Details about John Y. Campbell

E-mail:
Homepage:	http://post.economics.harvard.edu/faculty/campbell/campbell.html
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 2019-06-22. Update your information in the RePEc Author Service.

Short-id: pca54

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Working Papers

2018

1. Do the Rich Get Richer in the Stock Market? Evidence from India
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2018)
2. 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 (14)

2016

3. International Comparative Household Finance
   Scholarly Articles, Harvard University Department of Economics View citations (12)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2016) View citations (12)
   See also Journal Article in Annual Review of Economics (2016)
4. Restoring Rational Choice: The Challenge of Consumer Financial Regulation
   Scholarly Articles, Harvard University Department of Economics View citations (22)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2016) View citations (22)
   Working Paper Series, European Central Bank (2016) View citations (22)
   See also Journal Article in American Economic Review (2016)

2015

5. An Intertemporal CAPM with Stochastic Volatility
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (8)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (39)
   See also Journal Article in Journal of Financial Economics (2018)
6. Inattention and Inertia in Household Finance: Evidence from the Danish Mortgage Market
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (21)
   Scholarly Articles, Harvard University Department of Economics (2014) View citations (7)

2014

7. A model of mortgage default
   CFS Working Paper Series, Center for Financial Studies (CFS) View citations (5)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (18)
   See also Journal Article in Journal of Finance (2015)
8. Getting Better or Feeling Better? How Equity Investors Respond to Investment Experience
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (11)
9. Monetary Policy Drivers of Bond and Equity Risks
   2014 Meeting Papers, Society for Economic Dynamics View citations (32)
10. 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 (7)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (7)

2013

11. 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 Review of Asset Pricing Studies (2013)

2012

12. Down or Out: Assessing The Welfare Costs of Household Investment Mistakes
    Working Papers, HAL
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (19)
    Scholarly Articles, Harvard University Department of Economics (2007) View citations (240)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2006) View citations (20)
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2006) View citations (18)
    Working Papers, HAL (2012)
    Post-Print, HAL (2007) View citations (148)
    HEC Research Papers Series, HEC Paris (2006) View citations (38)
    See also Journal Article in Journal of Political Economy (2007)
13. How Do Regulators Influence Mortgage Risk: Evidence from an Emerging Market
    Scholarly Articles, Harvard University Department of Economics
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012)
14. Mortgage Market Design
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (19)
    Also in Scholarly Articles, Harvard University Department of Economics (2012) View citations (20)
    See also Journal Article in Review of Finance (2013)
15. The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment
    Scholarly Articles, Harvard University Department of Economics View citations (97)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (23)
    See also Journal Article in Critical Finance Review (2012)

2011

16. Consumer Financial Protection
    Scholarly Articles, Harvard University Department of Economics View citations (48)
    See also Journal Article in Journal of Economic Perspectives (2011)
17. Forced Sales and House Prices
    Scholarly Articles, Harvard University Department of Economics View citations (199)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (25)
    See also Journal Article in American Economic Review (2011)
18. Investing and Spending: The Twin Challenges of University Endowment Management
    Scholarly Articles, Harvard University Department of Economics View citations (3)
19. Predicting Financial Distress and the Performance of Distressed Stocks
    Scholarly Articles, Harvard University Department of Economics View citations (15)

2010

20. Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns
    Scholarly Articles, Harvard University Department of Economics View citations (63)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2005) View citations (4)
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (12)
    See also Journal Article in Review of Financial Studies (2010)
21. 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 (4)

2009

22. Caught on Tape: Institutional Trading, Stock Returns, and Earnings Announcements
    Scholarly Articles, Harvard University Department of Economics View citations (52)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (6)
    See also Journal Article in Journal of Financial Economics (2009)
23. Down and Out: Assessing the Welfare Costs of Household investment Mistakes
    Post-Print, HAL
24. Fight Or Flight? Portfolio Rebalancing by Individual Investors
    Post-Print, HAL View citations (89)
    Also in Post-Print, HAL (2009) View citations (132)
    Scholarly Articles, Harvard University Department of Economics (2009) View citations (127)
    NBER Working Papers, National Bureau of Economic Research, Inc (2008) View citations (30)
    See also Journal Article in The Quarterly Journal of Economics (2009)
25. 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 (13)
    See also Journal Article in Journal of Finance (2010)
26. Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (35)
    Also in 2008 Meeting Papers, Society for Economic Dynamics (2008)
    See also Journal Article in Critical Finance Review (2017)
27. Measuring the Financial Sophistication of Households
    Scholarly Articles, Harvard University Department of Economics View citations (83)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (85)
    Post-Print, HAL (2009) View citations (61)
    See also Journal Article in American Economic Review (2009)
28. The Changing Role of Nominal Government Bonds in Asset Allocation
    Scholarly Articles, Harvard University Department of Economics View citations (1)
29. Understanding Inflation-Indexed Bond Markets
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (30)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (30)
    Scholarly Articles, Harvard University Department of Economics (2009) View citations (29)
    Yale School of Management Working Papers, Yale School of Management (2009) View citations (25)
    See also Journal Article in Brookings Papers on Economic Activity (2009)

