 110(3), March, pp. 720-759.
The Short Rate Disconnect in a Monetary Economy (with Moritz Lenel and Martin Schneider ) 2019, Journal of Monetary Economics, 106, pp.59-77.
Housing and Macroeconomics (with Martin Schneider), Handbook of Macroeconomics, John B. Taylor and Harald Uhlig (ed.), edition 1, volume 2, chapter 19, pages 1547-1640, Elsevier.
The Housing Market(s) of San Diego (with Tim Landvoigt and Martin Schneider), American Economic Review, April 2015, 105(4), 1371-1407. The pdf posted here is the NBER working paper version which is much easier to read, because we can refer to the colors in the Figures.
Housing assignment with restrictions: theory and evidence from Stanford campus. (with Martin Schneider and Tim Landvoigt), American Economic Review P&P, Volume 104(5), pp. 67-72.
Remapping the Flow of Funds (with Juliane Begenau and Martin Schneider), in Risk Topography: Systemic Risk and Macro Modeling 2014, Markus K. Brunnermeier and Arvind Krishnamurthy editors, pp. 57-64, University of Chicago Press.
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. Appendix.
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), 2008, 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.
Housing, Consumption, and Asset Pricing (with Martin Schneider and Selale Tuzel), Journal of Financial Economics 83, March 2007 (Lead Article), pp. 531-569, Economist 4/20/06.
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 working paper 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.
Review Article: Perspectives on the Future of Asset Pricing (with Markus Brunnermeier, Emmanuel Farhi, Ralph Koijen, Arvind Krishnmurthy, Sydney Ludvigson Hanno Lustig and Stefan Nagel), Review of Financial Studies, 2021, pages 1-35.
Comment on Giannaioli, Ma and Shleifer Expectations and Investment, NBER Macro Annual 2015.
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.
Affine Term Structure Models in the Handbook of Financial Econometrics, Elsevier, zip-file with MATLAB programs.
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).