Publications
- "Uncertainty and the Economy: The Evolving Distributions of Aggregate Supply and Demand Shocks", with Geert Bekaert and Eric Engstrom, American Economic Journal: Macroeconomics, forthcoming.
Time series of Aggregate Demand and Aggregate Supply Shocks, Codes to estimate Bad Environments, Good Environments stochastic volatility likelihood, Slides
- "The Variance Risk Premium in Equilibrium Models", with Geert Bekaert and Eric Engstrom, Review of Finance, 2023, vol. 27, pp. 1977-2014.
- "International Yield Co-movements", with Geert Bekaert, Journal of Financial and Quantitative Analysis, 2023, vol. 58, pp. 250-288.
- "Time-varying Risk of Nominal Bonds: How Important Are Macroeconomic Shocks?", solo-authored, Journal of Financial Economics, 2022, vol. 145, pp. 1-28.
- "When and Where Is It Cheaper to Issue Inflation-linked Debt?", solo-authored, Review of Asset Pricing Studies, 2021, vol. 11, pp. 610-653.
Time series of international inflation-linked yields, Slides
- "Macro Risks and the Term Structure of Interest Rates", with Geert Bekaert and Eric Engstrom, Journal of Financial Economics, 2021, vol. 141, pp. 479-504.
- "Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-time Analysis", with Geert Bekaert and Eric Engstrom, Covid Economics, 2020, vol. 25, pp. 141-168.
- "Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model", with Geert Bekaert and Eric Engstrom, Journal of Econometrics, 2015, vol. 186, pp. 258-275.
Codes to estimate Bad Environments, Good Environments GARCH likelihood, Slides
Working Papers
- "Currency Basket Co-movements", with Geert Bekaert.
- "A New Decomposition of U.S. Recessions and Crises into Aggregate Supply and Demand Components", with Geert Bekaert and Eric Engstrom.
- "The U.S. Monetary Policy Transmission in Global Equity Markets", with Lina Lu and Shaowen Luo.
- "International Real Yields", solo-authored.
- "US Government Bond Liquidity during the COVID-19 Pandemic", solo-authored.
- "A Unified Theory of Bond and Currency Markets", solo-authored.