Publications by Research Field
Publications by Research Field
Embedded Files
International Macro-Finance
International Macro-Finance
Risks for the Long Run and the Real Exchange Rate.
Journal of Political Economy 2011, Volume 119(1).
With R. Colacito.
Recursive Allocations and Wealth Distribution with Multiple Goods.
Quantitative Economics, Volume 10, Issue 1, 2019
With R. Colacito and Z. Liu.
The Short and Long Run Benefits of Financial Integration.
American Economic Review P&P 2010, Volume 100(2).
With R. Colacito.
International Robust Disagreement.
American Economic Review P&P 2012, Volume 102(3).
With R. Colacito.
International Asset Pricing with Recursive Preferences.
Journal of Finance 2013, Volume 68:6.
With R. Colacito.
Currency Risk Factors in a Recursive Multi-Country Economy.
Journal of Finance, Volume 73:6
With R. Colacito, F. Gavazzoni and R. Ready.
BKK the EZ Way. International Long-Run Growth News and Capital Flows.
American Economic Review, Vol. 108, Issue 11.
With R. Colacito, S. Ho, and P. Howard.
Volatility Risk Pass-Through.
Review of Financial Studies, Volume 35, Issue 5, May 2022.
With R. Colacito, Y. Liu, and I. Shaliastovich.
Winner of the IF2018 Best Paper Award (sponsored by NBIM)
featured in NBER Research Spotlight
Concealed Carry.
Journal of Financial Economics 2024, Vol 159, September Lead article.
With S. Andrews, R. Colacito and F. Gavazzoni
Winner of the `Best paper Award at the VSFX 2021' (10,000EUR)
Volatility (Dis)Connect in International Markets
Management Science 2025, forthcoming
With R. Colacito, Y. Liu and I. Shaliastovich
Fiscal Policy Risks
Fiscal Policy Risks
Fiscal Policies and Asset Prices.
Review of Financial Studies 2012, Volume 25(9). Lead Article.
With H. Kung, T. Nguyen and L. Schmid.
The Market Price of Fiscal Uncertainty.
Journal of Monetary Economics 2012 Volume 59:5. Lead article.
With T. Nguyen and L. Schmid.
Government Debt and the Returns to Innovation.
Journal of Financial Economics, Volume 132, Issue 3, June 2019
With T. Nguyen, S. Raymond and L. Schmid.
Coverage:
Persistent Government Debt and Aggregate Risk Distribution. [WP version]
Journal of Financial Economics , Volume 140, Issue 2, 2021. Lead Article.
With T. Nguyen, and S. Raymond.
Asset Pricing in Production Economy
Asset Pricing in Production Economy
Long-Run Productivity Risk. A New Hope for Production-Based Asset Pricing?
Journal of Monetary Economics 2014, Volume 66.
(Based on Chapter 1 of my 2007 PhD Thesis.)
Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital.
Review of Financial Studies 2013, Volume 26(2).
With H. Ai and K. Li.
Coverage:
Equity Returns: Term Structure and Information Value
Equity Returns: Term Structure and Information Value
Investor Information, Long-Run Risk, and the Term Structure of Equity.
Review of Financial Studies 2015, Volume 28(3).
With M. Lettau and S. Ludvigson.
News Shocks and Production-Based Term Structure of Equity Returns.
Review of Financial Studies, 2018, Volume 31(7). Lead Article (Editor's Choice),
With H. Ai, A. Diercks and K. Li.
The Leading Premium.
Review of Financial Studies, 2023, Volume 36(8)
With T. Marchuk and C. Schlag.
When the Markets Get COVID: COntagion, Viruses, and Information Diffusion [Data]
Journal of Financial Economics, 2024, Volume 157, July
With M.J. Arteaga-Garavito, P. Farroni, and I. Wolfskeil
[Covid Crisis Lab, Bocconi]
Press Coverage/Video:
Other
Other
Growth Risks, Asset Prices, and Welfare
Economics Letters , May 2021, Volume 202
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