Research

My recent research has focused on the relationship between financial markets and macroeconomics. Current versions of my working papers are provided below. If you're looking for reprints, presentation slides, or additional material for my published papers; a complete listing of all my papers by topic; presentation slides from my discussions of other authors’ work; or citations to my work in academic journals, the popular press, or policymaker speeches and testimony, click on the corresponding tab at right.

Working Papers

“Implications of Labor Market Frictions for Risk Aversion and Risk Premia.”
In progress, check back here soon.

“Measuring the Effect of the Zero Lower Bound on the Yield Curve and Exchange Rates in the U.K. and Eurozone" (with John Williams).
In progress for NBER ISOM meeting, check back here soon.

“Risk Aversion, Risk Premia, and the Labor Margin with Generalized Recursive Preferences.”
(abstract) – (full paper)

“Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates” (with John Williams).
(abstract) – (full paper) – (Brown University presentation) – (shorter AEA presentation) – (WSJ editorial 1/28/13) – (Econbrowser 2/15/12) – (Reuters 2/14/12)

Longer, working-paper version of “Risk Aversion and the Labor Margin in Dynamic Equilibium Models,” The American Economic Review 102, June 2012, pp. 1663-1691. The working paper contains results for habits and early results for generalized recursive preferences.
(abstract) – (longer working paper version)

Working-paper version of “The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks” (with Glenn Rudebusch), American Economic Journal: Macroeconomics 4, January 2012, pp. 105-43. The working paper contains results for a generalized consol and a simpler preference specification that is closer to Woodford's textbook.
(abstract) – (working paper version)

“Higher-Order Perturbation Solutions to Dynamic, Discrete-Time Rational Expectations Models” (with Gary Anderson and Andrew Levin), revision requested by Journal of Economic Dynamics and Control.
(abstract) – (full paper) – (Perturbation AIM code & examples)

“Optimal Time-Consistent Monetary Policy in the New Keynesian Model with Repeated Simultaneous Play” (with Gauti Eggertsson), working paper, 2008.
(abstract) – (full paper) – (NBER Summer Institute presentation) – (shorter presentation at SCE Meetings, Paris)

“Econometric Estimation when the ‘True’ Model Forecasts or Errors Are Observed,” working paper, 2006.
(abstract) – (full paper)

“Bayesian Optimal Policy in the Presence of Regime Change and Local Parameter Uncertainty,” working paper, 2006.
(abstract) – (full paper)