Details about John Y. Campbell
Access statistics for papers by John Y. Campbell.
Last updated 2022-10-31. Update your information in the RePEc Author Service.
Short-id: pca54
Jump to Journal Articles Books Edited books Chapters Software Items
Working Papers
2022
- Idiosyncratic Equity Risk Two Decades Later
NBER Working Papers, National Bureau of Economic Research, Inc
2021
- Sustainability in a Risky World
NBER Working Papers, National Bureau of Economic Research, Inc 
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021)
- The Cross-Section of Household Preferences
NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021)
- Who Owns What? A Factor Model for Direct Stock Holding
NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021)
2020
- Portfolio Choice with Sustainable Spending: A Model of Reaching for Yield
NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
See also Journal Article in Journal of Financial Economics (2022)
- Structuring Mortgages for Macroeconomic Stability
NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
See also Journal Article in Journal of Finance (2021)
2018
- An Intertemporal CAPM with stochastic volatility
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (62)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (14) NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (55)
See also Journal Article in Journal of Financial Economics (2018)
- Do the Rich Get Richer in the Stock Market? Evidence from India
NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (1)
See also Journal Article in American Economic Review: Insights (2019)
- Macroeconomic Drivers of Bond and Equity Risks
Harvard Business School Working Papers, Harvard Business School View citations (9)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (16)
See also Journal Article in Journal of Political Economy (2020)
2016
- International Comparative Household Finance
Scholarly Articles, Harvard University Department of Economics View citations (71)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2016) View citations (71)
See also Journal Article in Annual Review of Economics (2016)
- Restoring Rational Choice: The Challenge of Consumer Financial Regulation
NBER Working Papers, National Bureau of Economic Research, Inc View citations (79)
Also in Working Paper Series, European Central Bank (2016) View citations (78) Scholarly Articles, Harvard University Department of Economics (2016) View citations (90)
See also Journal Article in American Economic Review (2016)
2015
- Inattention and Inertia in Household Finance: Evidence from the Danish Mortgage Market
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (57)
Also in Scholarly Articles, Harvard University Department of Economics (2014) View citations (14)
- Rethinking Mortgage Design
Liberty Street Economics, Federal Reserve Bank of New York
- Sources of Inaction in Household Finance: Evidence from the Danish Mortgage Market
NBER Working Papers, National Bureau of Economic Research, Inc View citations (21)
See also Journal Article in American Economic Review (2020)
2014
- A model of mortgage default
CFS Working Paper Series, Center for Financial Studies (CFS) View citations (9)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (34)
See also Journal Article in Journal of Finance (2015)
- Getting Better or Feeling Better? How Equity Investors Respond to Investment Experience
NBER Working Papers, National Bureau of Economic Research, Inc View citations (23)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (23)
- Monetary Policy Drivers of Bond and Equity Risks
2014 Meeting Papers, Society for Economic Dynamics View citations (66)
- What Calls to ARMs? International Evidence on Interest Rates and the Choice of Adjustable Rate Mortgages
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (11)
See also Journal Article in Management Science (2018)
2013
- Hard Times
Scholarly Articles, Harvard University Department of Economics View citations (15)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (2)
See also Journal Article in The Review of Asset Pricing Studies (2013)
2012
- Down or Out: Assessing The Welfare Costs of Household Investment Mistakes
Working Papers, HAL
Also in Post-Print, HAL (2007) View citations (431) Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2006) View citations (29) NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (26) Working Papers, HAL (2012) Scholarly Articles, Harvard University Department of Economics (2007) View citations (426) HEC Research Papers Series, HEC Paris (2006) View citations (47) Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2006) View citations (22)
See also Journal Article in Journal of Political Economy (2007)
- How Do Regulators Influence Mortgage Risk: Evidence from an Emerging Market
Scholarly Articles, Harvard University Department of Economics View citations (9)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (9) NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (8)
- Mortgage Market Design
NBER Working Papers, National Bureau of Economic Research, Inc View citations (39)
Also in Scholarly Articles, Harvard University Department of Economics (2012) View citations (40)
See also Journal Article in Review of Finance (2013)
- The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment
Scholarly Articles, Harvard University Department of Economics View citations (158)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (43)
See also Journal Article in Critical Finance Review (2012)
2011
- Consumer Financial Protection
Scholarly Articles, Harvard University Department of Economics View citations (107)
See also Journal Article in Journal of Economic Perspectives (2011)
- Forced Sales and House Prices
Scholarly Articles, Harvard University Department of Economics View citations (333)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (54)
See also Journal Article in American Economic Review (2011)
- Investing and Spending: The Twin Challenges of University Endowment Management
Scholarly Articles, Harvard University Department of Economics View citations (3)
- Predicting Financial Distress and the Performance of Distressed Stocks
Scholarly Articles, Harvard University Department of Economics View citations (40)
2010
- Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns
Scholarly Articles, Harvard University Department of Economics View citations (111)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (17) Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2005) View citations (7)
See also Journal Article in Review of Financial Studies (2010)
- The Regulation of Consumer Financial Products: An Introductory Essay with Four Case Studies
Working Paper Series, Harvard University, John F. Kennedy School of Government View citations (15)
2009
- Caught on Tape: Institutional Trading, Stock Returns, and Earnings Announcements
