Details about John Y. Campbell

E-mail:
Homepage:	https://scholar.harvard.edu/campbell/home
Phone:	617-496-6448
Postal address:	Department of Economics, Harvard University Littauer Center 213, Cambridge, MA 02138
Workplace:	Department of Economics, Harvard University, (more information at EDIRC) National Bureau of Economic Research (NBER), (more information at EDIRC)

Access statistics for papers by John Y. Campbell.

Last updated 2022-10-31. Update your information in the RePEc Author Service.

Short-id: pca54

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Working Papers

2022

1. Idiosyncratic Equity Risk Two Decades Later
   NBER Working Papers, National Bureau of Economic Research, Inc

2021

2. 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)
3. 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)
4. 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

5. 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)
6. 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

7. 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)
8. 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)
9. 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

10. 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)
11. 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

12. 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)
13. Rethinking Mortgage Design
    Liberty Street Economics, Federal Reserve Bank of New York
14. 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

15. 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)
16. 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)
17. Monetary Policy Drivers of Bond and Equity Risks
    2014 Meeting Papers, Society for Economic Dynamics View citations (66)
18. 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

19. 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

20. 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)
21. 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)
22. 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)
23. 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

24. Consumer Financial Protection
    Scholarly Articles, Harvard University Department of Economics View citations (107)
    See also Journal Article in Journal of Economic Perspectives (2011)
25. 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)
26. Investing and Spending: The Twin Challenges of University Endowment Management
    Scholarly Articles, Harvard University Department of Economics View citations (3)
27. Predicting Financial Distress and the Performance of Distressed Stocks
    Scholarly Articles, Harvard University Department of Economics View citations (40)

2010

28. 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)
29. 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

30. 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)
31. Down and Out: Assessing the Welfare Costs of Household investment Mistakes
    Post-Print, HAL View citations (5)
32. 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)
33. 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)
34. 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)
35. 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)
36. The Changing Role of Nominal Government Bonds in Asset Allocation
    Scholarly Articles, Harvard University Department of Economics View citations (1)
37. 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

38. 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)
39. 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)
40. 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

41. 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)
42. 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

43. 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)
44. 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

45. 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)
46. 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)
47. 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

48. 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)
49. 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)
50. 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)
51. 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)
52. 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

53. 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)
54. 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)
55. 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

56. Consumption-Based Asset Pricing
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (44)
    See also Chapter (2003)

2001

57. 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)
58. 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)
59. 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)
60. 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)
61. 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

62. 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)
63. 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)
64. 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)
65. 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

66. 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)
67. 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)
68. 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

69. Asset Prices, Consumption, and the Business Cycle
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (39)
    See also Chapter (1999)

1997

70. 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

71. A Scorecard for Indexed Government Data
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (22)
72. 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)
73. 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)
74. 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

75. 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)
76. 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

77. 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)
78. Models of the term structure of interest rates
    Working Papers, Federal Reserve Bank of Philadelphia View citations (5)

1993

79. International Experiences with Securities Transaction Taxes
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
    See also Chapter (1994)
80. 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)
81. 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)
82. 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)
83. 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)
84. 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

85. 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)
86. 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

87. 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)
88. 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)
89. 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

90. AN ASYMMETRIC MODEL OF CHANGING VOLATILITY IN STOCK RETURNS
    Working Papers, Princeton, Department of Economics - Financial Research Center View citations (3)
91. 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)
92. 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)
93. 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

94. 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)
95. 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)
96. 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

97. 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)
98. 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)
99. 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)
100. 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

101. 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)
102. 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)
103. Household Saving and Permanent Income in Canada and the United Kingdom
     NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
104. Is Consumption Too Smooth?
     NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
105. 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)
106. 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)
107. 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)
108. 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)
109. 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

110. 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)
111. 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)
112. 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)
113. 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

114. 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

115. 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

1. 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

2. Structuring Mortgages for Macroeconomic Stability
   Journal of Finance, 2021, 76, (5), 2525-2576 View citations (5)
   See also Working Paper (2020)

2020

3. Macroeconomic Drivers of Bond and Equity Risks
   Journal of Political Economy, 2020, 128, (8), 3148 - 3185 View citations (33)
   See also Working Paper (2018)
4. 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

5. 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

6. An intertemporal CAPM with stochastic volatility
   Journal of Financial Economics, 2018, 128, (2), 207-233 View citations (62)
   See also Working Paper (2018)
7. 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

8. 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

9. International Comparative Household Finance
   Annual Review of Economics, 2016, 8, (1), 111-144 View citations (71)
   See also Working Paper (2016)
10. 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