2008

30. Estimating the Equity Premium
    Scholarly Articles, Harvard University Department of Economics View citations (18)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations (2)
31. In Search of Distress Risk
    Scholarly Articles, Harvard University Department of Economics View citations (324)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (29)
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2005) View citations (33)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2005)
    See also Journal Article in Journal of Finance (2008)
32. Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
    Scholarly Articles, Harvard University Department of Economics View citations (355)
    See also Journal Article in Review of Financial Studies (2008)

2007

33. How Do House Prices Affect Consumption? Evidence from Micro Data
    Scholarly Articles, Harvard University Department of Economics View citations (311)
    Also in 2004 Meeting Papers, Society for Economic Dynamics (2004) View citations (10)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2004) View citations (4)
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (39)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2005) View citations (20)
    2004 Meeting Papers, Society for Economic Dynamics (2004) View citations (5)
    See also Journal Article in Journal of Monetary Economics (2007)
34. Intergenerational Risksharing and Equilibrium Asset Prices
    Scholarly Articles, Harvard University Department of Economics View citations (6)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) View citations (2)
    FMG Discussion Papers, Financial Markets Group (2007) View citations (5)
    NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (3)
    See also Journal Article in Journal of Monetary Economics (2007)

2006

35. Efficient tests of stock return predictability
    Scholarly Articles, Harvard University Department of Economics View citations (258)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (24)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2002) View citations (12)
    See also Journal Article in Journal of Financial Economics (2006)
36. Household Finance
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (455)
    Also in Scholarly Articles, Harvard University Department of Economics (2006) View citations (471)
    See also Journal Article in Journal of Finance (2006)

2005

37. Caught On Tape: Institutional Order Flow and Stock Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2005) View citations (6)
38. 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 (30)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (32)
39. The Term Structure of the Risk-Return Tradeoff
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (35)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (43)

2004

40. Bad Beta, Good Beta
    Scholarly Articles, Harvard University Department of Economics View citations (172)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2003) View citations (4)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2002) View citations (2)
    NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (23)
    See also Journal Article in American Economic Review (2004)
41. Caught On Tape: Predicting Institutional Ownership With Order Flow
    Finance, University Library of Munich, Germany View citations (3)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2004) View citations (2)
42. Household Risk Management and Optimal Mortgage Choice
    Econometric Society 2004 North American Winter Meetings, Econometric Society
    Also in 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)
    Econometric Society 2004 North American Winter Meetings, Econometric Society (2004)
    NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (232)
    Scholarly Articles, Harvard University Department of Economics (2003) View citations (236)
    See also Journal Article in The Quarterly Journal of Economics (2003)
43. Inflation Illusion and Stock Prices
    Scholarly Articles, Harvard University Department of Economics View citations (107)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations (107)
    See also Journal Article in American Economic Review (2004)
44. Strategic Asset Allocation in a Continuous-Time VAR Model
    Scholarly Articles, Harvard University Department of Economics View citations (22)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (2)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) View citations (3)
    See also Journal Article in Journal of Economic Dynamics and Control (2004)

2003

45. A Multivariate Model of Strategic Asset Allocation
    Scholarly Articles, Harvard University Department of Economics View citations (161)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (25)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) View citations (14)
    See also Journal Article in Journal of Financial Economics (2003)
46. Equity Volatility and Corporate Bond Yields
    Scholarly Articles, Harvard University Department of Economics View citations (347)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2002) View citations (15)
    NBER Working Papers, National Bureau of Economic Research, Inc (2002) View citations (14)
    See also Journal Article in Journal of Finance (2003)
47. Foreign Currency for Long-Term Investors
    Scholarly Articles, Harvard University Department of Economics View citations (16)
    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

