A Measure of Risk Appetite for the Macroeconomy, with Emil Siriwardane and Adi Sunderam (2018) Data
Finalist, AQR Insight Award 2018
Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy, with Wenxin Du and Jesse Schreger (2017)
Revise and resubmit Journal of Finance
Macroeconomic Drivers of Bond and Equity Risks, with John Y. Campbell and Luis M. Viceira (2018)
Revise and Resubmit Journal of Political Economy, Winner of the Arthur Warga Award for the Best Paper in Fixed Income at the SFS Cavalcade 2014
Flexible Prices and Leverage, with Francesco D'Acunto, Ryan Liu and Michael Weber (2017)
Journal of Financial Economics, forthcoming.
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, Journal of Monetary Economics, 2015, 73:137-140.
A Robust Test for Weak Instruments in Stata, with Su Wang, Stata Journal, 2015, 15(1):216-225.
Inflation Risk in Corporate Bonds, with Johnny Kang, Journal of Finance, 2015, 70(1):115-162.
A Robust Test for Weak Instruments, with Jose Luis Montiel Olea, Journal of Business and Economic Statistics, 2013, 31(3):358-369.
Inflation-Indexed Bonds and the Expectations Hypothesis, with Luis M. Viceira, Annual Review of Financial Economics, 2011, 3:139-158.
Modeling Dependencies Between Rating Categories and Their Effects on Prediction in a Credit Risk Portfolio, with Claudia Czado, Applied Stochastic Models in Business and Industry, 2008, 24(3):237-259.