Working Papers

• The Nature of Household Labor Income Risk
• Household Income Risk
• Some Characteristics are Risk Exposures, and the Rest are Irrelevant (WP) w/ Kelly and Su
• Instrumented Principal Component Analysis (WP) w/ Kelly and Su
• Macroeconomic News in the Cross Section of Asset Growth (WP) w/ Hou, Hugon, and Lyle

Articles

8. The Liquidity Effects of Official Bond Market Intervention (JFQA forth) w/ DePooter and Martin

7. Estimating Monetary Policy Rules When Nominal Interest Rates Are Stuck at Zero (JMCB 2017) w/ Kim

6. Systemic Risk and the Macroeconomy: An Empirical Evaluation (JFE 2016) w/ Giglio and Kelly

5. The Three-Pass Regression Filter: A New Approach to Forecasting Using Many Predictors (JoE 2015) w/ Kelly

4. The Demand for Youth: Explaining Age Differences in the Volatility of Hours (AER 2013) w/ Jaimovich and Siu

3. Market Expectations in the Cross Section of Present Values (JF 2013) w/ Kelly

2. Uncertainty over Models and Data: The Rise and Fall of American Inflation (JMCB 2012)

1. Estimating the Market-Perceived Monetary Policy Rule (AEJMacro 2011) w/ Hamilton and Borger

Older Working Papers

• Markup Variation and Endogenous Fluctuations in the Price of Investment Goods (WP) w/ Floetotto and Jaimovich
• The Pseudo-Information Filter (WP)