48. Consumption-Based Asset Pricing
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (43)
    See also Chapter (2003)

2001

49. Elasticities of Substitution in Real Business Cycle Models with Home Production
    Scholarly Articles, Harvard University Department of Economics View citations (37)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2000) View citations (7)
    Research Paper, Federal Reserve Bank of New York (1997) View citations (2)
    NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations (1)
    See also Journal Article in Journal of Money, Credit and Banking (2001)
50. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
    Scholarly Articles, Harvard University Department of Economics View citations (595)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) View citations (139)
    See also Journal Article in Journal of Finance (2001)
51. Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor
    Scholarly Articles, Harvard University Department of Economics View citations (12)
    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)
52. Valuation Ratios and the Long-Run Stock Market Outlook: An Update
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (112)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2001) View citations (105)
53. Why Long Horizons? A Study of Power Against Persistent Alternatives
    Scholarly Articles, Harvard University Department of Economics View citations (42)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (1993) View citations (6)
    See also Journal Article in Journal of Empirical Finance (2001)

2000

54. Asset Pricing at the Millennium
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (211)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2000) View citations (204)
    Scholarly Articles, Harvard University Department of Economics (2000) View citations (209)
    See also Journal Article in Journal of Finance (2000)
55. Explaining the Poor Performance of Consumption-Based Asset Pricing Models
    Scholarly Articles, Harvard University Department of Economics View citations (84)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1999) View citations (9)
    See also Journal Article in Journal of Finance (2000)
56. 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 (40)
    See also Chapter (2001)
57. Who Should Buy Long-Term Bonds?
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations (41)
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering (1998) View citations (10)
    See also Journal Article in American Economic Review (2001)

1999

58. By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
    Scholarly Articles, Harvard University Department of Economics View citations (1316)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (1994) View citations (15)
    NBER Working Papers, National Bureau of Economic Research, Inc (1995) View citations (87)
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago (1994) View citations (207)
    See also Journal Article in Journal of Political Economy (1999)
59. Consumption and Portfolio Decisions When Expected Returns are Time Varying
    Scholarly Articles, Harvard University Department of Economics View citations (300)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1996) View citations (8)
    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)
60. Dispersion and Volatility in Stock Returns: An Empirical Investigation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1998) View citations (5)

1998

61. Asset Prices, Consumption, and the Business Cycle
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (25)
    See also Chapter (1999)

1997

62. 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 (50)
    Also in CERF Discussion Paper Series, Economics and Finance Section, School of Social Sciences, Brunel University
    NBER Working Papers, National Bureau of Economic Research, Inc (1996) View citations (34)

1996

63. A Scorecard for Indexed Government Data
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (22)
64. A Scorecard for Indexed Government Debt
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (67)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1996) View citations (67)
    See also Chapter (1996)
65. Consumption and the Stock Market: Interpreting International Experience
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (29)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (1996) View citations (25)
66. Understanding Risk and Return
    Scholarly Articles, Harvard University Department of Economics View citations (608)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (1995) View citations (5)
    NBER Working Papers, National Bureau of Economic Research, Inc (1993) View citations (8)
    See also Journal Article in Journal of Political Economy (1996)

1995

67. 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)
68. Some Lessons from the Yield Curve
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (171)
    Also in Scholarly Articles, Harvard University Department of Economics (1995) View citations (171)
    NBER Working Papers, National Bureau of Economic Research, Inc (1995) View citations (172)
    See also Journal Article in Journal of Economic Perspectives (1995)

1994

69. Inspecting the Mechanism: An Analytical Approach to the Stochastic Growth Model
    Scholarly Articles, Harvard University Department of Economics View citations (190)
    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)
70. Models of the term structure of interest rates
    Working Papers, Federal Reserve Bank of Philadelphia View citations (5)

1993

71. International Experiences with Securities Transaction Taxes
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
    See also Chapter (1994)
72. Intertemporal Asset Pricing Without Consumption Data
    Scholarly Articles, Harvard University Department of Economics View citations (332)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1992) View citations (2)
    See also Journal Article in American Economic Review (1993)
73. Smart Money, Noise Trading and Stock Price Behaviour
    Scholarly Articles, Harvard University Department of Economics View citations (116)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (1988) View citations (15)
    Working Papers, Princeton, Department of Economics - Financial Research Center (1988) View citations (37)
    See also Journal Article in Review of Economic Studies (1993)
74. Trading Volume and Serial Correlation in Stock Returns
    Scholarly Articles, Harvard University Department of Economics View citations (412)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1992) View citations (7)
    See also Journal Article in The Quarterly Journal of Economics (1993)
75. What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns
    Scholarly Articles, Harvard University Department of Economics View citations (336)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1991) View citations (3)
    Working Papers, Princeton, Department of Economics - Financial Research Center (1991) View citations (4)
    See also Journal Article in Journal of Finance (1993)
76. Where Do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk
    Scholarly Articles, Harvard University Department of Economics View citations (44)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1993) View citations (50)

