Papers
Papers
Perpetual Futures Pricing with Stochastic Rates and Clamp, with Julien Hugonnier (Sept 2025, updated Jun 2026)
How credible is Hong-Kong's Currency Peg?, with Bin Wei and Vivian Yue (Feb 2025)
Optimal Issuance for Proof-of-Stake Blockchains, (Sept 2024, revised Jan 2025)
Perpetual Futures Pricing, with Damien Ackerer and Julien Hugonnier, Mathematical Finance, 2025
A Macro Finance Model for Proof-of-Stake Ethereum, (Updated June 2025)
Tokenomics: Monetary and Fee Policies, with Haotian Xiang, Journal of Monetary Economics, Volume 155, October 2025, 103808
Rules Versus Discretion in Capital Regulation, with Haotian Xiang, Journal of Financial Economics, Volume 169, July 2025, 104060
Gold's Value as an Investment, Review of Financial Studies, Volume 38, Issue 2, February 2025
Non-Sovereign Stores of Value, (Revised April 2022, subsumed in Gold's Value as an Investment)
The Pricing of U.S. Treasury Floating Rate Notes, with Jonathan Hartley, Journal of Financial Economics, Volume 155, May 2024
Dynamic Banking With Non-Maturing Deposits, with Haotian Xiang, Journal of Economic Theory, Volume 209, April 2023, 105644
Interest Received by Banks During the Financial Crisis: LIBOR vs Hypothetical SOFR Loans, Journal of Financial Services Research, 2023
Is SOFR Better Than LIBOR?, (March 2019)
The Two-Pillar Policy for the RMB, with Bin Wei and Vivian Yue, Journal of Finance, 2022
Cryptocurrencies and Cagan’s Model of Hyperinflation, Journal of Macroeconomics, 2021, Volume 69
Negative Swap Spreads and Limited Arbitrage, Slides, The Review of Financial Studies, Volume 33, Issue 1, January 2020
Financial Markets' Views About the Euro-Swiss Franc Floor, 2017, Journal of Money, Credit and Banking, Vol 49 Issue 2-3, 553-565
Appendix
Forecasting the Outcome of the Swiss Gold Initiative, (November 16, 2014); Update: Nov 24
Sticky Leverage, joint with Joao Gomes and Lukas Schmid (2016, American Economic Review, Volume 106 No 12, December, 3800–3828)
Interest Rate Swaps and Corporate Default, with Vivian Y. Yue (Journal of Economic Dynamics and Control, Volume 88, March 2018, Pages 104-120)
A Production-Based Model for the Term Structure, Slides, (2013, Journal of Financial Economics, Volume 109, August, 293–306)
Paying More Attention to Financial Shocks, joint with V. Quadrini (September 2009); VOX article describing some of our recent research.
Macroeconomic Effects of Financial Shocks, Appendix, joint with V. Quadrini (2012, American Economic Review, 102(1): 238–271)
Financial Innovations and Macroeconomic Volatility, joint with V. Quadrini (April 2009)
The Equity Premium Implied by Production, Slides, (2010, Journal of Financial Economics 98, 279-296)
Stock Market Boom and the Productivity Gains of the 1990s, joint with V. Quadrini, (2007, Journal of Monetary Economics, 413-432)
Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth, joint with F. Alvarez, (Econometrica, November 2005, 1977-2016)
Using Asset Prices to Measure the Cost of Business Cycles, joint with F. Alvarez, (Journal of Political Economy, December 2004, 1223-56)
Quantitative Asset Pricing Implications of Endogenous Solvency Constraints, joint with F. Alvarez, (Review of Financial Studies, Winter 2001, 1117-1152)
Efficiency, Equilibrium, and Asset Pricing With Risk of Default, joint with F. Alvarez, (Econometrica, July 2000, 775-797)
International Portfolio Diversification and Endogenous Labor Supply Choice, (European Economic Review, June 1998, 1141-1172)
Household Production and the Excess Sensitivity Consumption to Current Income, joint with M. Baxter (American Economic Review, September 1999)
Asset Pricing in Production Economies, (Journal of Monetary Economics, April 1998, 257-275)
The International Diversification Puzzle Is Worse Than You Think (American Economic Review, March 1997, 170-180)
Appendix
Asset Pricing in Production Economies", From Economic Fluctuations and Asset Returns, (revised: May, 1994)
Nontraded Goods, Nontraded Factors, and International Non-Diversification, with M. Baxter and R. G. King, Journal of International Economics, April 1998, 211-229