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Published Papers

Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks, (with Scott Joslin and Marcel Priebsch). Journal of Finance, Vol. 69, no. 3, June 2014, 1197–1233.
Investor Flows and the 2008 Boom/Bust in Oil Prices, Management Science, Vol. 60, No. 2, February 2014, 300-318.
Gaussian Macro-Finance Term Structure Models with Lags, (with Scott Joslin and Anh Lee). Journal of Financial Econometrics, Vol. 11, No. 4, Fall 2013, 581-609.
Why Gaussian Macro-Finance Term Structure Models are (Nearly) Unconstrained Factor-VARs, (with Scott Joslin and Anh Le). Journal of Financial Economics, Vol. 109, No. 3, September 2013, 604–622.
Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields, (with Don Kim). Journal of Econometrics, Vol. 170, No. 1, September 2012, 32–49.
Estimation and Evaluation of Conditional Asset Pricing Models, (with Stefan Nagel). Journal of Finance, Vol. 66, No. 3, June 2011, 873–909. Supplement
How Sovereign Is Sovereign Credit Risk?, (with Francis Longstaff, Jun Pan, and Lasse Pedersen). American Economic Journal: Macroeconomics, Vol. 3, No. 2, April 2011, 75-103.
A New Perspective on Gaussian Dynamic Term Structure Models, (with Scott Joslin and Haoxiang Zhu). Review of Financial Studies, Vol. 24, 2011, 926-970. Supplement
An Equilibrium Term Structure Model with Recursive Preferences (with Anh Le). American Economic Review, Papers and Proceedings, May 2010.
Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk, (with Anh Le and Qiang Dai). Review of Financial Studies, Vol. 23, No. 5, 2010, 2184-2227.
Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads, (with Jun Pan). Journal of Finance, Vol. 63, No. 5, October 2008, 2345-2384.
Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yield, (with Qiang Dai and Wei Yang). Review of Financial Studies, Vol. 20, No. 5, 2007, 1669-1706.
Interpreting Recent Changes in the Credit Spreads of Japanese Banks. (with Jun Pan). In Monetary and Economic Studies, Vol. 24, 129-150. Bank of Japan, 2006.
Fixed Income Pricing. (with Qiang Dai). In Handbook of Economics and Finance, ed. C. Constantinides, M. Harris, and R. Stulz, Chapter 20, North Holland, 2003.
Term Structure Modeling in Theory and Reality, (with Qiang Dai). Review of Financial Studies, Vol. 16, No. 3, 2003, 631-678.
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt, (with Darrell Duffie and Lasse Pedersen). Journal of Finance, Vol. 58, No. 1, February 2003, 119–159.
Pricing Coupon-Bond Options and Swaptions in Affine Term Structure Models, (with Len Umantsev). Mathematical Finance, Vol. 12, No. 4, October 2002, 427–446.
Expectation Puzzles, Time-varying Risk Premia, and Affine Models of the Term Structure, (with Qiang Dai). Journal of Financial Economics, Vol. 63, No. 3, March 2002, 415–441.
Estimation of Affine Asset Pricing Models Using the Empirical Characteristic Function, Journal of Econometrics, Vol. 102, No. 1, May 2001, 111-141.
Transform Analysis and Asset Pricing for Affine Jump-Diffusions, (with Darrell Duffie and Jun Pan). Econometrica, Vol. 68, No. 6, November 2000, 1343-1376.
Specification Analysis of Affine Term Structure Models, (with Qiang Dai). Journal of Finance, Vol. 55, No. 5, October 2000, 1943-1978.
Modeling Term Structure Models of Defaultable Bonds, (with Darrell Duffie). Review of Financial Studies, Vol.12, No. 4, 1999, 687-720.
Equilibrium Asset Prices and Savings of Heterogeneous Agents in the Presence of Portfolio Constraints, (with A. Marcet). Macroeconomic Dynamics, Vol. 3, No. 2, June 1999, 243-277.
An Econometric Model of the Term Structure of Interest Rate Swap Yields, (with Darrell Duffie). Journal of Finance, Vol. 52, No. 4, September 1997, 1287-1323.
Efficient Estimation of Linear Asset Pricing Models with Moving Average Errors, (with L. Hansen). Journal of Business and Economic Statistics, Vol. 114, No. 1, January 1996, 53-68.
Yield Curve Risk Management for Government Bond Portfolios: An International Comparison. In Risk Management: Challenges and Solutions, eds. W. Beaver and G. Parker, 295-321. McGraw Hill, 1995.
Yield Curve Risk in Japanese Government Bond Markets. Japanese Journal of Financial Economics, Vol. 1, December 1994, 5-32.
Institutional and Regulatory Influences on Price Discovery in Cash and Futures Bond Markets In The Industrial Organization of Securities Markets, ed. A. Lo, National Bureau of Economic Research, 1994.
Japanese Corporate Investment and Bank of Japan Guidance of Commercial Bank Lending. (with T. Hoshi and D. Scharfstein). In Japanese Monetary Policy, ed. K. Singleton, Chicago: University of Chicago Press, 1993.
Simulated Moments Estimation of Markov Models of Asset Prices, (with D. Duffie). Econometrica, Vol. 61, No. 4, July 1993, 929-952.
Econometric Implications of Consumption-Based Asset Pricing Models. In Advances in Econometrics, Sixth World Congress, eds. J. J. Laffont and C. A. Sims, Cambridge: Cambridge University Press, 1993.
Kokusai no taumu storakuchya moderu. (with Tadashi Kikugawa). Shoken Analysts Journal, 30, June 1992, 18-23 (in Japanese). Reprinted in Shoken Analysts Journal Shurai Ronbunshu, Nihon Shoken Analysts Kyokai, 1992.
Computing Semiparametric Efficiency Bounds for Linear Time Series Models with Moving Average Errors. (with L. Hansen). In Nonparametric and Seminonparametric Methods in Econometrics and Statistics, eds. W. Barnett, J. Powell, and G. Tauchen, Chapter 15, Cambridge: Cambridge University Press, 1990.
Specification and Estimation of Intertemporal Asset Pricing Models. In Handbook of Monetary Economics, eds. B. Friedman and F. Hahn, Amsterdam: North Holland, 1990.
Interpreting Changes in the Volatility of Yields on Japanese Long-Term Bonds In Monetary and Economic Studies, Vol. 8, No. 1. Bank of Japan, 1990.
Modeling the Term Structure of Interest Rates in General Equilibrium. In Theory of Valuation: Frontiers of Modern Financial Theory, Vol. 1, eds. S. Bhattacharya and G. Constantinides, Rowan and Allenheld Publishers, 1989.
Econometric Issues in the Analysis of Equilibrium Business Cycle models, Journal of Monetary Economics, Vol. 21, Issues 2–3, March–May 1988, 361–386.
A Time Series Analysis of Representative Consumer Models of Consumption and Leisure Choice Under Uncertainty, (with M. Eichenbaum and L. Hansen). Quarterly Journal of Economics, Vol. 103, No. 1, February 1988, 51-78.
Speculation and the Volatility of Floating Exchange Rates. In Carnegie-Rochester Conference Series on Public Policy, eds. K. Brunner and A. Meltzer, Vol. 26, Spring 1987, 9-56.
Asset Prices in a Time Series Model with Disparately Informed, Competitive Traders, In New Approaches to Monetary Economics, Proceedings of the Second International Symposium in Economic Theory and Econometrics, eds. W. Barnet and K. Singleton, Chapter 12, Cambridge: Cambridge University Press, 1987.
Do Equilibrium Real Business Cycle Theories Explain Post-war U.S. Business Cycles?, (with Martin Eichenbaum). NBER Macroeconomics Annual, Vol. 1, 1986, 91-135 .
Modeling the Term Structure of Interest Rates Under Non-separable Utility and Durability of Goods, (with Kenneth B. Dunn). Journal of Financial Economics, Vol.17, Issue 1, September 1986, 27-55.
An Omnibus Test for the Two-Sample Problem Using the Empirical Characteristic Function, (with T.W. Epps). Journal of Statistical Computation and Simulation, Vol. 26, Issue 3-4, 1986, 177-203.
Testing Specifications of Economic Agents' Intertemporal Optimum Problems in the Presence of Alternative Models, Journal of Econometrics, Vol. 30, Issues 1–2, October–November 1985, 391–413.
Rational Expectations and the Volatility of Floating Exchange Rates, (with Richard A. Meese). International Economic Review, Vol. 24, No. 3, October 1983, 721-733.
An Empirical Analysis of the Pricing of Mortgage-Backed Securities, (with Lee Wakeman, Kenneth B. Dunn). Journal of Finance, Vol. 38, Issue 2, May 1983, 613–623.
Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns, (with Lars Peter Hansen). Journal of Political Economy, Vol. 91, No. 2, April 1983, 249-265.
Real and Nominal Factors in the Cyclical Behavior of Interest Rates, Output, and Money, Journal of Economic Dynamics and Control, Vol. 5, February 1983, 289–309.
Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models, (with Lars Peter Hansen). Econometrica, Vol. 50, No. 5, September 1982, 1269-1286.
On Unit Roots and the Empirical Modeling of Exchange Rates, (with Richard A. Meese). Journal of Finance, Vol. 37, Issue 4, September 1982, 1029–1035.
A Test of Separate Families of Distributions Based on the Empirical Moment Generating Function, (with T. Epps and L. Pulley). Biometrika, Vol. 69, No. 2, 1982, 391-399.