Scholarly Articles, Harvard University Department of Economics View citations (97)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (8)
See also Journal Article in Journal of Financial Economics (2009)
- Down and Out: Assessing the Welfare Costs of Household investment Mistakes
Post-Print, HAL View citations (5)
- Fight Or Flight? Portfolio Rebalancing by Individual Investors
Post-Print, HAL View citations (246)
Also in Scholarly Articles, Harvard University Department of Economics (2009) View citations (251) Post-Print, HAL (2009) View citations (247) NBER Working Papers, National Bureau of Economic Research, Inc (2008) View citations (32)
See also Journal Article in The Quarterly Journal of Economics (2009)
- Global Currency Hedging
Scholarly Articles, Harvard University Department of Economics View citations (1)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations (17)
See also Journal Article in Journal of Finance (2010)
- Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
NBER Working Papers, National Bureau of Economic Research, Inc View citations (48)
Also in 2008 Meeting Papers, Society for Economic Dynamics (2008) View citations (1)
See also Journal Article in Critical Finance Review (2017)
- Measuring the Financial Sophistication of Households
Scholarly Articles, Harvard University Department of Economics View citations (167)
Also in Post-Print, HAL (2009) View citations (167) NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (170)
See also Journal Article in American Economic Review (2009)
- The Changing Role of Nominal Government Bonds in Asset Allocation
Scholarly Articles, Harvard University Department of Economics View citations (1)
- Understanding Inflation-Indexed Bond Markets
NBER Working Papers, National Bureau of Economic Research, Inc View citations (60)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2009) View citations (43) Scholarly Articles, Harvard University Department of Economics (2009) View citations (60) Yale School of Management Working Papers, Yale School of Management (2009) View citations (4)
See also Journal Article in Brookings Papers on Economic Activity (2009)
2008
- Estimating the Equity Premium
Scholarly Articles, Harvard University Department of Economics View citations (134)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations (5)
- In Search of Distress Risk
Scholarly Articles, Harvard University Department of Economics View citations (543)
Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2005) View citations (38) NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (34) Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2005) 
See also Journal Article in Journal of Finance (2008)
- Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
Scholarly Articles, Harvard University Department of Economics View citations (827)
See also Journal Article in Review of Financial Studies (2008)
2007
- How Do House Prices Affect Consumption? Evidence from Micro Data
Scholarly Articles, Harvard University Department of Economics View citations (571)
Also in 2004 Meeting Papers, Society for Economic Dynamics (2004) View citations (20) Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2005) View citations (20) NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (50) Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2004) View citations (6) 2004 Meeting Papers, Society for Economic Dynamics (2004) View citations (17)
See also Journal Article in Journal of Monetary Economics (2007)
- Intergenerational Risksharing and Equilibrium Asset Prices
Scholarly Articles, Harvard University Department of Economics View citations (14)
Also in FMG Discussion Papers, Financial Markets Group (2007) View citations (14) NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (3) LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) View citations (12)
See also Journal Article in Journal of Monetary Economics (2007)
2006
- Efficient tests of stock return predictability
Scholarly Articles, Harvard University Department of Economics View citations (364)
Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2002) View citations (13) NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (38)
See also Journal Article in Journal of Financial Economics (2006)
- Household Finance
NBER Working Papers, National Bureau of Economic Research, Inc View citations (461)
Also in Scholarly Articles, Harvard University Department of Economics (2006) View citations (477)
See also Journal Article in Journal of Finance (2006)
2005
- Caught On Tape: Institutional Order Flow and Stock Returns
NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2005) View citations (6)
- Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?
Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (34)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (44)
- The Term Structure of the Risk-Return Tradeoff
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (63)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (68)
2004
- Bad Beta, Good Beta
Scholarly Articles, Harvard University Department of Economics View citations (349)
Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2003) View citations (5) NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (29) Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2002) View citations (2)
See also Journal Article in American Economic Review (2004)
- Caught On Tape: Predicting Institutional Ownership With Order Flow
Finance, University Library of Munich, Germany View citations (6)
Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2004) View citations (4)
- Household Risk Management and Optimal Mortgage Choice
Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (1)
Also in Econometric Society 2004 North American Winter Meetings, Econometric Society (2004) View citations (1) Scholarly Articles, Harvard University Department of Economics (2003) View citations (319) NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (316) Computing in Economics and Finance 2002, Society for Computational Economics (2002) View citations (4) Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2002) View citations (4)
See also Journal Article in The Quarterly Journal of Economics (2003)
- Inflation Illusion and Stock Prices
Scholarly Articles, Harvard University Department of Economics View citations (164)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations (166)
See also Journal Article in American Economic Review (2004)
- Strategic Asset Allocation in a Continuous-Time VAR Model
Scholarly Articles, Harvard University Department of Economics View citations (38)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) View citations (3) NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (2)
See also Journal Article in Journal of Economic Dynamics and Control (2004)
2003
- A Multivariate Model of Strategic Asset Allocation
Scholarly Articles, Harvard University Department of Economics View citations (211)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) View citations (19) NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (30)