1992

77. No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns
    Scholarly Articles, Harvard University Department of Economics View citations (573)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1991) View citations (31)
    See also Journal Article in Journal of Financial Economics (1992)
78. 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 (182)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1989) View citations (7)
    See also Journal Article in Journal of Finance (1992)

1991

79. A Variance Decomposition for Stock Returns
    Scholarly Articles, Harvard University Department of Economics View citations (549)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1990) View citations (320)
    See also Journal Article in Economic Journal (1991)
80. Pitfalls and Opportunities: What Macroeconomics should know about unit roots
    Working Papers, Princeton, Department of Economics - Econometric Research Program View citations (255)
    Also in Scholarly Articles, Harvard University Department of Economics (1991) View citations (723)
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (1991) View citations (752)
    See also Chapter (1991)
81. Yield Spreads and Interest Rate Movements: A Bird's Eye View
    Scholarly Articles, Harvard University Department of Economics View citations (504)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1989) View citations (294)
    See also Journal Article in Review of Economic Studies (1991)

1990

82. AN ASYMMETRIC MODEL OF CHANGING VOLATILITY IN STOCK RETURNS
    Working Papers, Princeton, Department of Economics - Financial Research Center View citations (3)
83. Measuring the Persistence of Expected Returns
    Scholarly Articles, Harvard University Department of Economics View citations (18)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1990) View citations (2)
    See also Journal Article in American Economic Review (1990)
84. Permanent Income, Current Income, and Consumption
    Scholarly Articles, Harvard University Department of Economics View citations (282)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1987) View citations (27)
    See also Journal Article in Journal of Business & Economic Statistics (1990)
85. U.S. corporate leverage: developments in 1987 and 1988
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (US) View citations (7)
    See also Journal Article in Brookings Papers on Economic Activity (1990)

1989

86. Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (418)
    See also Chapter (1989)
87. International Evidence on the Persistence of Economic Fluctuations
    Scholarly Articles, Harvard University Department of Economics View citations (87)
    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)
88. Why Is Consumption So Smooth?
    Scholarly Articles, Harvard University Department of Economics View citations (233)
    See also Journal Article in Review of Economic Studies (1989)

1988

89. Interpreting Cointegrated Models
    Scholarly Articles, Harvard University Department of Economics View citations (69)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1988) View citations (28)
    See also Journal Article in Journal of Economic Dynamics and Control (1988)
90. 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)
91. STOCK PRICES, EARNINGS AND EXPECTED DIVIDENDS
    Working Papers, Princeton, Department of Economics - Econometric Research Program View citations (610)
    Also in Scholarly Articles, Harvard University Department of Economics (1988) View citations (608)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1988) View citations (644)
    NBER Working Papers, National Bureau of Economic Research, Inc (1988) View citations (284)
92. The Dividend Ratio Model and Small Sample Bias: A Monte Carlo Study
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (2)
    See also Journal Article in Economics Letters (1989)

1987

93. Are Output Fluctuations Transitory?
    Scholarly Articles, Harvard University Department of Economics View citations (303)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1986) View citations (5)
    See also Journal Article in The Quarterly Journal of Economics (1987)
94. Cointegration and Tests of Present Value Models
    Scholarly Articles, Harvard University Department of Economics View citations (990)
    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 (9)
    See also Journal Article in Journal of Political Economy (1987)
95. Household Saving and Permanent Income in Canada and the United Kingdom
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
96. Is Consumption Too Smooth?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
97. 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 (36)
    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)
98. Permanent and Transitory Components in Macroeconomic Fluctuations
    Scholarly Articles, Harvard University Department of Economics View citations (81)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1987) View citations (82)
    See also Journal Article in American Economic Review (1987)
99. Stock Returns and the Term Structure
    Scholarly Articles, Harvard University Department of Economics View citations (727)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1985) View citations (6)
    See also Journal Article in Journal of Financial Economics (1987)
100. The Dollar and Real Interest Rates
     Scholarly Articles, Harvard University Department of Economics View citations (52)
     Also in NBER Working Papers, National Bureau of Economic Research, Inc (1987) View citations (16)
     See also Journal Article in Carnegie-Rochester Conference Series on Public Policy (1987)
101. The Term Structure of Euromarket Interest Rates: An Empirical Investigation
     Scholarly Articles, Harvard University Department of Economics View citations (33)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1986) View citations (2)
     NBER Working Papers, National Bureau of Economic Research, Inc (1986) View citations (23)
     See also Journal Article in Journal of Monetary Economics (1987)