11. A Model of Mortgage Default
    Journal of Finance, 2015, 70, (4), 1495-1554 View citations (115)
    See also Working Paper (2014)
12. The Fragile Benefits of Endowment Destruction
    Journal of Political Economy, 2015, 123, (5), 1214 - 1226
13. The Impact of Regulation on Mortgage Risk: Evidence from India
    American Economic Journal: Economic Policy, 2015, 7, (4), 71-102 View citations (20)

2014

14. Empirical Asset Pricing: Eugene Fama, Lars Peter Hansen, and Robert Shiller
    Scandinavian Journal of Economics, 2014, 116, (3), 593-634 View citations (31)

2013

15. 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)
16. Hard Times
    The Review of Asset Pricing Studies, 2013, 3, (1), 95-132 View citations (7)
    See also Working Paper (2013)
17. Mortgage Market Design*
    Review of Finance, 2013, 17, (1), 1-33 View citations (60)
    See also Working Paper (2012)
18. Predicting asset prices
    Nature, 2013, 504, (7478), 97-97

2012

19. 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

20. Consumer Financial Protection
    Journal of Economic Perspectives, 2011, 25, (1), 91-114 View citations (105)
    See also Working Paper (2011)
21. Forced Sales and House Prices
    American Economic Review, 2011, 101, (5), 2108-31 View citations (351)
    See also Working Paper (2011)

2010

22. Global Currency Hedging
    Journal of Finance, 2010, 65, (1), 87-121 View citations (89)
    See also Working Paper (2009)
23. 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)
24. 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

25. 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)
26. 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)
27. Measuring the Financial Sophistication of Households
    American Economic Review, 2009, 99, (2), 393-98 View citations (173)
    See also Working Paper (2009)
28. 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)
29. 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

30. In Search of Distress Risk
    Journal of Finance, 2008, 63, (6), 2899-2939 View citations (544)
    See also Working Paper (2008)
31. 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)
32. 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

33. 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)
34. 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)
35. Intergenerational risksharing and equilibrium asset prices
    Journal of Monetary Economics, 2007, 54, (8), 2251-2268 View citations (15)
    See also Working Paper (2007)

2006

36. Efficient tests of stock return predictability
    Journal of Financial Economics, 2006, 81, (1), 27-60 View citations (413)
    See also Working Paper (2006)
37. Household Finance
    Journal of Finance, 2006, 61, (4), 1553-1604 View citations (462)
    See also Working Paper (2006)

2004

38. Bad Beta, Good Beta
    American Economic Review, 2004, 94, (5), 1249-1275 View citations (369)
    See also Working Paper (2004)
39. Inflation Illusion and Stock Prices
    American Economic Review, 2004, 94, (2), 19-23 View citations (166)
    See also Working Paper (2004)
40. 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

41. 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)
42. Equity Volatility and Corporate Bond Yields
    Journal of Finance, 2003, 58, (6), 2321-2350 View citations (490)
    See also Working Paper (2003)
43. Foreign Currency for Long-Term Investors
    Economic Journal, 2003, 113, (486), C1-C25 View citations (25)
    See also Working Paper (2003)
44. 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)
45. Two Puzzles of Asset Pricing and Their Implications for Investors
    The American Economist, 2003, 47, (1), 48-74 View citations (2)

2001

46. 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)
47. 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)
48. 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)
49. 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)
50. Who Should Buy Long-Term Bonds?
    American Economic Review, 2001, 91, (1), 99-127 View citations (249)
    See also Working Paper (2000)
51. 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

52. Asset Pricing at the Millennium
    Journal of Finance, 2000, 55, (4), 1515-1567 View citations (271)
    See also Working Paper (2000)
53. 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)
54. 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

55. 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)
56. 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

57. Book reviews
    Journal of Development Studies, 1998, 34, (3), 135-159
58. THE ECONOMETRICS OF FINANCIAL MARKETS
    Macroeconomic Dynamics, 1998, 2, (4), 559-562 View citations (41)

1997

59. 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

60. Understanding Risk and Return
    Journal of Political Economy, 1996, 104, (2), 298-345 View citations (748)
    See also Working Paper (1996)

1995

61. Remarks: some thoughts on systemic risk
    Proceedings, 1995, 557-561
62. Some Lessons from the Yield Curve
    Journal of Economic Perspectives, 1995, 9, (3), 129-152 View citations (194)
    See also Working Paper (1995)

1994

63. 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)
64. The New Palgrave Dictionary of Money and Finance
    Journal of Economic Literature, 1994, 32, (2), 667-73 View citations (5)