See also Chapter (2013) Journal Article in Journal of Financial Economics (2003)
- Equity Volatility and Corporate Bond Yields
Scholarly Articles, Harvard University Department of Economics View citations (488)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2002) View citations (20) Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2002) View citations (17)
See also Journal Article in Journal of Finance (2003)
- Foreign Currency for Long-Term Investors
Scholarly Articles, Harvard University Department of Economics View citations (20)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations (5) NBER Working Papers, National Bureau of Economic Research, Inc (2002) View citations (3)
See also Journal Article in Economic Journal (2003)
2002
- Consumption-Based Asset Pricing
Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (44)
See also Chapter (2003)
2001
- Elasticities of Substitution in Real Business Cycle Models with Home Production
Scholarly Articles, Harvard University Department of Economics View citations (54)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations (2) Research Paper, Federal Reserve Bank of New York (1997) View citations (2) Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2000) View citations (7)
See also Journal Article in Journal of Money, Credit and Banking (2001)
- Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
Scholarly Articles, Harvard University Department of Economics View citations (930)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) View citations (138)
See also Journal Article in Journal of Finance (2001)
- Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor
Scholarly Articles, Harvard University Department of Economics View citations (23)
Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2000)  Computing in Economics and Finance 1999, Society for Computational Economics (1999) View citations (13)
See also Journal Article in Review of Finance (2001)
- Valuation Ratios and the Long-Run Stock Market Outlook: An Update
NBER Working Papers, National Bureau of Economic Research, Inc View citations (157)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2001) View citations (144)
- Why Long Horizons? A Study of Power Against Persistent Alternatives
Scholarly Articles, Harvard University Department of Economics View citations (62)
Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (1993) View citations (7)
See also Journal Article in Journal of Empirical Finance (2001)
2000
- Asset Pricing at the Millennium
NBER Working Papers, National Bureau of Economic Research, Inc View citations (274)
Also in Scholarly Articles, Harvard University Department of Economics (2000) View citations (268) Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2000) View citations (247)
See also Journal Article in Journal of Finance (2000)
- Explaining the Poor Performance of Consumption-Based Asset Pricing Models
Scholarly Articles, Harvard University Department of Economics View citations (118)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1999) View citations (16)
See also Journal Article in Journal of Finance (2000)
- Investing Retirement Wealth? A Life-Cycle Model
Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (9)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1999) View citations (45)
See also Chapter (2001)
- Who Should Buy Long-Term Bonds?
Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (5)
Also in FAME Research Paper Series, International Center for Financial Asset Management and Engineering (1998) View citations (14) NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations (45)
See also Journal Article in American Economic Review (2001)
1999
- By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
Scholarly Articles, Harvard University Department of Economics View citations (2108)
Also in Working Papers, Federal Reserve Bank of Philadelphia (1994) View citations (17) NBER Working Papers, National Bureau of Economic Research, Inc (1995) View citations (113) CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago (1994) View citations (208)
See also Journal Article in Journal of Political Economy (1999)
- Consumption and Portfolio Decisions When Expected Returns are Time Varying
Scholarly Articles, Harvard University Department of Economics View citations (424)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1996) View citations (14) Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (1998) View citations (23)
See also Journal Article in The Quarterly Journal of Economics (1999)
- Dispersion and Volatility in Stock Returns: An Empirical Investigation
NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1998) View citations (6)
1998
- Asset Prices, Consumption, and the Business Cycle
NBER Working Papers, National Bureau of Economic Research, Inc View citations (39)
See also Chapter (1999)
1997
- Inflation, Real Interest Rates, and the Bond Market: A Study of UK Nominal and Index-Linked Government Bond Prices
Scholarly Articles, Harvard University Department of Economics View citations (77)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1996) View citations (36) CERF Discussion Paper Series, Economics and Finance Section, School of Social Sciences, Brunel University
1996
- A Scorecard for Indexed Government Data
Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (22)
- A Scorecard for Indexed Government Debt
NBER Working Papers, National Bureau of Economic Research, Inc View citations (87)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1996) View citations (87)
See also Chapter (1996)
- Consumption and the Stock Market: Interpreting International Experience
Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (27)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1996) View citations (32)
- Understanding Risk and Return
Scholarly Articles, Harvard University Department of Economics View citations (751)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1993) View citations (15) Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (1995) View citations (5)
See also Journal Article in Journal of Political Economy (1996)
1995
- Inflation, Real Interest Rates and the Bond Market: A Study of UK Nominal Index-Linked Government Bond Prices
Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (2)
- Some Lessons from the Yield Curve
Scholarly Articles, Harvard University Department of Economics View citations (196)
Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (1995) View citations (188) NBER Working Papers, National Bureau of Economic Research, Inc (1995) View citations (194)
See also Journal Article in Journal of Economic Perspectives (1995)
1994
- Inspecting the Mechanism: An Analytical Approach to the Stochastic Growth Model
Scholarly Articles, Harvard University Department of Economics View citations (219)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1992) View citations (1)
