Published or Forthcoming Papers




1        Asset Pricing under Smooth Ambiguity in Continuous Time, with Lars Hansen, PDF, Economic Theory 74 (2022) 335–371.


2        China's Housing Bubble, Infrastructure Investment, and Economic Growth, with Shenzhe Jiang and Yuzhe Zhang, PDF, International Economic Review 3 (2022) 1189-1237


3        Asset Market Equilibrium under Rational Inattention, PDF, with Dongling Su, forthcoming in Economc Theory.


4        Multivariate Rational Inattention, with Jieran Wu and Eric Young, PDF, Econometrica 2 (2022) 907-945.


A Matlab toolbox to solve dynamic RI problems in the LQG framework. PDF, ZIP


5        Asset Bubbles and Foreign Interest Rate Shocks, with Pengfei Wang and Jing Zhou, PDF, Review of Economic Dynamics 44 (2022) 315-348.


6        Macro-Financial Volatility under Dispersed Information, with Jieran Wu and Eric Young, PDF, Theoretical Economics 16 (2021) 275-315.


7        Does Calvo Meet Rotemberg at the Zero Lower Bound, with Phuong Ngo, PDF,  Macroeconomic Dynamics 25 (2021) 1090-1111.


8        Discount Shock, Price-Rent Dynamics, and the Business Cycle, PDF, International Economic Review 61 (2020) 1229-1252.


9        Asset Bubbles and Monetary Policy, with Pengfei Wang and Feng Dong, PDF, Review of Economic Dynamics 37 (2020) S68-S98.


10    Convergence, Financial Development, and Policy Analysis, with Justin Yifu Lin and Pengfei Wang, PDF, Economic Theory 69 (2020) 523-568.



11    Ambiguity Aversion and Variance Premium, with Bin Wei and Hao Zhou, PDF, Quarterly Journal of Finance 9 (2019) 1-36.


12    Saving China’s Stock Market? With Yi Huang and Pengfei Wang, IMF Economic Review 67 (2019) 349-394. VoxEU.


13    Monetary Policy and Rational Asset Bubbles: Comments, with Pengfei Wang, and Zhouxiang Shen, PDF, American Economic Review 109 (2019) 1969-1990.


14    Aversion to Ambiguity and Model Misspecification in Dynamic Stochastic Environments, with Lars Peter Hansen, PDF, Proceedings of National Academy of Sciences 11 (2018) 9163-9168.


15    Asset Bubbles and Credit Constraints, PDF, with Pengfei Wang, American Economic Review 108 (2018) 2590-2628.



16    The Perils of Credit Booms, PDF, with Feng Dong and Pengfei Wang, Economic Theory 66 (2018) 819-861.


17   Woodford's Approach to Robust Policy Analysis in a Linear-Quadratic Framework, PDF, with Hyosung Kwon, Macroeconomic Dynamics 23 (2019) 1895-1920.

18    Three Types of Robust Ramsey Problem in a Linear-Quadratic Framework, with Hyosung Kwon, Journal of Economic Dynamics and Control 76 (2017) 211-231.

19    Robust Contracts in Continuous Time, PDF, with Alejandro Rivera, Econometrica 84 (2016) 1405-1440. Online Appendix

20    Land Prices and Unemployment, with Zheng Liu and Tao Zha, PDF, Journal of Monetary Economics 80(C) (2016) 86-105. Online Appendix

21    Introduction to Economic Theory of Bubbles II, PDF, Journal of Mathematical Economics 65 (2016) 139-140.

22    Introduction to the Symposium on Bubbles, Multiple Equilibria, and Economic Activities, PDF, Economic Theory 61 (2016) 207-214.

23    Stock Market Bubbles and Unemployment, PDF, with Pengfei Wang and Lifang Xu, Economic Theory 61 (2016) 273-307.

24    Chaotic Banking Crises and Banking Regulations, PDF, with Jess Benhabib and Pengfei Wang, Economic Theory 61 (2016) 393-422.


25    Asset Bubbles, Collateral, and Policy Analysis, PDF, with Pengfei Wang and Jing Zhou, Journal of Monetary Economics 76 (2015) S57-S70.  Online Appendix

26    A Bayesian DSGE Model of Stock Market Bubbles and Business Cycles, with Pengfei Wang and Zhiwei Xu Quantitative Economics 6 (2015) 599-635. Supplementary Appendix

27    Banking Bubbles and Financial Crises, with Pengfei Wang, Journal of Economic Theory 157 (2015), 763-792. Online Appendix


28    Growth Uncertainty, Generalized Disappointment Aversion and Production-based Asset Pricing, PDF, with Hening Liu, Journal of Monetary Economics 69 (2015) 70-89.


