Current Positions and Affiliations:
Professor on Leave, Haas School of Business, University of California Berkeley. Holds the Arno A. Rayner Chair in Finance and Management
Member, Academic Advisory Panel, Federal Reserve Bank of San Francisco
Faculty Research Fellow/Research Associate, National Bureau of Economic Research, 2001-present
External member, Center for Financial Frictions, Copenhagen Business School, 2011-present
University of California, Berkeley
545 Student Services Bldg #1900
Berkeley, CA 94720
Areas of Interest: Monetary policy, asset pricing, household finance
1. Limited Asset Market Participation and the Elasticity of Intertemporal Substitution, Journal of Political Economy, August 2002. (Earlier longer more ambitious version, December 1999, "Limited Stock Market Participation and the Equity Premium Puzzle")
2. Stock Market Participation, Intertemporal Substitution and Risk Aversion joint with Orazio P. Attanasio, American Economic Review, Papers and Proceedings, May 2003.
3. Perspectives on Behavioral Finance: Does "Irrationality" Disappear with Wealth? Evidence from Expectations and Actions, NBER Macroeconomics Annual 2003. Discussions by John Campbell and Owen Lamont.
4. The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle? joint with Tobias Moskowitz. American Economic Review, September 2002 (supported by NSF grant 0111795).
5. Testing Agency Theory With Entrepreneur Effort and Wealth joint with Marianne Bitler and Tobias Moskowitz, Journal of Finance, April 2005, lead article.
Winner, Journal of Finance Brattle Prize (Distinguished Paper) for 2005.
6. Mandated Disclosure, Stock Returns, and the 1964 Securities Acts Amendments, joint with Michael Greenstone and Paul Oyer. Quarterly Journal of Economics, May 2006.
7. The Value of Knowing, joint with Michael Greenstone and Paul Oyer – this is a shorter version of the above paper, Regulation, Summer 2006. Includes discussion by Edmund Kitch.
8. Long-Run Stockholder Consumption Risk and Asset Returns, with Christopher Malloy and Tobias Moskowitz. Journal of Finance, December 2009, lead article. Consumption growth data for all households (from NIPA), and for stockholders, top stockholders and non-stockholders (from the CEX), stata format (see paper for definitions).
Nominated for Journal of Finance Smith-Breeden Prize for 2010.
9. A Lobbying Approach to Evaluating The Sarbanes-Oxley Act of 2002, with Yael Hochberg and Paola Sapienza. Journal of Accounting Research, May 2009. Discussion by G. Andrew Karolyi
11. The Increase in Income Cyclicality of High-Income Households and its Relation to the Rise in Top Income Shares, Brookings Papers on Economic Activity, Fall 2010.
12. The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy, with Arvind Krishnamurthy, Brookings Papers on Economic Activity, Fall 2011.
13. The Aggregate Demand for Treasury Debt, with Arvind Krishnamurthy, Journal of Political Economy, April 2012.
14. Informational Hold-Up and Performance Persistence in Venture Capital, with Yael Hochberg and Alexander Ljungqvist, Review of Financial Studies, 2013
Winner, Argentum Prize for Best Symposium Paper on Private Equity and Funds of Private Equity, European Finance Association 2009.
15. The Ins and Outs of Large Scale Asset Purchases, with Arvind Krishnamurthy, Kansas City Federal Reserve Symposium on Global Dimensions of Unconventional Monetary Policy, 2013
16. The Impact of Treasury Supply on Financial Sector Lending and Stability, with Arvind Krishnamurthy, Journal of Financial Economics, 2015
Winner, Swiss Finance Institute Outstanding Paper Award, 2015
17. ECB Policies involving Government Bond Purchases: Impact and Channels, with Arvind Krishnamurthy and Stefan Nagel. Review of Finance, 2018
18. Central Banking with Many Voices: The Communications Arms Race, Conference Proceedings, 23rd Annual Conference of the Central Bank of Chile, 2019
21. The Economics of the Fed Put, with Anna Cieslak, Review of Financial Studies, 2021. EDITORS’ CHOICE
22. The Treasury Market in Spring 2020 and the Response of the Federal Reserve, forthcoming, Journal of Monetary Economics
23. Discussion from Brookings Spring 2014 of the paper “Effects of Unconventional Monetary Policy on Financial Institutions” by Gabriel Chodorow-Reich
24. Discussion from the NBER Macroeconomics Annual 1999 of the paper "Stock Prices and Fundamentals" by John Heaton and Deborah Lucas.