See also Journal Article in Journal of Monetary Economics (1994)
- Models of the term structure of interest rates
Working Papers, Federal Reserve Bank of Philadelphia View citations (5)
1993
- International Experiences with Securities Transaction Taxes
NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
See also Chapter (1994)
- Intertemporal Asset Pricing Without Consumption Data
Scholarly Articles, Harvard University Department of Economics View citations (436)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1992) View citations (5)
See also Journal Article in American Economic Review (1993)
- Smart Money, Noise Trading and Stock Price Behaviour
Scholarly Articles, Harvard University Department of Economics View citations (174)
Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (1988) View citations (17) Working Papers, Princeton, Department of Economics - Financial Research Center (1988) View citations (37)
See also Journal Article in Review of Economic Studies (1993)
- Trading Volume and Serial Correlation in Stock Returns
Scholarly Articles, Harvard University Department of Economics View citations (581)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1992) View citations (13)
See also Journal Article in The Quarterly Journal of Economics (1993)
- What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns
Scholarly Articles, Harvard University Department of Economics View citations (501)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1991) View citations (6) Working Papers, Princeton, Department of Economics - Financial Research Center (1991) View citations (4)
See also Journal Article in Journal of Finance (1993)
- Where Do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk
Scholarly Articles, Harvard University Department of Economics View citations (75)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1993) View citations (74)
1992
- No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns
Scholarly Articles, Harvard University Department of Economics View citations (805)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1991) View citations (33)
See also Journal Article in Journal of Financial Economics (1992)
- Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration
Scholarly Articles, Harvard University Department of Economics View citations (239)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1989) View citations (10)
See also Journal Article in Journal of Finance (1992)
1991
- A Variance Decomposition for Stock Returns
Scholarly Articles, Harvard University Department of Economics View citations (767)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1990) View citations (327)
See also Journal Article in Economic Journal (1991)
- Pitfalls and Opportunities: What Macroeconomics should know about unit roots
Working Papers, Princeton, Department of Economics - Econometric Research Program View citations (327)
Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (1991) View citations (981) Scholarly Articles, Harvard University Department of Economics (1991) View citations (1000)
See also Chapter (1991)
- Yield Spreads and Interest Rate Movements: A Bird's Eye View
Scholarly Articles, Harvard University Department of Economics View citations (813)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1989) View citations (296)
See also Journal Article in Review of Economic Studies (1991)
1990
- AN ASYMMETRIC MODEL OF CHANGING VOLATILITY IN STOCK RETURNS
Working Papers, Princeton, Department of Economics - Financial Research Center View citations (3)
- Measuring the Persistence of Expected Returns
NBER Working Papers, National Bureau of Economic Research, Inc View citations (25)
Also in Scholarly Articles, Harvard University Department of Economics (1990) View citations (26)
See also Journal Article in American Economic Review (1990)
- Permanent Income, Current Income, and Consumption
Scholarly Articles, Harvard University Department of Economics View citations (408)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1987) View citations (33)
See also Journal Article in Journal of Business & Economic Statistics (1990)
- U.S. corporate leverage: developments in 1987 and 1988
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (7)
See also Journal Article in Brookings Papers on Economic Activity (1990)
1989
- Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence
NBER Working Papers, National Bureau of Economic Research, Inc View citations (1058)
See also Chapter (1989)
- International Evidence on the Persistence of Economic Fluctuations
Scholarly Articles, Harvard University Department of Economics View citations (103)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1988) View citations (59)
See also Journal Article in Journal of Monetary Economics (1989)
- Why Is Consumption So Smooth?
Scholarly Articles, Harvard University Department of Economics View citations (346)
See also Journal Article in Review of Economic Studies (1989)
1988
- Interpreting Cointegrated Models
NBER Working Papers, National Bureau of Economic Research, Inc View citations (71)
Also in Scholarly Articles, Harvard University Department of Economics (1988) View citations (79)
See also Journal Article in Journal of Economic Dynamics and Control (1988)
- PREDICTABLE BOND AND STOCK RETURNS IN THE UNITED STATES AND JAPAN: A STUDY OF LONG-TERM MARKET INTEGRATION
Working Papers, Princeton, Department of Economics - Financial Research Center View citations (7)
- STOCK PRICES, EARNINGS AND EXPECTED DIVIDENDS
Working Papers, Princeton, Department of Economics - Econometric Research Program View citations (815)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1988) View citations (890) Scholarly Articles, Harvard University Department of Economics (1988) View citations (909) NBER Working Papers, National Bureau of Economic Research, Inc (1988) View citations (831)
- The Dividend Ratio Model and Small Sample Bias: A Monte Carlo Study
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (3)
See also Journal Article in Economics Letters (1989)
1987
- Are Output Fluctuations Transitory?
Scholarly Articles, Harvard University Department of Economics View citations (365)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1986) View citations (12)
See also Journal Article in The Quarterly Journal of Economics (1987)
- Cointegration and Tests of Present Value Models
Scholarly Articles, Harvard University Department of Economics View citations (1178)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1986) View citations (6) NBER Working Papers, National Bureau of Economic Research, Inc (1986) View citations (14)
See also Journal Article in Journal of Political Economy (1987)
- Household Saving and Permanent Income in Canada and the United Kingdom
NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
- Is Consumption Too Smooth?
NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
- Money Announcements, The Demand for Bank Reserves, and the Behavior of the Federal Funds Rate within the Statement Week
Scholarly Articles, Harvard University Department of Economics View citations (51)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1986) View citations (36)
See also Journal Article in Journal of Money, Credit and Banking (1987)
- Permanent and Transitory Components in Macroeconomic Fluctuations
NBER Working Papers, National Bureau of Economic Research, Inc View citations (95)
Also in Scholarly Articles, Harvard University Department of Economics (1987) View citations (92)
See also Journal Article in American Economic Review (1987)
- Stock Returns and the Term Structure
Scholarly Articles, Harvard University Department of Economics View citations (944)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1985) View citations (8)
See also Journal Article in Journal of Financial Economics (1987)
- The Dollar and Real Interest Rates
NBER Working Papers, National Bureau of Economic Research, Inc View citations (104)
Also in Scholarly Articles, Harvard University Department of Economics (1987) View citations (102)
See also Journal Article in Carnegie-Rochester Conference Series on Public Policy (1987)
- The Term Structure of Euromarket Interest Rates: An Empirical Investigation
Scholarly Articles, Harvard University Department of Economics View citations (39)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1986) View citations (4) NBER Working Papers, National Bureau of Economic Research, Inc (1986) View citations (26)
See also Journal Article in Journal of Monetary Economics (1987)
1986
- A Defense of Traditional Hypotheses about the Term Structure of Interest Rates
Scholarly Articles, Harvard University Department of Economics View citations (53)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1984) View citations (25)
See also Journal Article in Journal of Finance (1986)
- Bond and Stock Returns in a Simple Exchange Model
Scholarly Articles, Harvard University Department of Economics View citations (111)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1984) View citations (3)
See also Journal Article in The Quarterly Journal of Economics (1986)
- Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis
NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
See also Journal Article in Econometrica (1987)
- The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
NBER Working Papers, National Bureau of Economic Research, Inc View citations (55)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1986) View citations (5)
See also Journal Article in Review of Financial Studies (1988)
1984
- A Simple Account of the Behavior of Long-Term Interest Rates
Scholarly Articles, Harvard University Department of Economics View citations (50)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1983) View citations (5)
See also Journal Article in American Economic Review (1984)
1983
- Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (302)
See also Journal Article in Brookings Papers on Economic Activity (1983)
Journal Articles
2022
- Portfolio choice with sustainable spending: A model of reaching for yield
Journal of Financial Economics, 2022, 143, (1), 188-206 View citations (2)
See also Working Paper (2020)
2021
- Structuring Mortgages for Macroeconomic Stability
Journal of Finance, 2021, 76, (5), 2525-2576 View citations (5)
See also Working Paper (2020)
2020
- Macroeconomic Drivers of Bond and Equity Risks
Journal of Political Economy, 2020, 128, (8), 3148 - 3185 View citations (33)
See also Working Paper (2018)
- Sources of Inaction in Household Finance: Evidence from the Danish Mortgage Market
American Economic Review, 2020, 110, (10), 3184-3230 View citations (36)
See also Working Paper (2015)
2019
- Do the Rich Get Richer in the Stock Market? Evidence from India
American Economic Review: Insights, 2019, 1, (2), 225-40 View citations (18)
See also Working Paper (2018)
2018
- An intertemporal CAPM with stochastic volatility
Journal of Financial Economics, 2018, 128, (2), 207-233 View citations (62)
See also Working Paper (2018)
- What Calls to ARMs? International Evidence on Interest Rates and the Choice of Adjustable-Rate Mortgages
Management Science, 2018, 64, (5), 2275-2288 View citations (29)
See also Working Paper (2014)
2017
- Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
Critical Finance Review, 2017, 6, (2), 263-301 View citations (61)
See also Working Paper (2009)
2016
- International Comparative Household Finance
Annual Review of Economics, 2016, 8, (1), 111-144 View citations (71)
See also Working Paper (2016)
- Restoring Rational Choice: The Challenge of Consumer Financial Regulation
American Economic Review, 2016, 106, (5), 1-30 View citations (78)
See also Working Paper (2016)
2015
- A Model of Mortgage Default
Journal of Finance, 2015, 70, (4), 1495-1554 View citations (115)
See also Working Paper (2014)
- The Fragile Benefits of Endowment Destruction
Journal of Political Economy, 2015, 123, (5), 1214 - 1226
- The Impact of Regulation on Mortgage Risk: Evidence from India
American Economic Journal: Economic Policy, 2015, 7, (4), 71-102 View citations (20)
2014
- Empirical Asset Pricing: Eugene Fama, Lars Peter Hansen, and Robert Shiller
Scandinavian Journal of Economics, 2014, 116, (3), 593-634 View citations (31)