1986

102. A Defense of Traditional Hypotheses about the Term Structure of Interest Rates
     Scholarly Articles, Harvard University Department of Economics View citations (38)
     Also in NBER Working Papers, National Bureau of Economic Research, Inc (1984) View citations (26)
     See also Journal Article in Journal of Finance (1986)
103. Bond and Stock Returns in a Simple Exchange Model
     Scholarly Articles, Harvard University Department of Economics View citations (86)
     Also in NBER Working Papers, National Bureau of Economic Research, Inc (1984) View citations (2)
     See also Journal Article in The Quarterly Journal of Economics (1986)
104. 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 (5)
     See also Journal Article in Econometrica (1987)
105. 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

106. A Simple Account of the Behavior of Long-Term Interest Rates
     Scholarly Articles, Harvard University Department of Economics View citations (38)
     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

107. 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 (246)
     See also Journal Article in Brookings Papers on Economic Activity (1983)

Journal Articles

2018

1. An intertemporal CAPM with stochastic volatility
   Journal of Financial Economics, 2018, 128, (2), 207-233 View citations (6)
   See also Working Paper (2015)

2017

2. Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
   Critical Finance Review, 2017, 6, (2), 263-301 View citations (21)
   See also Working Paper (2009)

2016

3. International Comparative Household Finance
   Annual Review of Economics, 2016, 8, (1), 111-144 View citations (12)
   See also Working Paper (2016)
4. Restoring Rational Choice: The Challenge of Consumer Financial Regulation
   American Economic Review, 2016, 106, (5), 1-30 View citations (22)
   See also Working Paper (2016)

2015

5. A Model of Mortgage Default
   Journal of Finance, 2015, 70, (4), 1495-1554 View citations (41)
   See also Working Paper (2014)
6. The Fragile Benefits of Endowment Destruction
   Journal of Political Economy, 2015, 123, (5), 1214 - 1226
7. The Impact of Regulation on Mortgage Risk: Evidence from India
   American Economic Journal: Economic Policy, 2015, 7, (4), 71-102 View citations (4)

2014

8. Empirical Asset Pricing: Eugene Fama, Lars Peter Hansen, and Robert Shiller
   Scandinavian Journal of Economics, 2014, 116, (3), 593-634 View citations (13)

2013

9. 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 (4)
10. Hard Times
    Review of Asset Pricing Studies, 2013, 3, (1), 95-132 View citations (7)
    See also Working Paper (2013)
11. Mortgage Market Design*
    Review of Finance, 2013, 17, (1), 1-33 View citations (22)
    See also Working Paper (2012)

2012

12. The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment
    Critical Finance Review, 2012, 1, (1), 141-182 View citations (100)
    See also Working Paper (2012)

2011

13. Consumer Financial Protection
    Journal of Economic Perspectives, 2011, 25, (1), 91-114 View citations (47)
    See also Working Paper (2011)
14. Forced Sales and House Prices
    American Economic Review, 2011, 101, (5), 2108-31 View citations (217)
    See also Working Paper (2011)

2010

15. Global Currency Hedging
    Journal of Finance, 2010, 65, (1), 87-121 View citations (52)
    See also Working Paper (2009)
16. Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns
    Review of Financial Studies, 2010, 23, (1), 305-344 View citations (63)
    Also in Proceedings, 2005 (2005) View citations (3)
    See also Working Paper (2010)
17. The Squam Lake Report: Fixing the Financial System
    Journal of Applied Corporate Finance, 2010, 22, (3), 8-21 View citations (88)
    See also Book (2010)

