Working Papers

Instrumented Principal Component Analysis (WP) w/ Kelly and Su

Macroeconomic News in the Cross Section of Asset Growth (WP) w/ Hou, Hugon, and Lyle


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

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

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

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

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

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

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

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)