1993

65. A Note on Johansen's Cointegration Procedure When Trends Are Present
    Empirical Economics, 1993, 18, (4), 777-89 View citations (37)
66. Intertemporal Asset Pricing without Consumption Data
    American Economic Review, 1993, 83, (3), 487-512 View citations (441)
    See also Working Paper (1993)
67. 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)
68. 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)
69. 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)
70. Where Do Betas Come From? Asset Price Dynamics and the
    Review of Financial Studies, 1993, 6, (3), 567-92 View citations (66)

1992

71. 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)
72. 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)
73. Racines unitaires en macroéconomie: le cas multidimensionnel
    Annals of Economics and Statistics, 1992, (27), 1-50 View citations (7)

1991

74. A Variance Decomposition for Stock Returns
    Economic Journal, 1991, 101, (405), 157-79 View citations (763)
    See also Working Paper (1991)
75. 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
76. The response of consumption to income: A cross-country investigation
    European Economic Review, 1991, 35, (4), 723-756 View citations (291)
77. 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

78. Editors' introduction
    Journal of Econometrics, 1990, 45, (1-2), 1-5
79. Measuring the Persistence of Expected Returns
    American Economic Review, 1990, 80, (2), 43-47 View citations (26)
    See also Working Paper (1990)
80. Permanent Income, Current Income, and Consumption
    Journal of Business & Economic Statistics, 1990, 8, (3), 265-79 View citations (408)
    See also Working Paper (1990)
81. 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

82. Finance theory and the term structure a comment
    Carnegie-Rochester Conference Series on Public Policy, 1989, 31, (1), 177-184
83. 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)
84. 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)
85. Why is Consumption So Smooth?
    Review of Economic Studies, 1989, 56, (3), 357-373 View citations (350)
    See also Working Paper (1989)

1988

86. Interpreting cointegrated models
    Journal of Economic Dynamics and Control, 1988, 12, (2-3), 505-522 View citations (80)
    See also Working Paper (1988)
87. Is There a Corporate Debt Crisis?
    Brookings Papers on Economic Activity, 1988, 19, (1), 83-140 View citations (80)
88. 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

89. Are Output Fluctuations Transitory?
    The Quarterly Journal of Economics, 1987, 102, (4), 857-880 View citations (385)
    See also Working Paper (1987)
90. Cointegration and Tests of Present Value Models
    Journal of Political Economy, 1987, 95, (5), 1062-88 View citations (1176)
    See also Working Paper (1987)
91. 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)
92. Macroeconomic lessons from Britain: A review essay
    Journal of Monetary Economics, 1987, 19, (2), 315-324
93. 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)
94. Permanent and Transitory Components in Macroeconomic Fluctuations
    American Economic Review, 1987, 77, (2), 111-17 View citations (98)
    See also Working Paper (1987)
95. Stock returns and the term structure
    Journal of Financial Economics, 1987, 18, (2), 373-399 View citations (936)
    See also Working Paper (1987)
96. 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)
97. 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

98. 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)
99. 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

100. 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

101. 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

1. 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

2. Asset Prices and Monetary Policy
   NBER Books, National Bureau of Economic Research, Inc View citations (48)

2002

3. Strategic Asset Allocation: Portfolio Choice for Long-Term Investors
   OUP Catalogue, Oxford University Press View citations (681)

2001

4. Risk Aspects of Investment-Based Social Security Reform
   NBER Books, National Bureau of Economic Research, Inc View citations (79)

1990

5. Econometric Methods and Financial Time Series
   NBER Books, National Bureau of Economic Research, Inc

Edited books

2008

1. Asset Prices and Monetary Policy
   National Bureau of Economic Research Books, University of Chicago Press View citations (350)

2000

2. Risk Aspects of Investment-Based Social Security Reform
   National Bureau of Economic Research Books, University of Chicago Press View citations (16)

Chapters

2013

1. 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)
2. Comment on "Shocks and Crashes"
   A chapter in NBER Macroeconomics Annual 2013, Volume 28, 2013, pp 355-366

2010

3. Introduction
   A chapter in The Squam Lake Report: Fixing the Financial System, 2010

2008

4. Introduction to "Asset Prices and Monetary Policy"
   A chapter in Asset Prices and Monetary Policy, 2008, pp 1-7 View citations (5)

2003

5. 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

6. 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)
7. 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

8. 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

9. 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

10. Accounting for Stock Price Movements
    Palgrave Macmillan

1994

11. 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

12. 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

13. 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

14. 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