Eric T. Swanson Mt Rainier
Welcome Research Curriculum Vitae Perturbation AIM Personal

Welcome

I am a professor in the Economics Department at the University of California, Irvine. This site provides copies of all my working papers, computer programs, data, research in various stages, and other miscellaneous information about me. For a listing of citations to my work, visit my Google Scholar author page.

The page you are viewing, http://www.ericswanson.org, or equivalently, http://www.ericswanson.us, is the up-to-date location of my site. I expect to maintain this URL as my home page for the next several years.



What’s New

11/24/17:    Happy Thanksgiving! First, my paper, “Risk Aversion, Risk Premia, and the Labor Margin with Generalized Recursive Preferences,” was recently accepted at the Review of Economic Dynamics. I’ve posted the preprints. Second, I’ve posted a revised version of my working paper, “Implications of Labor Market Frictions for Risk Aversion and Risk Premia.” This new version includes updated and improved discussion and explanations in several places. Third, I’ve also posted a revised version of my working paper, “Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets.” This revision also includes improved explanations and discussion in several places. Fourth and finally, I’ve updated my curriculum vitae.
9/25/17:    I’ve posted slides from my recent discussion of Refet Gürkaynak, Burçin Kisaciko─člu, and Jonathan Wright’s paper, “Identifying the Effects of Partially-Measured News Surprises,” presented at the Bank of Canada-Federal Reserve Bank of San Francisco-Simon Fraser University Conference on Fixed Income and Macro-Finance in Vancouver. I’ve also posted slides from my recent presentation at Boston College of my working paper, “Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets.” Finally, I’ve updated my curriculum vitae.
7/14/17:    I’ve posted slides from my recent presentation at the NBER Summer Institute of my working paper, “Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets.” I’ve also updated my curriculum vitae and citations pages.
3/25/17:    It’s been a while since I’ve updated this site. First, my discussion of Jonathan Wright’s “Options-Implied Probability Density Functions for Real Interest Rates,” has been published in the International Journal of Central Banking, and I’ve updated the file to the published version. Second, I substantially revised my working paper, “Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets.” Relative to the previous version, the paper now considers alternate identifying assumptions, has more analysis of the pre-zero-lower-bound period in the U.S., and more analysis of policy persistence. Finally, I’ve updated my curriculum vitae.
7/18/16:    I’ve been busy teaching this past quarter but have finally made several updates to this site. First, I posted my new working paper, “Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets,” and presentation slides for that paper from the NBER Summer Institute in Cambridge, MA, last week. This paper extends the work I’ve been doing on measuring the effects of unconventional monetary policy on assset prices. Second, I posted a revised version of my working paper, “A Macroeconomic Model of Equities and Real, Nominal, and Defaultable Debt,” and presentation slides for that paper from the NBER Summer Institute as well. This version of the paper includes updates to the data and several minor revisions for clarity. Third, I posted written comments from my discussion of Jonathan Wright’s “Options-Implied Probability Density Functions for Real Interest Rates,” which are forthcoming in the International Journal of Central Banking. Finally, I’ve updated my curriculum vitae.
1/29/16:    I’ve made several updates to this site. First, I posted a revised version of my working paper, “Measuring the Effects of Unconventional Monetary Policy on Asset Prices.” Second, I posted slides from my recent discussion at the AEA Meetings of D’Amico and King’s “What Does Anticipated Monetary Policy Do?” Third, I posted somewhat older slides from my discussion of Jonathan Wright’s “Options-Implied Probability Density Functions for Real Interest Rates,” from the IJCB/Banco de Mexico conference in Mexico City. Finally, I’ve updated my curriculum vitae for the new year.
11/14/15:    I’ve posted a new working paper, “Measuring the Effects of Unconventional Monetary Policy on Asset Prices.” I’ve also posted a revised version of my working paper, “A Macroeconomic Model of Equities and Real, Nominal, and Defaultable Debt,” and shorter and longer sets of presentation slides for that paper from two recent presentations I gave at the San Francisco Fed and UC San Diego. I’ve also updated the version of Perturbation AIM to version 2.8.3, which fixes a warning that was appearing in the latest version of Mathematica. Finally, I’ve updated my curriculum vitae.
9/2/15:    I’ve posted a revised version of my paper, “A Macroeconomic Model of Equities and Real, Nominal, and Defaultable Debt.” This is still very much a working paper (one section still needs to be written), but this version is significantly revised relative to previous versions and should be much better. The paper now uses the “multiplier” version of Epstein-Zin preferences, the parameterization of the model has changed, and there is now a whole new section devoted to explaining endogenous conditional heteroskedasticity in the model.
7/23/15:    Posted a revised version of my paper, “Risk Aversion, Risk Premia, and the Labor Margin with Generalized Recursive Preferences.” This version includes several revisions for clarity. I also updated my curriculum vitae, Citations in the Popular Press, Citations by Policymakers, and my Personal pages.
5/22/15:    I’ve been busy teaching this quarter, so there's not much new. I’ve posted written comments from my discussion of Michael Ehrmann’s “Targeting Inflation from Below,” and updated my curriculum vitae.
3/28/15:    I’ve posted slides from my recent discussion of Pascal Michaillat and Emmanuel Saez’s “An Economical Business Cycle Model,” presented at the San Francisco Fed's conference on Monetary Economics. I’ve also updated my curriculum vitae.
1/4/15:    I’ve posted slides from my recent discussion at the ASSA Meetings in Boston of Emi Nakamura and Jon Steinsson’s “High Frequency Identification of Monetary Non-Neutrality.”
12/21/14:    Happy Holidays! I’ve posted slides from my recent presentation in Frankfut of my working paper, “A Macroeconomic Model of Equities and Real, Nominal, and Defaultable Debt.”
12/9/14:    I’ve made a number of updates to this site. First, my paper with John Fernald and Mark Speigel, “Monetary Policy Effectiveness in China: Evidence from a FAVAR Model,” was recently published in the Journal of International Money and Finance, and I’ve posted reprints. Second, I've posted a revised version of my working paper, “A Macroeconomic Model of Equities and Real, Nominal, and Defaultable Debt;” this version includes two additional discussion sections and a number of revisions for clarity. Third, I’ve written a recent piece in VoxEU that provides an accessible summary of my research with John Williams on the severity of the zero lower bound constraint for monetary policy. Fourth, I’ve posted slides from my recent discussion in New Zealand of Michael Ehrmann’s “Targeting Inflation from Below–How Do Inflation Expectations Behave?” Finally, I've updated my curriculum vitae.
10/6/14:    My paper with John Williams, “Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates” has been published in The American Economic Review. I’ve posted reprints, updated my website, and updated my curriculum vitae.
8/28/14:    Posted slides from my recent presentation at the Stanford Institute for Theroetical Economics of my paper, “Implications of Labor Market Frictions for Risk Aversion and Risk Premia.” Also, I’ve joined the National Bureau of Economic Research as a Faculty Research Fellow in the Monetary Economics program, effective September 2. I’ve updated my curriculum vitae accordingly.
8/15/14:    Posted a revised version of my paper, “Implications of Labor Market Frictions for Risk Aversion and Risk Premia.” This version includes several minor revisions for clarity.

Contact Information

Prof. Eric Swanson
Department of Economics
University of California, Irvine
3151 Social Science Plaza
Irvine, CA 92697-5100
(949) 824-8305
eric.swanson@uci.edu