This paper solves the full, global equilibrium dynamics (not just a linearization around the steady state) of an economy in which financially constrained "experts" intermediate capital, showing that …
PublishedAmerican Economic ReviewOnline 1 Nov 2025Published Nov 2025
The paper develops a two-country preferred-habitat model in which currency and bond markets are populated by different investor clienteles — currency traders with price-elastic demand for foreign …
PublishedJournal of Monetary EconomicsOnline 1 Dec 2025Published Dec 2025
Why do corporate defaults cluster in recurring episodes rather than occurring smoothly? The paper asks whether observable fundamental factors — firm characteristics and macroeconomic variables — are …
Building on the Kaplan-Violante two-account incomplete-markets model, this manuscript shows that once idiosyncratic risk is assumed to rise when asset valuations fall, the aggregate value of each …
Online FirstJournal of Money, Credit and BankingOnline 4 Jun 2026
This paper derives a three-factor consumption model that adds news about long-run consumption growth and news about long-run consumption variance to the baseline Consumption CAPM, and tests it on a …
This 1978 Econometrica paper by Robert E. Lucas, Jr. builds a theoretical model of a one-good, pure-exchange economy with identical consumers and a fixed number of stochastically productive units, in …
A one-parameter-family utility function nests time-separable preferences, "catching up with the Joneses" (utility depends on own consumption relative to lagged aggregate consumption per capita) and …
PublishedClassicReview of Financial StudiesOnline 30 Aug 2011Published Nov 2011
Sorting currencies into six portfolios by their forward discounts, this paper shows that a single return-based factor -- the return on the highest minus the return on the lowest interest rate currency …
PublishedQuarterly Journal of EconomicsOnline 11 Dec 2024Published Jan 2025
This paper constructs a new dataset of US federal bond prices and uses it to estimate the full term structure of yields on gold-denominated US federal debt from 1791 to 1933 — the entire gold standard …
Online FirstJournal of Money, Credit and BankingOnline 2 Dec 2025
Using security-level data on individual corporate bond prices and the Bank of England's published purchase quantities across its gilt purchase programs (QE1: £200bn, QE2: £125bn, QE3: £50bn, QE4: …
This 2012 American Economic Review paper by Simon Gilchrist and Egon Zakrajšek constructs a new corporate-bond credit spread index -- the "GZ spread" -- from a large panel of secondary-market bond …
Even the most extreme departure from complete international asset markets -- one in which investors can hold nothing abroad but the foreign risk-free bond -- fails to match the smoothness of exchange …
PublishedJournal of Monetary EconomicsOnline 1 Jan 2026Published Jan 2026
What drives the joint historical dynamics of the term structure of equity yields and nominal bond yields — and can a single unified equilibrium model explain the procyclical equity yield slope, the …
PublishedJournal of Monetary EconomicsPublished Oct 2025
The U.S. Treasury market is the deepest and most liquid fixed-income market in the world, yet in March 2020 it experienced unprecedented dysfunction—widening bid-ask spreads, skyrocketing repo rates, …
PublishedClassicJournal of Economic LiteraturePublished Mar 2013
A survey of why international investors hold a disproportionate share of domestic equities, bonds and bank assets ("home bias") despite the diversification gains foreign holdings would offer, …
Online FirstQuarterly Journal of EconomicsOnline 25 Jul 2026
Using tailored surveys of more than 11,000 US and German households, retail investors, financial professionals, and academic experts, the paper documents the "mental models" people use when reasoning …
PublishedClassicQuarterly Journal of EconomicsPublished Feb 1994
Using simple two-variable autoregressions of consumption and GNP, and of dividends and stock prices, Cochrane shows that a shock to GNP (or to stock prices) that leaves consumption (or dividends) …
PublishedJournal of Monetary EconomicsOnline 1 Dec 2025Published Dec 2025
This paper documents a puzzle for canonical limited-participation models: when U.S. stock market participation rose from 31.6% to 53% between 1989 and 2007—a period also characterized by the Great …
PublishedClassicReview of Financial StudiesOnline 7 Apr 2020Published Feb 2021
Identifying US monetary policy shocks from daily moves in five-year Treasury futures around FOMC announcements, this paper shows that during the unconventional-policy years those shocks largely …
PublishedClassicInternational Journal of Central BankingPublished Mar 2013
This 2013 International Journal of Central Banking paper by Canlin Li and Min Wei asks whether changes in the supply of Treasury securities and agency mortgage-backed securities (MBS) affect nominal …
US court rulings in Republic of Argentina v. NML Capital moved the market-implied probability that Argentina would default on its restructured bonds without carrying any news about the Argentine …
This 1985 Journal of Monetary Economics paper by Rajnish Mehra and Edward C. Prescott documents that over 1889-1978 U.S. equities earned about seven percent real return per year on average while …
PublishedJournal of Monetary EconomicsOnline 1 Jun 2026Published Jul 2026
The paper asks why unconventional monetary policy (UMP) spillovers from the European Central Bank (ECB) to the U.S. Treasury yield curve vary so substantially over time, and whether the time-varying …
Most heterogeneous-agent New Keynesian (HANK) models take household portfolios as exogenously fixed. This paper develops a sequence-space method for solving instead for endogenous, risk-hedging …