Research by theme (overlapping)

(A)Disaster Risk

“The shock event of this past week is clearly a negative one. It is negative in the most important sense that it presumably increases the real risk premium for long-term capital investment, for fairly obvious reasons. That is, the longer-term environment for which capital investment decisions currently are being made must be perceived to be less certain and potentially of considerably more concern than one would have felt earlier. How significant that deterioration is I think is exceptionally difficult to judge. Indeed, one can envision a scenario--it’s a low probability scenario but scarcely zero--that this tragic event could create a fairly pronounced and significant shift in the political structure in the world (...)” Alan Greenspan, FOMC conference call meeting on 9-13-2001. Link

·        Credit risk and Disaster risk,  AEJ: Macroeconomics, 5(3):1-34, 2013. Appendix Programs (zipped folder)

 

·        International Risk Cycles, with M. Siemer and A. Verdelhan Journal of International Economics, 89(2):471-484, 2013. Appendix.

 

·        Disaster Risk and Business Cycles, American Economic Review, 102(6):2734-2766, 2012. Appendix   Programs.

Previous version (with simpler model and empirical exercise) and Appendix   Programs.

·        Time Series Predictability in the Disaster Model, Finance Research Letters, 5(4): 191-203, 2008. Computational Appendix. Programs (zip).

 

·        Disasters and Recoveries, American Economic Review - Papers and Proceedings, 98(2): 68-73, 2008.  Correction

 

 

(B) Investment, Firm Heterogeneity and Firm Dynamics

 

·        Can Intangible Capital Explain the Cyclical Movements in the Labor Wedge? With L Rudanko.

Forthcoming, American Economic Review Papers and Proceedings, May 2014.    Programs (zipped folder)

 

·        Size-Dependent Regulations, Firm Size Distribution, and Reallocation, (November 2013) with N. Roys Forthcoming, Quantitative Economics.

 

Programs (zipped folder)

 

·        Customer Capital with L. Rudanko (November 2013),  Forthcoming, Review of Economic Studies.

 

·        Estimating Firm-Level Risk (October 2008 version, needs a substantial revision)

 

·        Putty-Clay Technology and Stock Market Volatility Appendix. Journal of Monetary Economics, 58(2):117-131, 2011.

 

·        Transitional Dynamics of Dividend Tax and Capital Gains Tax Cuts with Jianjun Miao. Review of Economic Dynamics, 14(2):368-383, 2011.

                        Technical Appendix   Programs (zip)   Programs and Results (zip; 30mb file)

·        Firm Heterogeneity and the Long-Run Effects of Dividend Tax Reform, with Jianjun Miao.  AEJ: Macroeconomics, 2(1):131-168, 2010. Programs (zip).

 

·        Investment Spikes: New Facts and a General Equilibrium Exploration, with Anil K Kashyap. Journal of Monetary Economics, 54:S1:S22, 2007.

Longer version (NBER wp) and Appendix, Data, Programs

 

·        Labor Leverage, Firms Heterogeneous Sensitivities to the Business Cycle, and the Cross-Section of Returns (October 2007)

 

(C)Business Cycles

 

·        Can Intangible Capital Explain the Cyclical Movements in the Labor Wedge? With L Rudanko.

Forthcoming, American Economic Review Papers and Proceedings, May 2014.    Programs (zipped folder)

 

·        Credit risk and Disaster risk, AEJ: Macroeconomics, 5(3):1-34, 2013. Appendix Programs (zipped folder)

 

·        Disaster Risk and Business Cycles American Economic Review, 102(6):2734-2766, 2012. Appendix   Programs.

 

Previous version (simpler model, empirical exercise) and Appendix   Programs.

 

·        Putty-Clay Technology and Stock Market Volatility Appendix. Journal of Monetary Economics, 58(2):117-131, 2011.

 

·        Investment Spikes: New Facts and a General Equilibrium Exploration, with Anil K Kashyap. Journal of Monetary Economics, 54:S1:S22, 2007.

 

Longer version (NBER wp) and Appendix, Data, Programs

 

·        The Marginal Worker and the Aggregate Elasticity of Labor Supply (May 2009), with P.-A. Noual. Appendix and old version

 

(D)Financial Frictions

·        Credit risk and Disaster risk, AEJ: Macroeconomics, 5(3):1-34, 2013. Appendix Programs (zipped folder)

 

·        Transitional Dynamics of Dividend Tax and Capital Gains Tax Cuts with Jianjun Miao. Review of Economic Dynamics, 14(2):368-383, 2011.

                        Technical Appendix   Programs (zip)   Programs and Results (zip; 30mb file)

·        Firm Heterogeneity and the Long-Run Effects of Dividend Tax Reform, with Jianjun Miao.  AEJ: Macroeconomics, 2(1):131-168, 2010. Programs (zip).

 

(E) Taxes and Regulations

·        Size-Dependent Regulations, Firm Size Distribution, and Reallocation, (November 2013) with N. Roys Forthcoming, Quantitative Economics.

 

Programs (zipped folder)

 

·        Transitional Dynamics of Dividend Tax and Capital Gains Tax Cuts with Jianjun Miao. Review of Economic Dynamics, 14(2):368-383, 2011.

                     Technical Appendix   Programs (zip)   Programs and Results (zip; 30mb file)

·        Firm Heterogeneity and the Long-Run Effects of Dividend Tax Reform, with Jianjun Miao.  AEJ: Macroeconomics, 2(1):131-168, 2010. Programs (zip).

 

·        Is there a majority to support a capital tax cut? Journal of Economic Dynamics and Control, 33(6):1278-1295, 2009