Publications and Forthcoming Articles
 

• "Euler Equation Errors" (with Martin Lettau).The Review of Economic Dynamics, 2009, 12(2): 255-283.

• "Macro Factors in Bond Risk Premia" (with Serena Ng). The Review of Financial Studies.

• "Measuring and Modeling Variation in the Risk-Return Tradeoff" (with Martin Lettau). Forthcoming in the Handbook of Financial Econometrics, edited by Yacine Ait-Sahalia and Lars P. Hansen. Revised November 2007.

• "Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models" (with Xiaohong Chen). Forthcoming in the Journal of Applied Econometrics.

• "Discussion of Housing and Consumer Behavior". Delivered remarks to be published in the proceedings of the Federal Reserve Bank of Kansas City's symposium on "Housing, Housing Finance, and Monetary Policy" held at Jackson Hole, Wyoming, August 30-September 1, 2007. 

• "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?" (with Martin Lettau and Jessica A. Wachter). The Review of Financial Studies, 2008, 21(4): 1653-1687.Additional results can be found in the NBER working paper version here. 

• The Empirical Risk-Return Tradeoff: A Factor Analysis Approach (with Serena Ng).  The Journal of Financial Economics, 2007, 83:171-222.
  

• Expected Returns and Expected Dividend Growth (with Martin Lettau) The Journal of Financial Economics, 2005, 76: 583-626.
  

• tay's As Good as cay: Reply   (with Martin Lettau) Finance Research Letters, 2005, 2(1): 15-22.

• Consumer Confidence and Consumer Spending Journal of Economic Perspectives, 2004, Spring, 18(2): 29-50.

• Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption (with Martin Lettau). American Economic Review, 2004, March, 94(1): 276-299.

• Monetary Policy Transmission Through the Consumption-Wealth Channel (with Charles Steindel and Martin Lettau). FRBNY Economic Policy Review, 2002, May, 117-133.

• "Time-Varying Risk-Premia and the Cost of Capital: An Alternative Implication of the q Theory of Investment" (with Martin Lettau). Journal of Monetary Economics, 2002, January, 49: 31-66.

• "Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia are Time-Varying." (with Martin Lettau) Journal of Political Economy, 2001, December, 109(6): 1238-1287. CAY data HERE

• "Elasticities of Substitution in Real Business Cycle Models With Home Production." (with John Y. Campbell) Journal of Money, Credit and Banking, 2001, November, 33(4): 847-875.

• "Does Buffer Stock Saving Explain the Smoothness and Excess Sensitivity of Consumption?" (with Alexander Michaelides) American Economic Review, 2001, June, 91(3): 631-647.

• "Consumption, Aggregate Wealth, and Expected Stock Returns." (with Martin Lettau) Journal of Finance, 2001 June, 56(3): 815-849. CAY data HERE

• "Approximation Bias in Linearized Euler Equations." (with Christina H. Paxson) Review of Economics and Statistics 2001 May, 83(2): 242-256.

• "Consumption and Credit: A Model of Time-Varying Liquidity Constraints." Review of Economics and Statistics 1999 August, 81(3): 434-47.

• "How Important is the Stock Market Effect on Consumption?" (with Charles Steindel) FRBNY Economic Policy Review 1999 July, 5(2): 29-51. If you are interested in this paper, you may also be interested in "Understanding Trend and Cycle in Asset Values."

• "The Channel of Monetary Transmission to Demand: Evidence from the Market for Automobile Credit." Journal of Money, Credit, and Banking 1998 August, 30(3): 366-83.

• "Does Consumer Confidence Forecast Household Expenditure? A Sentiment Index Horse Race." (with Jason Bram) FRBNY Economic Policy Review 1998 June, 4(2): 59-78.

• "The Macroeconomic Effects of Government Debt in a Stochastic Growth Model." Journal of Monetary Economics 1996, 38: 25-45.