Publications

Back to the 1980s or Not? The Drivers of Inflation and Real Risks in Treasury Bonds, 2025 

Journal of Financial Economics, forthcoming

-  supported by NSF grant 2149193 - BFI Summary - AFA 2023 Inflation Panel Slides - Data: Treasury Risk Stagflation Indicators (Feb 2025)

Perceptions about Monetary Policy, with Michael Bauer and Adi Sunderam, 2024

Quarterly Journal of Economics, 139(4):2227-2278 

- supported by NSF grant 2149193 - Code - Data - BFI Summary - Brookings - American Banker -

Commitment and Investment Distortions Under Limited Liability, with Jesse Perla and Mike Szkup, 2024

Journal of Economic Theory, 222:105926. 

Inflation and Asset Returns, with Anna Cieslak, 2023

Annual Review of Financial Economics, 15:433-448

- supported by NSF grant 2149193 - BFI Summary

Why Does the Fed Move Markets so Much? A Model of Monetary Policy and Time-Varying Risk Aversion, with Gianluca Rinaldi, 2022 

Journal of Financial Economics, 146(1):71-89 

- Editor's Choice - Winner of the Fama DFA prize for the best asset pricing paper in the JFE 2023 - 

- supported by NSF grant 2149193 - Code repository  - Slides

Financial Market Risk Perceptions and the Macroeconomy, with Emil Siriwardane and Adi Sunderam, 2020

Quarterly Journal of Economics, 135(3):1443-1491

- AQR Insight Award Finalist 2018 - Price of Volatile Stocks (September 2024)

Macroeconomic Drivers of Bond and Equity Risks, with John Y. Campbell and Luis M. Viceira, 2020

Journal of Political Economy, 128(8):3148-3185. 

- Winner of the Arthur Warga Award for the Best Paper in Fixed Income at the SFS Cavalcade 2014 - Code repository

Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy, with Wenxin Du and Jesse Schreger, 2020

Journal of Finance, 75(6):3097-3138.

Flexible Prices and Leverage, with Francesco D'Acunto, Ryan Liu and Michael Weber, 2018

Journal of Financial Economics, 129(1):46-48.

Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity, with Luis M. Viceira, 2016

Chapter 10 in Pietro Veronesi (ed.) Handbook of Fixed-Income Securities, Wiley, NJ. Data

Comment on 'Monetary Policy, Bond Returns and Debt Dynamics' by Antje Berndt and Sevin Yeltekin, 2015

Journal of Monetary Economics, 73:137-140.

Inflation Risk in Corporate Bonds, with Johnny Kang, 2015

Journal of Finance, 70(1):115-162.

A Robust Test for Weak Instruments in Stata, with Su Wang, 2015

Stata Journal, 15(1):216-225.

A Robust Test for Weak Instruments, with Jose Luis Montiel Olea, 2013

Journal of Business and Economic Statistics, 31(3):358-369.

Inflation-Indexed Bonds and the Expectations Hypothesis, with Luis M. Viceira, 2011

Annual Review of Financial Economics, 3:139-158.

Modeling Dependencies Between Rating Categories and Their Effects on Prediction in a Credit Risk Portfolio, with Claudia Czado, 2008

Applied Stochastic Models in Business and Industry, 24(3):237-259.