25. New version, August 2021, Consumer Credit: Learning Your Customer's Default Risk from What (S)he Buys, under first submission
26. New, January 2021, A Stock Return Decomposition using Observables, with Benjamin Knox
27. March 22, 2020 policy note: The Case for Federal Reserve Corporate Bond Purchases
March 23, 2020 Fed announcement: https://www.federalreserve.gov/newsevents/pressreleases/monetary20200323b.htm includes corporate bond purchases (PMCCF, SMCCF).
28. New version, December, 2020: Information Transmission from the Federal Reserve to the Stock Market: Evidence from Governors’ Calendars, with Adair Morse.
29. The Impact of Pensions and Insurance on Global Yield Curves, with Robin Greenwood, 2018, R&R
30. Why an MBS-Treasury swap is better policy than the Treasury twist, with Arvind Krishnamurthy (The main parts of this note is included in 15. above.)
31. The Impact of Labor Income Risk on Educational Choices: Estimates and Implied Risk Aversion, with Helena Skyt Nielsen, first draft, January 2006.
32. Towards an Explanation of Household Portfolio Choice Heterogeneity: Nonfinancial Income and Participation Cost Structures, NBER Working Paper, 2002 (The main parts of this paper are included in the NBER Macroeconomics Annual paper above.)
· Slides from 2007 Gerzensee Focus Session: Household Finance: The Liability Side
2021: NBER Summer Institute (EFEL): “It's what you say and what you buy: A holistic evaluation of the Corporate Credit Facilities”, by Boyarchenko, Kovner, Shachar, Slides
2021: NBER EFG meeting, “Fifty Shares of QE: Comparing Findings of Central Bankers and Academics”, by Fabo, Jancokova, Kempf and Pastor, Slides
2020: Women in Macro Conference, “How the Wealth Was Won: Factor Shares as Market Fundamentals”, by Greenwald, Lettau and Ludvigson, Slides
2020: Red Rock Finance Conference, “A q-theory of inequality”, by Gomez and Bonenfant, Slides
2020: NBER MMFM/AP meeting, “Monetary Policy with Opinionated Markets”, by Cabellero and Simsek, Slides
2019: NBER MMFM/AP meeting, “Riskfree Interest Rates”, by van Binsbergen, Diamond and Grotteria, Slides
2019: WFA meeting, “The cross-section of monetary policy announcement premium”, Hengjie Ai, Leyla Jianyu Han, Xuhui Pan and Lai Xu Slides
2019: Federal Reserve/BIS conference in New York, Remarks on Unconventional Monetary Policy Slides
2018: WFA meeting, “A Test of Consumption Smoothing and Liquidity Constraints: Spending Responses to Paying Taxes and Receiving Refunds”, by Baugh, Ben-David, Park and Parker Slides
2018: Panel discussion at Nobel Symposium in Stockholm, Slides
2018: Bank of Canada/Queens Workshop on Financial Intermediation and Regulation, “Identifying Dependencies in the Demand for Government Securities”, by Allen, Kastl and Wittwer Slides
2018: UNC/Duke Asset Pricing Conference, “Monetary Policy and Reaching for Income”, by Daniel, Garlappi and Xiao Slides
2018: AEA meeting, “The Macroeconomics Effects of Government Asset Purchases: Evidence from Postwar US Housing Credit Policy”, by Fieldhouse, Mertens and Ravn Slides
2017: NBER ISOM conference, ``The US Treasury Premium”, by Du, Im and Schreger Slides
2017: San Francisco Fed Macroeconomics and Monetary Policy conference, ``Should Unconventional Monetary Policies Become Conventional”, by Dominic Quint and Pau Rabanal Slides
2016: Miami Behavioral Finance Conference “Noncognitive Abilities and Financial Distress”, by Gianpaolo Parise and Kim Peijnenburg Slides
2015: FRIC conference at Copenhagen Business School, “Interpreting Factor Models”, by Kozak, Nagel and Santosh Slides
2015: NBER Household Finance Meeting “Wealth and Stock Market Participation: Estimating the Causal Effect from Swedish Lotteries”, by Briggs, Cesarini, Lindqvist and Ostling Slides
2015: NBER EASE Meeting "Liquidity Requirements, Liquidity Choice and Financial Stability", by Douglas Diamond and Anil Kashyap Slides
2015: NBER Monetary Economics Meeting, "The Liquidity Premium of Near-Money Assets", by Stefan Nagel Slides
2014: FRIC conference at Copenhagen Business School, "Intermediary Balance Sheets", by Tobias Adrian and Nina Boyarchenko Slides
2014: Brookings Panel on Economic Activity, "Effects of Unconventional Monetary Policy on Financial Institution Risk-Taking", by Gabriel Chodorow-Reich. Published discussion
2014: NBER Corporate Finance Meeting, "Banks a Patient Fixed Income Investors", by Hanson, Shleifer, Stein and Vishny Slides