2013
- Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group
Journal of Applied Corporate Finance, 2013, 25, (4), 37-40 View citations (6)
- Hard Times
The Review of Asset Pricing Studies, 2013, 3, (1), 95-132 View citations (7)
See also Working Paper (2013)
- Mortgage Market Design*
Review of Finance, 2013, 17, (1), 1-33 View citations (60)
See also Working Paper (2012)
- Predicting asset prices
Nature, 2013, 504, (7478), 97-97
2012
- The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment
Critical Finance Review, 2012, 1, (1), 141-182 View citations (173)
See also Working Paper (2012)
2011
- Consumer Financial Protection
Journal of Economic Perspectives, 2011, 25, (1), 91-114 View citations (105)
See also Working Paper (2011)
- Forced Sales and House Prices
American Economic Review, 2011, 101, (5), 2108-31 View citations (351)
See also Working Paper (2011)
2010
- Global Currency Hedging
Journal of Finance, 2010, 65, (1), 87-121 View citations (89)
See also Working Paper (2009)
- Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns
Review of Financial Studies, 2010, 23, (1), 305-344 View citations (112)
Also in Proceedings, 2005 (2005) View citations (6)
See also Working Paper (2010)
- The Squam Lake Report: Fixing the Financial System
Journal of Applied Corporate Finance, 2010, 22, (3), 8-21 View citations (116)
See also Book (2010)
2009
- Caught on tape: Institutional trading, stock returns, and earnings announcements
Journal of Financial Economics, 2009, 92, (1), 66-91 View citations (102)
See also Working Paper (2009)
- Fight or Flight? Portfolio Rebalancing by Individual Investors
The Quarterly Journal of Economics, 2009, 124, (1), 301-348 View citations (252)
See also Working Paper (2009)
- Measuring the Financial Sophistication of Households
American Economic Review, 2009, 99, (2), 393-98 View citations (173)
See also Working Paper (2009)
- The Changing Role of Nominal Government Bonds in Asset Allocation&ast
The Geneva Risk and Insurance Review, 2009, 34, (2), 89-104 View citations (1)
- Understanding Inflation-Indexed Bond Markets
Brookings Papers on Economic Activity, 2009, 40, (1 (Spring)), 79-138 View citations (66)
See also Working Paper (2009)
2008
- In Search of Distress Risk
Journal of Finance, 2008, 63, (6), 2899-2939 View citations (544)
See also Working Paper (2008)
- Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
Review of Financial Studies, 2008, 21, (4), 1509-1531 View citations (837)
See also Working Paper (2008)
- Viewpoint: Estimating the equity premium
Canadian Journal of Economics, 2008, 41, (1), 1-21 View citations (140)
Also in Canadian Journal of Economics/Revue canadienne d'économique, 2008, 41, (1), 1-21 (2008) View citations (124)
2007
- Down or Out: Assessing the Welfare Costs of Household Investment Mistakes
Journal of Political Economy, 2007, 115, (5), 707-747 View citations (427)
See also Working Paper (2012)
- How do house prices affect consumption? Evidence from micro data
Journal of Monetary Economics, 2007, 54, (3), 591-621 View citations (596)
See also Working Paper (2007)
- Intergenerational risksharing and equilibrium asset prices
Journal of Monetary Economics, 2007, 54, (8), 2251-2268 View citations (15)
See also Working Paper (2007)
2006
- Efficient tests of stock return predictability
Journal of Financial Economics, 2006, 81, (1), 27-60 View citations (413)
See also Working Paper (2006)
- Household Finance
Journal of Finance, 2006, 61, (4), 1553-1604 View citations (462)
See also Working Paper (2006)
2004
- Bad Beta, Good Beta
American Economic Review, 2004, 94, (5), 1249-1275 View citations (369)
See also Working Paper (2004)
- Inflation Illusion and Stock Prices
American Economic Review, 2004, 94, (2), 19-23 View citations (166)
See also Working Paper (2004)
- Strategic asset allocation in a continuous-time VAR model
Journal of Economic Dynamics and Control, 2004, 28, (11), 2195-2214 View citations (39)
See also Working Paper (2004)
2003
- A multivariate model of strategic asset allocation
Journal of Financial Economics, 2003, 67, (1), 41-80 View citations (218)
See also Working Paper (2003) Chapter (2013)
- Equity Volatility and Corporate Bond Yields
Journal of Finance, 2003, 58, (6), 2321-2350 View citations (490)
See also Working Paper (2003)
- Foreign Currency for Long-Term Investors
Economic Journal, 2003, 113, (486), C1-C25 View citations (25)
See also Working Paper (2003)
- Household Risk Management and Optimal Mortgage Choice
The Quarterly Journal of Economics, 2003, 118, (4), 1449-1494 View citations (316)
See also Working Paper (2004)
- Two Puzzles of Asset Pricing and Their Implications for Investors
The American Economist, 2003, 47, (1), 48-74 View citations (2)
2001
- A Comment On James M. Poterba'S "Demographic Structure And Asset Returns"
The Review of Economics and Statistics, 2001, 83, (4), 585-588 View citations (7)
- Elasticities of Substitution in Real Business Cycle Models with Home Protection
Journal of Money, Credit and Banking, 2001, 33, (4), 847-75 View citations (53)
See also Working Paper (2001)
- Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
Journal of Finance, 2001, 56, (1), 1-43 View citations (961)
See also Working Paper (2001)
- Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor
Review of Finance, 2001, 5, (3), 269-292 View citations (22)
See also Working Paper (2001)
- Who Should Buy Long-Term Bonds?