2009

18. Caught on tape: Institutional trading, stock returns, and earnings announcements
    Journal of Financial Economics, 2009, 92, (1), 66-91 View citations (56)
    See also Working Paper (2009)
19. Fight or Flight? Portfolio Rebalancing by Individual Investors
    The Quarterly Journal of Economics, 2009, 124, (1), 301-348 View citations (127)
    See also Working Paper (2009)
20. Measuring the Financial Sophistication of Households
    American Economic Review, 2009, 99, (2), 393-98 View citations (88)
    See also Working Paper (2009)
21. 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)
22. Understanding Inflation-Indexed Bond Markets
    Brookings Papers on Economic Activity, 2009, 40, (1 (Spring)), 79-138 View citations (28)
    See also Working Paper (2009)

2008

23. In Search of Distress Risk
    Journal of Finance, 2008, 63, (6), 2899-2939 View citations (331)
    See also Working Paper (2008)
24. Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
    Review of Financial Studies, 2008, 21, (4), 1509-1531 View citations (360)
    See also Working Paper (2008)
25. Viewpoint: Estimating the equity premium
    Canadian Journal of Economics, 2008, 41, (1), 1-21 View citations (56)

2007

26. Down or Out: Assessing the Welfare Costs of Household Investment Mistakes
    Journal of Political Economy, 2007, 115, (5), 707-747 View citations (240)
    See also Working Paper (2012)
27. How do house prices affect consumption? Evidence from micro data
    Journal of Monetary Economics, 2007, 54, (3), 591-621 View citations (274)
    See also Working Paper (2007)
28. Intergenerational risksharing and equilibrium asset prices
    Journal of Monetary Economics, 2007, 54, (8), 2251-2268 View citations (9)
    See also Working Paper (2007)

2006

29. Efficient tests of stock return predictability
    Journal of Financial Economics, 2006, 81, (1), 27-60 View citations (316)
    See also Working Paper (2006)
30. Household Finance
    Journal of Finance, 2006, 61, (4), 1553-1604 View citations (455)
    See also Working Paper (2006)

2004

31. AN INTERVIEW WITH ROBERT J. SHILLER
    Macroeconomic Dynamics, 2004, 8, (05), 649-683
32. Bad Beta, Good Beta
    American Economic Review, 2004, 94, (5), 1249-1275 View citations (177)
    See also Working Paper (2004)
33. Inflation Illusion and Stock Prices
    American Economic Review, 2004, 94, (2), 19-23 View citations (106)
    See also Working Paper (2004)
34. Strategic asset allocation in a continuous-time VAR model
    Journal of Economic Dynamics and Control, 2004, 28, (11), 2195-2214 View citations (24)
    See also Working Paper (2004)

2003

35. A multivariate model of strategic asset allocation
    Journal of Financial Economics, 2003, 67, (1), 41-80 View citations (169)
    See also Working Paper (2003)
36. Equity Volatility and Corporate Bond Yields
    Journal of Finance, 2003, 58, (6), 2321-2350 View citations (343)
    See also Working Paper (2003)
37. Foreign Currency for Long-Term Investors
    Economic Journal, 2003, 113, (486), C1-C25 View citations (16)
    See also Working Paper (2003)
38. Household Risk Management and Optimal Mortgage Choice
    The Quarterly Journal of Economics, 2003, 118, (4), 1449-1494 View citations (234)
    See also Working Paper (2004)
39. Two Puzzles of Asset Pricing and Their Implications for Investors
    The American Economist, 2003, 47, (1), 48-74

2001

40. 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 (3)
41. Elasticities of Substitution in Real Business Cycle Models with Home Protection
    Journal of Money, Credit and Banking, 2001, 33, (4), 847-75 View citations (23)
    See also Working Paper (2001)
42. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
    Journal of Finance, 2001, 56, (1), 1-43 View citations (636)
    See also Working Paper (2001)
43. Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor
    Review of Finance, 2001, 5, (3), 269-292 View citations (8)
    See also Working Paper (2001)
44. Who Should Buy Long-Term Bonds?
    American Economic Review, 2001, 91, (1), 99-127 View citations (107)
    See also Working Paper (2000)
45. Why long horizons? A study of power against persistent alternatives
    Journal of Empirical Finance, 2001, 8, (5), 459-491 View citations (46)
    See also Working Paper (2001)

2000

46. Asset Pricing at the Millennium
    Journal of Finance, 2000, 55, (4), 1515-1567 View citations (211)
    See also Working Paper (2000)
47. Comment on Low Inflation: The Behavior of Financial Markets and Institutions
    Journal of Money, Credit and Banking, 2000, 32, (4), 1088-92
48. Explaining the Poor Performance of Consumption-based Asset Pricing Models
    Journal of Finance, 2000, 55, (6), 2863-2878 View citations (69)
    See also Working Paper (2000)

