Assistant Professor of Finance
University of North Carolina
at Chapel Hill
McColl Building, CB# 3490
Chapel Hill, NC 27599-3490
- "Why Gaussian Macro-Finance Term Structure Models Are (Nearly) Unconstrained Factor-VARs," (with Scott Joslin and Ken Singleton), Journal of Financial Economics , 2012, forthcoming.
We show that, relative to a factor-VAR, the role of no-arbitrage restrictions in a canonical gaussian term structure model is rather minimal.
- "An Equilibrium Term Structure Model with Recursive Preferences," (with Ken Singleton), American Economic Review, PP, 2010, 100(2), 557-561.
A structural term-structure model with recursive preferences is proposed with market prices of risks almost as flexible as those of reduced-form models. The structural constraints are nonlinear endogenous consumption and inflation drifts.
- "Discrete-Time AffineQ Term Structure Models with Generalized Market
Prices of Risk," (with Ken Singleton and Qiang Dai), Review of Financial Studies, 2010, 23(5), 2184-2227.
pdf, matlab code
A rich class of discrete-time nonlinear dynamic term-structure models
is developed with analytical bond prices and conditional likelihood.
- "Implied Bond Liquidity," (with Robert Bushman and Florin Vasvari),
We propose to measure the liquidity of bonds with limited transaction data by utilizing bond holdings information and transactions data of other bonds.
- "Why Do Term Structures in Different Currencies Comove?," (with Pab Jotikasthira and Chris Lundblad),
We show that a world inflation factor, through the risk compensation channel, is largely responsible for the co-movements of bond yields at long horizons.