The Real Channel for Nominal Bond-Stock Puzzles (with Mikhail Chernov & Lars A. Lochstoer)  |  2023    [Paper] 

Inflation and Real Activity over the Business Cycle (with Francesco Bianchi & Giovanni Nicolo)   |  2023    [Paper] 

Deciphering Federal Reserve Communication via Text Analysis of Alternative FOMC Statements (with Taeyoung Doh & Shu-Kuei Yang)   |  2022    [Paper]

Leaning Against the Data: Policymaker Communications under State-based Forward Guidance (with Taeyoung Doh & Joseph Gruber)   |  2022    [Paper]

Fearing the Fed: How Wall Street Reads Main Street (with Vadim Elenev & Tzuo Law & Amir Yaron)   |  2022    [Paper] 

The Term Structure of CIP Violations (with Patrick Augustin & Mikhail Chernov & Lukas Schmid)  |  Journal of Finance  |  2023    [Paper]

Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic (with Frank Schorfheide)  |  International Journal of Central Banking  |  2023    [Paper] [Code] [Real-time forecasts]  

The Long-Term Impact of the COVID-19 Unemployment Shock on Life Expectancy and Mortality Rates (with Francesco Bianchi & Giada Bianchi)  |  Journal of Economic Dynamics  and Control  |  2023    [Paper]

News-Driven Uncertainty Fluctuations (with Jenny Tang)  |  Journal of Business and Economic Statistics  |  2022    [Paper] [Code] 

The Term Structure of Equity Risk Premia (with Ravi Bansal & Shane Miller & Amir Yaron)  |  Journal of Financial Economics  |  2021    [Paper]

Benchmark Interest Rates when the Government is Risky (with Patrick Augustin & Mikhail Chernov & Lukas Schmid)  |  Journal of Financial Economics  |  2020    [Paper]

Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads (with Patrick Augustin & Mikhail Chernov)  |  Journal of Financial Economics  |  2020    [Paper]

Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach (with Frank Schorfheide & Amir Yaron)  |  Econometrica  |  2018    [Paper] [Code] [Appendix] [State variables]  

Bond Market Exposures to Macroeconomic and Monetary Policy Risks  |  Review of Financial Studies  |  2017    [Paper] 

Improving GDP Measurement: A Measurement-Error Perspective (with Boragan Aruoba & Jeremy Nalewaik & Francis Diebold & Frank Schorfheide)  |  Journal of Econometrics  |  2016    [Paper] [Code] [GDP Plus] 

Real-Time Forecasting with a Mixed-Frequency VAR (with Frank Schorfheide)  |  Journal of Business and Economic Statistics  |  2015    [Paper] [Code]