redirect to my new page




Working Papers

"Negative Interest Rate Policy and Yield Curve" with Fan Dora Xia, December 2017.

    | Shadow rates |

"A Shadow Rate New Keynesian Model" with Ji Zhang, August 2017.

    | Shadow rates |

"Bond Risk Premia in Consumption-based Models" with Drew D. Creal, December 2017.

 


Publications

12. Comment on "Safety, Liquidity, and the Natural Rate of Interest"Brookings Paper on Economic Activity, Spring 2017, 303-310.

11. "Inflation Announcements and Social Dynamics" with Kinda HachemJournal of Money, Credit, and Banking, 2017, 49(8), 1673-1713. (lead article)

    | In the news |

10. "Monetary Policy Uncertainty and Economic Fluctuations" with Drew D. CrealInternational Economic Review, 2017, 58(4), 1317-1354. 

    | Video In the news |

9. "Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound" with Fan Dora Xia, Journal of Money, Credit, and Banking, 2016, 48(2-3), 253-291. (lead article)

    | Shadow rates | Code | Online Appendix Color Figures In the news |

8. "Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility" with Drew D. CrealJournal of Econometrics, 2015, 185(1), 60-81.

    | Code Online Appendix | In the news |

7. "Effects of Index-Fund Investing on Commodity Futures Prices" with James D. HamiltonInternational Economic Review, 2015, 56(1), 187-205.

    | In the news |

6. "Risk Premia in Crude Oil Futures Prices" with James D. HamiltonJournal of International Money and Finance, 2014, 42, 9-37.

    | Code | In the news |

5. "Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment" with Michael D. Bauer and Glenn D. Rudebusch, American Economic Review, 2014, 104(1), 323-337.

    | Code In the news |

4. "Testable Implications of Affine Term Structure Models" with James D. HamiltonJournal of Econometrics, 2014, 178, 231-242.

3. "Correcting Estimation Bias in Dynamic Term Structure Models" with Michael D. Bauer and Glenn D. Rudebusch, Journal of Business & Economic Statistics, 2012, 30 (3), 454-467.

    | Code | Online Appendix | In the news |

2. "Identification and Estimation of Gaussian Affine Term Structure Models" with James D. HamiltonJournal of Econometrics, 2012, 168 (2), 315-331.

    | Code | In the news |

1. "The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment" with James D. HamiltonJournal of Money, Credit, and Banking, 2012, 44 (s1), 3-46. (lead article)

    | Data | In the news |