American Economic Review, 2001, 91, (1), 99-127 View citations (249)
See also Working Paper (2000)
- Why long horizons? A study of power against persistent alternatives
Journal of Empirical Finance, 2001, 8, (5), 459-491 View citations (64)
See also Working Paper (2001)
2000
- Asset Pricing at the Millennium
Journal of Finance, 2000, 55, (4), 1515-1567 View citations (271)
See also Working Paper (2000)
- Comment on Low Inflation: The Behavior of Financial Markets and Institutions
Journal of Money, Credit and Banking, 2000, 32, (4), 1088-92 View citations (1)
- Explaining the Poor Performance of Consumption‐based Asset Pricing Models
Journal of Finance, 2000, 55, (6), 2863-2878 View citations (92)
See also Working Paper (2000)
1999
- Consumption and Portfolio Decisions when Expected Returns are Time Varying
The Quarterly Journal of Economics, 1999, 114, (2), 433-495 View citations (431)
See also Working Paper (1999)
- Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
Journal of Political Economy, 1999, 107, (2), 205-251 View citations (2052)
See also Working Paper (1999)
1998
- Book reviews
Journal of Development Studies, 1998, 34, (3), 135-159
- THE ECONOMETRICS OF FINANCIAL MARKETS
Macroeconomic Dynamics, 1998, 2, (4), 559-562 View citations (41)
1997
- A comparison of numerical and analytic approximate solutions to an intertemporal consumption choice problem
Journal of Economic Dynamics and Control, 1997, 21, (2-3), 273-295 View citations (27)
1996
- Understanding Risk and Return
Journal of Political Economy, 1996, 104, (2), 298-345 View citations (748)
See also Working Paper (1996)
1995
- Remarks: some thoughts on systemic risk
Proceedings, 1995, 557-561
- Some Lessons from the Yield Curve
Journal of Economic Perspectives, 1995, 9, (3), 129-152 View citations (194)
See also Working Paper (1995)
1994
- Inspecting the mechanism: An analytical approach to the stochastic growth model
Journal of Monetary Economics, 1994, 33, (3), 463-506 View citations (222)
See also Working Paper (1994)
- The New Palgrave Dictionary of Money and Finance
Journal of Economic Literature, 1994, 32, (2), 667-73 View citations (5)
1993
- A Note on Johansen's Cointegration Procedure When Trends Are Present
Empirical Economics, 1993, 18, (4), 777-89 View citations (37)
- Intertemporal Asset Pricing without Consumption Data
American Economic Review, 1993, 83, (3), 487-512 View citations (441)
See also Working Paper (1993)
- Smart Money, Noise Trading and Stock Price Behaviour
Review of Economic Studies, 1993, 60, (1), 1-34 View citations (175)
See also Working Paper (1993)
- Trading Volume and Serial Correlation in Stock Returns
The Quarterly Journal of Economics, 1993, 108, (4), 905-939 View citations (586)
See also Working Paper (1993)
- What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns
Journal of Finance, 1993, 48, (1), 3-37 View citations (485)
See also Working Paper (1993)
- Where Do Betas Come From? Asset Price Dynamics and the
Review of Financial Studies, 1993, 6, (3), 567-92 View citations (66)
1992
- No news is good news *1: An asymmetric model of changing volatility in stock returns
Journal of Financial Economics, 1992, 31, (3), 281-318 View citations (666)
See also Working Paper (1992)
- Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration
Journal of Finance, 1992, 47, (1), 43-69 View citations (234)
See also Working Paper (1992)
- Racines unitaires en macroéconomie: le cas multidimensionnel
Annals of Economics and Statistics, 1992, (27), 1-50 View citations (7)
1991
- A Variance Decomposition for Stock Returns
Economic Journal, 1991, 101, (405), 157-79 View citations (763)
See also Working Paper (1991)
- Aggregate investment, the stock market and the Q model: Robust results for six OECD countries: by G. Sensenbrenner
European Economic Review, 1991, 35, (4), 826-830
- The response of consumption to income: A cross-country investigation
European Economic Review, 1991, 35, (4), 723-756 View citations (291)
- Yield Spreads and Interest Rate Movements: A Bird's Eye View
Review of Economic Studies, 1991, 58, (3), 495-514 View citations (683)
See also Working Paper (1991)
1990
- Editors' introduction
Journal of Econometrics, 1990, 45, (1-2), 1-5
- Measuring the Persistence of Expected Returns
American Economic Review, 1990, 80, (2), 43-47 View citations (26)
See also Working Paper (1990)
- Permanent Income, Current Income, and Consumption
Journal of Business & Economic Statistics, 1990, 8, (3), 265-79 View citations (408)
See also Working Paper (1990)
- U.S. Corporate Leverage: Developments in 1987 and 1988
Brookings Papers on Economic Activity, 1990, 21, (1), 255-286 View citations (6)
See also Working Paper (1990)
1989
- Finance theory and the term structure a comment
Carnegie-Rochester Conference Series on Public Policy, 1989, 31, (1), 177-184
- International evidence on the persistence of economic fluctuations
Journal of Monetary Economics, 1989, 23, (2), 319-333 View citations (103)
See also Working Paper (1989)
- The dividend ratio model and small sample bias: A Monte Carlo study
Economics Letters, 1989, 29, (4), 325-331 View citations (14)
See also Working Paper (1988)
- Why is Consumption So Smooth?
Review of Economic Studies, 1989, 56, (3), 357-373 View citations (350)
See also Working Paper (1989)
1988
- Interpreting cointegrated models
Journal of Economic Dynamics and Control, 1988, 12, (2-3), 505-522 View citations (80)
See also Working Paper (1988)
- Is There a Corporate Debt Crisis?
Brookings Papers on Economic Activity, 1988, 19, (1), 83-140 View citations (80)
- The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
Review of Financial Studies, 1988, 1, (3), 195-228 View citations (1660)
See also Working Paper (1986)
1987
- Are Output Fluctuations Transitory?