29    A Duality Approach to Continuous-Time Contracting Problems with Limited Commitment, PDF, with Yuzhe Zhang, Journal of Economic Theory 159 (2015) 929-988.


30    Introduction to Economic Theory of Bubbles, Journal of Mathematical Economics 53 (2014), 130-136.


31   Sectoral Bubbles, Misallocation, and Endogenous Growth, with Pengfei Wang, Journal of Mathematical Economics 53 (2014), 153-163.


32   Dynamic Asset Allocation with Ambiguous Return Predictability, with Hui Chen and Nengjiu Ju, Review of Economic Dynamics 17 (2014), 799-823. (Best paper in 2009 CICF)


33    A Q-Theory Model with Lumpy Investment, with Pengfei Wang, Economic Theory 57 (2014), 133-159.


34    Lumpy Investment and Corporate Tax Policy, with Pengfei Wang, Journal of Money, Credit and Banking 46 (2014), 1171-1203.


35    Numerical Simulation of Nonoptimal Dynamic Equilibrium Models, with Zhigang Feng, Adrian Peralta-Alva, and Manuel Santos, International Economic Review 55 (2014), 83-110.


36    Advance Information and Asset Prices, with Rui Albuquerque, Journal of Economic Theory 149 (2014), 236-275.  Online Appendix.


37    What Does Corporate Income Tax Tax? A Simple Model without Capital, with Larry Kotlikoff, Annals of Economics and Finance 14-1 (2013) 1-19.


38    Economic Growth under Money Illusion, with Danyang Xie, Journal of Economic Dynamics and Control 37 (2013) 84-103.


39    CEO Power, Compensation, and Governance, with Rui Albuquerque, Annals of Economics and Finance 14-1 (2013) 21-56.


40    Bubbles and Total Factor Productivity, with Pengfei Wang, American Economic Review 102 (2012), 82-87. Online Appendix.


41    The Dynamics of Mergers and Acquisitions in Oligopolistic Industries, with Dirk Hackbarth, Journal of Economic Dynamics and Control 4 (2012), 585-609.


42    Ambiguity, Learning, and Asset Returns, with Nengjiu Ju, Econometrica 80 (2012), 559-591. Supplementary Material


43    The Determinants and Dynamic Properties of China’s Urban Housing Prices, Investment Research 7 (2011), 2-13. (in Chinese)


44    Intertemporal Substitution and Recursive Smooth Ambiguity Preferences, with Takashi Hayashi, Theoretical Economics 6 (2011), 423-472.


45    Risk, Uncertainty, and Option Exercise, with Neng Wang, Journal of Economic Dynamics and Control 35 (2011), 442-461.


46    Transitional Dynamics of Dividend and Capital Gains Tax Cuts, with Francois Gourio, Review of Economic Dynamics 14 (2011), 368-383. This is a substantial overhaul of the old version:  Dynamic Effects of Permanent and Temporary Dividend Tax Policies on Corporate Investment and Financial Policies,” PDF. Media: The Fiscal Times,  The Washington Post


47    Firm Heterogeneity and the Long-Run Effects of Dividend Tax Reform, with Francois Gouriro, American Economic Journal: Macroeconomics 2:1 (2010), 131-168.


48    Entrepreneurial Finance and Non-Diversifiable Risk, with Hui Chen and Neng Wang, Review of Financial Studies 23 (2010), 4348-4388.


49    Ambiguity, Risk and Portfolio Choice under Incomplete Information, Annals of Economics and Finance, 10 (2009) 257-279.


50    Option Exercise with Temptation, Economic Theory 34 (2008), 473-501.


51    Investment, Consumption and Hedging under Incomplete Markets, with Neng Wang, Journal of Financial Economics 86 (2007), 608-642.


52    Capital Structure, Credit Risk, and Macroeconomic Conditions, with Dirk Hackbarth, and Erwan Morellec, Journal of Financial Economics 82 (2006), 519-550.


53    A Search Model of Centralized and Decentralized Trade, Review of Economic Dynamics 9 (2006), 68-92.


54    Competitive Equilibria of Economies with a Continuum of Consumers and Aggregate Shocks, Journal of Economic Theory 128 (2006), 274-298.


55    Irreversible Investment with Regime Shifts, with Xin Guo and Erwan Morellec, Journal of Economic Theory 122 (2005), 37-59.


56    Optimal Capital Structure and Industry Dynamics, Journal of Finance 6 (2005), 2621-2659.


57    Informed Trading when Information Becomes Stale, with Dan Benhardt, Journal of Finance 59 (2004), 339-390.


58    A Note on Consumption and Savings Under Knightian Uncertainty, Annals of Economics and Finance 5 (2004) 299-311.


59    A Two-Person Dynamic Equilibrium under Ambiguity, with Larry Epstein, Journal of Economic Dynamics and Control 27 (2003) 1253-1288.