A condensed version of this paper is reprinted in 1981 Proceedings of Business and Economics Section of the American Statistical Association.

Latent Variable Models for Time Series: A Frequency Domain Approach with an Application to the Permanent Income Hypothesis, (with John F. Geweke). Journal of Econometrics, Vol. 17, Issue 3, December 1981, 287-304.
Maximum Likelihood 'Confirmatory' Factor Analysis of Economic Time Series, (with John F. Geweke). International Economic Review, Vol. 22, No. 1, February 1981, 37-54.
Multinational Inflation Under Fixed Exchange Rates: Some Empirical Evidence from Latent Variable Models, (with Edgar L. Feige). The Review of Economics and Statistics, Vol. 63, No. 1, February 1981, 11-19.
Expectation Models of the Term Structure and Implied Variance Bounds, Journal of Political Economy, Vol. 88, No. 6, December 1980, 1159-1176.
Maturity - Specific Disturbances and the Term Structure of Interest Rates, Journal of Money, Credit and Banking, Vol. 12, No. 4, Part 1 November 1980, 603-614.
A Latent Time Series Model of the Cyclical Behavior of Interest Rates, International Economic Review, 21, October 1980, 559-575.
Interpreting the Likelihood of Ratio Statistic in Factor Models when Sample Size is Small, (with John F. Geweke). Journal of American Statistical Association, Vol. 75, Issue 369, March 1980, 133-137.