Publications and Forthcoming Articles
 

• "Advances in Consumption-Based Asset Pricing: Empirical Tests."  Forthcoming in Volume 2 of the Handbook of the Economics of Finance.  

• "A Factor Analysis of Bond Risk Premia" (with Serena Ng).  Handbook of Empirical Economics and Finance, 2010, e.d. by Aman Uhla and David E. A. Giles, pp. 313-372.  Chapman and Hall, Boca Raton, FL.  Download large dataset used to create factors HERE. 

• "Measuring and Modeling Variation in the Risk-Return Tradeoff" (with Martin Lettau). Handbook of Financial Econometrics, 2010, ed. by Yacine Ait-Sahalia and Lars P. Hansen vol. 1, pp. 617-690. Elsevier Science B.V., North Holland, Amsterdam. 

• "Macro Factors in Bond Risk Premia" (with Serena Ng). The Review of Financial Stud ies, 2009, 22(12): 5027-5067. Download estimated factors and return data HERE. 

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

• "Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models" (with Xiaohong Chen). Journal of Applied Econometrics, 2009, 24(7):1057-1093.

• "Discussion of Housing and Consumer Behavior". Proceedings of the Federal Reserve Bank of Kansas City's symposium on "Housing, Housing Finance, and Monetary Policy," 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 in 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.