1999

49. Consumption and Portfolio Decisions when Expected Returns are Time Varying
    The Quarterly Journal of Economics, 1999, 114, (2), 433-495 View citations (306)
    See also Working Paper (1999)
50. Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
    Journal of Political Economy, 1999, 107, (2), 205-251 View citations (521)
    See also Working Paper (1999)

1998

51. Book reviews
    Journal of Development Studies, 1998, 34, (3), 135-159
52. THE ECONOMETRICS OF FINANCIAL MARKETS
    Macroeconomic Dynamics, 1998, 2, (04), 559-562 View citations (17)

1997

53. 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 (18)

1996

54. Understanding Risk and Return
    Journal of Political Economy, 1996, 104, (2), 298-345 View citations (600)
    See also Working Paper (1996)

1995

55. Remarks: some thoughts on systemic risk
    Proceedings, 1995, 557-561
56. Some Lessons from the Yield Curve
    Journal of Economic Perspectives, 1995, 9, (3), 129-152 View citations (172)
    See also Working Paper (1995)

1994

57. Inspecting the mechanism: An analytical approach to the stochastic growth model
    Journal of Monetary Economics, 1994, 33, (3), 463-506 View citations (181)
    See also Working Paper (1994)
58. The New Palgrave Dictionary of Money and Finance
    Journal of Economic Literature, 1994, 32, (2), 667-73 View citations (3)

1993

59. A Note on Johansen's Cointegration Procedure When Trends Are Present
    Empirical Economics, 1993, 18, (4), 777-89 View citations (24)
60. Intertemporal Asset Pricing without Consumption Data
    American Economic Review, 1993, 83, (3), 487-512 View citations (335)
    See also Working Paper (1993)
61. Smart Money, Noise Trading and Stock Price Behaviour
    Review of Economic Studies, 1993, 60, (1), 1-34 View citations (128)
    See also Working Paper (1993)
62. Trading Volume and Serial Correlation in Stock Returns
    The Quarterly Journal of Economics, 1993, 108, (4), 905-939 View citations (413)
    See also Working Paper (1993)
63. 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 (216)
    See also Working Paper (1993)
64. Where Do Betas Come From? Asset Price Dynamics and the
    Review of Financial Studies, 1993, 6, (3), 567-92 View citations (29)

1992

65. 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 (497)
    See also Working Paper (1992)
66. 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 (133)
    See also Working Paper (1992)
67. Racines unitaires en macroéconomie: le cas multidimensionnel
    Annals of Economics and Statistics, 1992, (27), 1-50 View citations (3)

1991

68. A Variance Decomposition for Stock Returns
    Economic Journal, 1991, 101, (405), 157-79 View citations (552)
    See also Working Paper (1991)
69. 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
70. The response of consumption to income: A cross-country investigation
    European Economic Review, 1991, 35, (4), 723-756 View citations (217)
71. Yield Spreads and Interest Rate Movements: A Bird's Eye View
    Review of Economic Studies, 1991, 58, (3), 495-514 View citations (573)
    See also Working Paper (1991)

1990

72. Editors' introduction
    Journal of Econometrics, 1990, 45, (1-2), 1-5
73. Measuring the Persistence of Expected Returns
    American Economic Review, 1990, 80, (2), 43-47 View citations (19)
    See also Working Paper (1990)
74. Permanent Income, Current Income, and Consumption
    Journal of Business & Economic Statistics, 1990, 8, (3), 265-79 View citations (309)
    See also Working Paper (1990)
75. U.S. Corporate Leverage: Developments in 1987 and 1988
    Brookings Papers on Economic Activity, 1990, 21, (1), 255-286 View citations (4)
    See also Working Paper (1990)

1989

76. Finance theory and the term structure a comment
    Carnegie-Rochester Conference Series on Public Policy, 1989, 31, (1), 177-184
77. International evidence on the persistence of economic fluctuations
    Journal of Monetary Economics, 1989, 23, (2), 319-333 View citations (89)
    See also Working Paper (1989)
78. The dividend ratio model and small sample bias: A Monte Carlo study
    Economics Letters, 1989, 29, (4), 325-331 View citations (9)
    See also Working Paper (1988)
79. Why is Consumption So Smooth?
    Review of Economic Studies, 1989, 56, (3), 357-373 View citations (247)
    See also Working Paper (1989)

