Publications

• Gone with the Vol:  A Decline in Asset Return Predictability during the Great Moderation (with Alex Hsu and Charles Qian), Management Science,  Vol. 69, Issue 5, 2023.

• Real and Nominal Equilibrium Yield Curves (with Erica X.N. Li and Alex Hsu), Management Science, Vo. 67, Issue 2, 2021.

• Term Premium Dynamics and the Taylor Rule (with Michael Gallmeyer, Burton Hollifield and Stanley Zin), The Quarterly Journal of Finance, Vol. 7, No. 4, 2017.

• Leisure Preferences, Long-Run Risks, and Human Capital Returns (with Robert Dittmar and Wei Yang), The Review of Asset Pricing Studies, Issue 6(1), 2016.

• A Simple Nonnegative Process for Equilibrium Models (with Alex Hsu), Economics Letters, Volume 132, 2015. Code: ARG Solver.

• Nominal Rigidities, Asset Returns, and Monetary Policy (with Erica X.N. Li), Journal of Monetary Economics, Volume 66, September 2014.

     This is a previous version of the paper that focuses on policy shocks: Monetary Policy Risk and the Cross Section of Stock Returns.

• Bond Risk Premiums and Optimal Monetary Policy, Review of Economic Dynamics, Volume 15, Issue 1, January 2012.

• Arbitrage Free Bond Pricing with Dynamic Macroeconomic Models (with Michael Gallmeyer, Burton Hollifield and Stanley Zin), The Federal Reserve Bank of St. Louis Review, July/August 2007.