The Quarterly Journal of Economics, 1987, 102, (4), 857-880 View citations (385)
See also Working Paper (1987)
- Cointegration and Tests of Present Value Models
Journal of Political Economy, 1987, 95, (5), 1062-88 View citations (1176)
See also Working Paper (1987)
- Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis
Econometrica, 1987, 55, (6), 1249-73 View citations (421)
See also Working Paper (1986)
- Macroeconomic lessons from Britain: A review essay
Journal of Monetary Economics, 1987, 19, (2), 315-324
- Money Announcements, the Demand for Bank Reserves, and the Behavior of the Federal Funds Rate within the Statement Week
Journal of Money, Credit and Banking, 1987, 19, (1), 56-67 View citations (58)
See also Working Paper (1987)
- Permanent and Transitory Components in Macroeconomic Fluctuations
American Economic Review, 1987, 77, (2), 111-17 View citations (98)
See also Working Paper (1987)
- Stock returns and the term structure
Journal of Financial Economics, 1987, 18, (2), 373-399 View citations (936)
See also Working Paper (1987)
- The dollar and real interest rates
Carnegie-Rochester Conference Series on Public Policy, 1987, 27, (1), 103-139 View citations (101)
See also Working Paper (1987)
- The term structure of euromarket interest rates: An empirical investigation
Journal of Monetary Economics, 1987, 19, (1), 25-44 View citations (39)
See also Working Paper (1987)
1986
- A Defense of Traditional Hypotheses about the Term Structure of Interest Rates
Journal of Finance, 1986, 41, (1), 183-93 View citations (51)
See also Working Paper (1986)
- Bond and Stock Returns in a Simple Exchange Model
The Quarterly Journal of Economics, 1986, 101, (4), 785-803 View citations (115)
See also Working Paper (1986)
1984
- A Simple Account of the Behavior of Long-Term Interest Rates
American Economic Review, 1984, 74, (2), 44-48 View citations (46)
See also Working Paper (1984)
1983
- Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates
Brookings Papers on Economic Activity, 1983, 14, (1), 173-224 View citations (329)
See also Working Paper (1983)
Books
2010
- The Squam Lake Report: Fixing the Financial System
Economics Books, Princeton University Press View citations (105)
See also Journal Article in Journal of Applied Corporate Finance (2010)
2008
- Asset Prices and Monetary Policy
NBER Books, National Bureau of Economic Research, Inc View citations (48)
2002
- Strategic Asset Allocation: Portfolio Choice for Long-Term Investors
OUP Catalogue, Oxford University Press View citations (681)
2001
- Risk Aspects of Investment-Based Social Security Reform
NBER Books, National Bureau of Economic Research, Inc View citations (79)
1990
- Econometric Methods and Financial Time Series
NBER Books, National Bureau of Economic Research, Inc
Edited books
2008
- Asset Prices and Monetary Policy
National Bureau of Economic Research Books, University of Chicago Press View citations (350)
2000
- Risk Aspects of Investment-Based Social Security Reform
National Bureau of Economic Research Books, University of Chicago Press View citations (16)
Chapters
2013
- A multivariate model of strategic asset allocation
Chapter 39 in HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part II, 2013, pp 809-848 
See also Journal Article in Journal of Financial Economics (2003) Working Paper (2003)
- Comment on "Shocks and Crashes"
A chapter in NBER Macroeconomics Annual 2013, Volume 28, 2013, pp 355-366
2010
- Introduction
A chapter in The Squam Lake Report: Fixing the Financial System, 2010
2008
- Introduction to "Asset Prices and Monetary Policy"
A chapter in Asset Prices and Monetary Policy, 2008, pp 1-7 View citations (5)
2003
- Consumption-based asset pricing
Chapter 13 in Handbook of the Economics of Finance, 2003, vol. 1, Part 2, pp 803-887 View citations (418)
See also Working Paper (2002)
2001
- Introduction to "Risk Aspects of Investment-Based Social Security Reform"
A chapter in Risk Aspects of Investment-Based Social Security Reform, 2001, pp 1-10 View citations (48)
- Investing Retirement Wealth: A Life-Cycle Model
A chapter in Risk Aspects of Investment-Based Social Security Reform, 2001, pp 439-482 View citations (111)
See also Working Paper (2000)
1999
- Asset prices, consumption, and the business cycle
Chapter 19 in Handbook of Macroeconomics, 1999, vol. 1, Part C, pp 1231-1303 View citations (343)
See also Working Paper (1998)
1996
- A Scorecard for Indexed Government Debt
A chapter in NBER Macroeconomics Annual 1996, Volume 11, 1996, pp 155-208 View citations (84)
See also Working Paper (1996)
1995
- Accounting for Stock Price Movements
Palgrave Macmillan
1994
- International Experiences with Securities Transaction Taxes
A chapter in The Internationalization of Equity Markets, 1994, pp 277-308 View citations (34)
See also Working Paper (1993)
1993
- The Interest Rate Process and the Term Structure of Interest Rates in Japan
A chapter in Japanese Monetary Policy, 1993, pp 95-120 View citations (8)
1991
- Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots
A chapter in NBER Macroeconomics Annual 1991, Volume 6, 1991, pp 141-220 View citations (970)
See also Working Paper (1991)
1989
- Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence
A chapter in NBER Macroeconomics Annual 1989, Volume 4, 1989, pp 185-246 View citations (1165)
See also Working Paper (1989)
Software Items
|
The links between different versions of a paper are constructed automatically by matching on the titles.
Please contact if a link is incorrect.
Use this form
to add links between versions where the titles do not match.
|