1988

80. Interpreting cointegrated models
    Journal of Economic Dynamics and Control, 1988, 12, (2-3), 505-522 View citations (69)
    See also Working Paper (1988)
81. Is There a Corporate Debt Crisis?
    Brookings Papers on Economic Activity, 1988, 19, (1), 83-140 View citations (55)
82. The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
    Review of Financial Studies, 1988, 1, (3), 195-228 View citations (935)
    See also Working Paper (1986)

1987

83. Are Output Fluctuations Transitory?
    The Quarterly Journal of Economics, 1987, 102, (4), 857-880 View citations (328)
    See also Working Paper (1987)
84. Cointegration and Tests of Present Value Models
    Journal of Political Economy, 1987, 95, (5), 1062-88 View citations (996)
    See also Working Paper (1987)
85. Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis
    Econometrica, 1987, 55, (6), 1249-73 View citations (274)
    See also Working Paper (1986)
86. Macroeconomic lessons from Britain: A review essay
    Journal of Monetary Economics, 1987, 19, (2), 315-324
87. 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 (45)
    See also Working Paper (1987)
88. Permanent and Transitory Components in Macroeconomic Fluctuations
    American Economic Review, 1987, 77, (2), 111-17 View citations (86)
    See also Working Paper (1987)
89. Stock returns and the term structure
    Journal of Financial Economics, 1987, 18, (2), 373-399 View citations (730)
    See also Working Paper (1987)
90. The dollar and real interest rates
    Carnegie-Rochester Conference Series on Public Policy, 1987, 27, (1), 103-139 View citations (57)
    See also Working Paper (1987)
91. The term structure of euromarket interest rates: An empirical investigation
    Journal of Monetary Economics, 1987, 19, (1), 25-44 View citations (34)
    See also Working Paper (1987)

1986

92. A Defense of Traditional Hypotheses about the Term Structure of Interest Rates
    Journal of Finance, 1986, 41, (1), 183-93 View citations (41)
    See also Working Paper (1986)
93. Bond and Stock Returns in a Simple Exchange Model
    The Quarterly Journal of Economics, 1986, 101, (4), 785-803 View citations (91)
    See also Working Paper (1986)

1984

94. A Simple Account of the Behavior of Long-Term Interest Rates
    American Economic Review, 1984, 74, (2), 44-48 View citations (33)
    See also Working Paper (1984)

1983

95. Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates
    Brookings Papers on Economic Activity, 1983, 14, (1), 173-224 View citations (236)
    See also Working Paper (1983)

Books

2010

1. The Squam Lake Report: Fixing the Financial System
   Economics Books, Princeton University Press View citations (49)
   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 (12)

2002

3. Strategic Asset Allocation: Portfolio Choice for Long-Term Investors
   OUP Catalogue, Oxford University Press View citations (453)

2001

4. Risk Aspects of Investment-Based Social Security Reform
   NBER Books, National Bureau of Economic Research, Inc View citations (40)

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 (7)

2000

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

Chapters

2013

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

2010

2. Introduction
   A chapter in The Squam Lake Report: Fixing the Financial System, 2010 View citations (8)

2008

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

2003

4. Consumption-based asset pricing
   Chapter 13 in Handbook of the Economics of Finance, 2003, vol. 1, Part 2, pp 803-887 View citations (168)
   See also Working Paper (2002)

2001

5. 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 (19)
6. Investing Retirement Wealth: A Life-Cycle Model
   A chapter in Risk Aspects of Investment-Based Social Security Reform, 2001, pp 439-482 View citations (59)
   See also Working Paper (2000)

1999

7. Asset prices, consumption, and the business cycle
   Chapter 19 in Handbook of Macroeconomics, 1999, vol. 1, Part C, pp 1231-1303 View citations (136)
   See also Working Paper (1998)

1996

8. A Scorecard for Indexed Government Debt
   A chapter in NBER Macroeconomics Annual 1996, Volume 11, 1996, pp 155-208 View citations (56)
   See also Working Paper (1996)

1994

9. International Experiences with Securities Transaction Taxes
   A chapter in The Internationalization of Equity Markets, 1994, pp 277-308 View citations (18)
   See also Working Paper (1993)

1993

10. 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 (7)

1991

11. 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 (726)
    See also Working Paper (1991)

1989

12. 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 (604)
    See also Working Paper (1989)

Software Items