Research

The views expressed here do not reflect those of the Federal Reserve Board or Federal Reserve System.

Publications


Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response? 

with Sydney C. Ludvigson (NYU) and Serena Ng (Columbia)

AEJ: Macro, Forthcoming

NBER Working Paper No. 21803, Media Coverage: Bloomberg View

Macro and Financial Uncertainty Index (Updated every February and August) Last Update: 2019 Feb.


Capital Share Risk in U.S. Asset Pricing (Appendix)

with Martin Lettau (Berkeley Hass) and Sydney C. Ludvigson (NYU)

Journal of Finance 74(4), August 2019, pp. 1753-1792.

NBER Working Paper No. 20744, Replication Files


Working Papers


The Macroeconomics of Private Equity (New Draft)

with Boyan Jovanovic (NYU) and Peter Rousseau (Vanderbilt) 


Housing Cycles and Exchange Rates (Submitted)

with Shaojun Zhang (OSU Fisher)


Uncertainty and Growth Disasters (Submitted)

with Boyan Jovanovic (NYU)


Heterogeneous Intermediaries and Asset Prices  (Under R&R)


Competition and Implementation Cycles (Under R&R)


Shock Restricted Structural Vector-Autoregressions (Under Revision)

with Sydney C. Ludvigson (NYU) and Serena Ng (Columbia)

NBER Working Paper No. 23225


Selected Work in Progress


Momentum Undervalue Puzzle 

with Martin Lettau (Berkeley Haas) and Sydney Ludvigson (NYU)

Asset Prices and Dynamic Intermediation Chains in OTC Markets (Under Major Revision)