Publications

Fire-Sale Spillovers and Systemic Risk
with Thomas Eisenbach
The Journal of Finance, Volume 76, Issue 3, Pages 1251-1294, June 2021
Replication code
Internet appendix

Time-Varying Inflation Risk and Stock Returns
with Martijn Boons, Frans de Roon, and Marta Szymanowska
Journal of Financial Economics, Volume 136, Issue 2, Pages 444-470, May 2020
Replication code and data
Internet appendix

NKV: A New Keynesian Model with Vulnerability
with Tobias Adrian, Nellie Liang and Pawel Zabczyk
AEA Papers and Proceedings, Volume 110, Pages 470-76, May 2020
Replication code and data

Comment on “Forward Guidance: Communication, Commitment, or Both?” by Marco Bassetto
Journal of Monetary Economics, Volume 108, Pages 87-92, December 2019

Monetary Policy and Financial Conditions: A Cross-Country Study
with Tobias Adrian, Federico Grinberg and Tommaso Mancini-Griffoli
Chapter 7, Advancing the Frontiers of Monetary Policy, Tobias Adrian, Doug Laxton and Maurice Obstfeld, editors, International Monetary Fund, Washington DC, Pages 83-105, April 2018
Working paper version

The Equity Risk Premium: A Review of Models
with Carlo Rosa
Federal Reserve Bank of New York Economic Policy Review, Volume 21, No. 2, Pages 39-57, December 2015
Latest ERP estimates (February 2023)
All vintages
Code and data