Research by Topics

I have been working on diverse areas in macroeconomics and finance. Many papers below belong to multiple areas. They can be downloaded from my links of published and working papers.

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Real and Financial Frictions

Bubbles and Crashes

• Housing Bubbles and Policy Analysis, with Pengfei Wang and Jing Zhou (working paper)
• Introduction to Economic Theory of Bubbles (JMathE 2014)
• A Bayesian DSGE Model of Stock Market Bubbles and Business Cycles, with Pengfei Wang and Zhiwei Xu (working paper)
• Stock Market Bubbles and Unemployment, with Pengfei Wang and Lifang Xu (working paper)
• Banking Bubbles and Financial Crises, with Pengfei Wang (JET)
• Sectoral Bubbles, Misallocation, and Endogenous Growth, with Pengfei Wang (JMathE 2014)
• Bubbles and Credit Constraints, with Pengfei Wang (working paper)
• Bubbles and Total Factor Productivity, with Pengfei Wang (AER 2012)

Capital Structure

• Credit Risk and Business Cycles, with Pengfei Wang (working paper)
• Optimal Capital Structure and Industry Dynamics (JF 2005)
• Capital Structure, Credit Risk, and Macroeconomic Conditions, with Dirk Hackbarth, and Erwan Morellec (JFE 2005)
• Entrepreneurial Finance and Non-Diversifiable Risk, with Hui Chen and Neng Wang (RFS 2010)

Investment with Adjustment Costs

• A Q-Theory Model with Lumpy Investment, with Pengfei Wang (ET 2014)
• Irreversible Investment with Regime Shifts, with Xin Guo and Erwan Morellec (JET 2005)
• Investment, Consumption and Hedging under Incomplete Markets, with Neng Wang (JFE 2007)
• The Dynamics of Mergers and Acquisitions in Oligopolistic Industries, with Dirk Hackbarth (JEDC 2012)

Investment and Taxation

• What Does Corporate Income Tax Tax? A Simple Model without Capital, with Larry Kotlikoff (AEF)
• Lumpy Investment and Corporate Tax Policy, with Pengfei Wang (JMCB 2014)
• Firm Heterogeneity and the Long-Run Effects of Dividend Tax Reform, with Francois Gourio (AEJ Macro 2010)
• Transitional Dynamics of Dividend and Capital Gains Tax Cuts, with Francois Gourio (RED 2011)
• Corporate Tax Policy and Long-Run Capital Formation: The Role of Irreversibility and Fixed Costs (working paper)

Imperfect Information

• Advance Information and Asset Prices, with Rui Albuquerque (JET 2104)
• Informed Trading when Information Becomes Stale, with Dan Benhardt (JF 2004)
• Experimentation under Uninsurable Idiosyncratic Risk: An Application to Entrepreneurial Survival (working paper)

Search and Unemployment

· A Search Model of Centralized and Decentralized Trade (RED 2005)

· Land Prices and Unemployment, with Zheng Liu and Tao Zha (working paper)

Incomplete Markets

· Competitive Equilibria of Economies with a Continuum of Consumers and Aggregate Shocks (JET 2006)

· Numerical Simulation of Nonoptimal Dynamic Equilibrium Models, with Zhigang Feng, Adrian Peralta-Alva, and Manuel Santos (IER).

Dynamic Contracts

· Robust Contracts in Continuous Time, with Alejandro Rivera (working paper)

· A Duality Approach to Continuous-Time Contracting Problems with Limited Commitment, with Yuzhe Zhang (JET)

Nonstandard Preferences

Ambiguity Aversion and Asset Pricing

• Ambiguity Aversion and Variance Premium, with Bin Wei and Hao Zhou (working paper)
• A Note on Consumption and Savings under Knightian Uncertainty (AEF 2004)
• A Two-Person Dynamic Equilibrium under Ambiguity, with Larry Epstein (JEDC 2003)
• Dynamic Asset Allocation with Ambiguous Return Predictability, with Hui Chen and Nengjiu Ju (RED)
• Ambiguity, Risk and Portfolio Choice under Incomplete Information (AEF 2009)
• Risk, Uncertainty, and Option Exercise, with Neng Wang (JEDC 2011)
• Ambiguity, Learning, and Asset Returns, with Nengjiu Ju (ECMA 2012)
• Intertemporal Substitution and Recursive Smooth Ambiguity Preferences, with Takashi Hayashi (TE 2011)

Robustness

· Robust Contracts in Continuous Time, with Alejandro Rivera (working paper)

· Woodford’s Approach to Robust Policy Analysis in a Linear-Quadratic Framework, with Hyosong Kwon (working paper)

Self-Control and Temptation

· Option Exercise with Temptation (ET 2008)

Disappointment Aversion

· Growth Uncertainty, Generalized Disappointment Aversion and Production-based Asset Pricing, with Hening Liu (JME)

Money Illusion

• Economic Growth under Money Illusion, with Danyang Xie (JEDC)