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Curriculum Vitae

Publications and forthcoming papers

Expected returns in Treasury bonds, with Pavol Povala, Review of Financial Studies, 2015, 28(10), 2859-2901 

(published) (SSRN) (appendix)

Information in the term structure of yield curve volatility, with Pavol Povala, Journal of Finance, 2016, 71(3), 1393-1436 

(published) (SSRN) (appendix)

Short-rate expectations and unexpected returns in Treasury bonds, Review of Financial Studies, 2018, 31(9), 3265-3306 

(published) (SSRN) (appendix)

Lead Article and Editor's Choice

Non-monetary news in central bank communication, with Andreas Schrimpf, Journal of International Economics, 2019, 118, 293-315 

(published) (SSRN) (appendix)

Central bank communication events database 

Media: VoxEU 

Stock returns over the FOMC cycle, with Adair Morse and Annette Vissing-Jorgensen, Journal of Finance, 2019, 74(5), 2201-2248 

(published) (SSRN) (appendix)

Best Paper Prize, ASU Sonoran Winter Finance Conference, 2015

Media: WSJ, Reuters, Economist

The economics of the "Fed put," with Annette Vissing-Jorgensen, Review of Financial Studies, 2021, 34(9), 4045-4089

(published) (SSRN) (appendix)

Lead Article and Editor's Choice

Media: Bloomberg, WSJ, NBER Digest, Richmond Fed Econ Focus

Common shocks in stocks and bonds, with Hao Pang, Journal of Financial Economics, 2021, 142(2), 880-904

(published) (SSRN) (slides incl. Covid-19 plots)

Media: Forbes

Inflation and asset returns with Carolin Pflueger, Annual Review of Financial Economics, 2023, 15, 433-448

(published) (SSRN)

Media: BFI Insights Research Brief 

Bond market perceptions of monetary and fiscal policy: Remarks on “Government Debt in Mature Economies: Risky or Safe?” by R. Gomez-Cram, H. Kung, and H. Lustig, Jackson Hole Economic Policy Symposium Proceedings, Reassessing the Effectiveness  and Transmission  of Monetary Policy, 2024, 187-201

(published) (paper) (slides) 

Working papers and work in progress

Did I make myself clear? The Fed and the market  in the post-2020 framework period, with Michael McMahon and Hao Pang   (paper)

Updated: June 2024

Conference draft for "An agenda for the Federal Reserve’s review of its monetary policy framework" at the Brookings Institution

Media: Central Banking, Brookings

Risk premia, subjective beliefs, and forward guidance, with Paymon Khorrami (coming soon)

Updated: February 2024

Inflation and Treasury convenience, with Wenhao Li and Carolin Pflueger (paper) 

Updated: August 2024 | NBER LTAM Spring 2025 | R&R at the Journal of Finance

Tough talk: The Fed and the risk premium, with Michael McMahon (paper) 

Updated: June 2024 | NBER ME Spring 2024; NBER AP SI 2024 | Rej&R at the American Economic Review 

Media: WSJ, CNBC, Fuqua Insights

Policymakers’ uncertainty, with Stephen Hansen, Michael McMahon, and Song Xiao (paper)

Updated: September 2024 | NBER ME Fall 2022 | R&R at the American Economic Review

Media: Fuqua Insights

Policy announcement design, with Semyon Malamud and Andreas Schrimpf (paper)

Updated: July 2020 | AEA session on Central Bank Communication

Recent conference discussions

Categorical Thinking about Interest Rates, K. Shue, R. Townsend, and C. Wang, NBER Behavioral Finance 2024

Risk and Risk-Free Rates, M. Kilic, Z. Zhang, and A. Zotov, SF Fed Conference on Advances in Macro-Finance Research 2024

Government Debt in Mature Economies: Risky or Safe? R. Gomez-Cram, H. Kung, and H. Lustig, Jackson Hole Economic Policy Symposium  2024

Do the voting rights of Federal Reserve Bank presidents matter? S. Fos, N. Xu, WFA 2024

A monetary policy asset pricing model, R. Caballero and A. Simsek, Red Rock Finance Conference 2023

Monetary-based asset pricing: A mixed-frequency structural approach, F. Bianchi, S. Ludvigson, S. Ma, NBER Asset Pricing  2023

The secular decline in long-term yields around FOMC meetings, S. Hillenbrand, AFA 2023

Monetary policy, segmentation, and the term structure, R. Kekre, M. Lenel, F. Mainardi, NBER SI Macro, Money and Financial Frictions 2022

Interest rate skewness and biased beliefs, M. Chernov and M. Bauer, CDI 2021

The secular decline in long-term yields around FOMC meetings, S. Hillenbrand, MFA 2021

Avoiding Volatility of Individual Stock: Institutional Trading around Scheduled Announcements, M. Di Maggio, F. Franzoni, S. Kogan, and R. Xing, CICF 2021

More than 100% of the equity premium: How much is really earned on macroeconomic announcement days?, R. Ernst, T. Gilbert, and C. Hrdlicka, SFS Cavalcade 2020

The passthrough of Treasury supply to bank deposit funding, W. Li, Y. Ma, and Y. Zhao, SFS Cavalcade 2020

Post-FOMC announcement drift in U.S. bond markets, J. Brooks, M. Katz, and H. Lustig, NBER Behavioral Finance Meeting 2019

Deconstructing the yield curve, R. Crump and N. Gospodinov, LBS Summer Symposium in Asset Pricing 2019

Outside the Box: Unconventional monetary policy in the Great Recession and beyond, K. Kuttner, Brookings Institution 2018 (link) 

The time variation in risk appetite and uncertainty, G. Bekaert, E. Engstrom, and N. Xu, Conference on Global Risk, Uncertainty and Volatility, Federal Reserve Board 2018

Monetary policy slope and the stock market, A. Neuhierl and M. Weber, AFA 2018

Interest rates under falling stars, M. Bauer and G. Rudebusch, Bank of Canada-SF Fed Fixed Income Conference 2017 

The Federal Reserve and market confidence, N. Boyarchenko, V. Haddad, and M. Plosser, NBER SI Macro Money and Financial Frictions 2017

The cross-section of subjective bond risk premia, A. Buraschi, I. Piatti, and P. Wehlan, Adam Smith Asset Pricing Conference 2017 

The banking view of bond risk premia, V. Haddad and D. Sraer, AFA 2017

Permanent working papers

Carry trade and currency mix of corporate debt, with Manuel Adelino and Lorena Keller

Updated: February 2017; SED'17

Nominal term spread, real rate and consumption growth, with Pavol Povala (paper)  

Updated: February 2014

Correlation risk and the term structure of interest rates, with Andrea Buraschi and Fabio Trojani (paper) 

Updated: October 2008; WFA'07,  EFA'07, ASAP'07