Carl Christ Professor of Economics
My research focuses primarily on building and testing mathematical models of interest rate behavior. I began my professional career as a staff economist at the Federal Reserve Board. Prior to joining Johns Hopkins I was a professor at the University of California at Berkeley. I’ve also taught at the University of Pennsylvania’s Wharton School of Business.
"Evidence on simulation inference for near unit-root processes with implications for term structure estimation," Journal of Financial Econometrics 6, 2008, 108-142. Joint with Richard Stanton (page numbers on this linked version are incorrect)
"Term structure estimation without using latent factors," Journal of Financial Economics 79, 2006, 507-536.
"Time-variation in the covariance between stock returns and consumption growth," Journal of Finance 60, 2005, 1673-1712.
Excel file with all data
"Term premia and interest rate forecasts in affine models," Journal of Finance 57, 2002, 405-443.
Some supplementary information for "Term premia..." is accessible here.
"Credit derivatives in banking: Useful tools for managing risk?" Journal of Monetary Economics 48, 2001, 25-54. (joint with Chunsheng Zhou)
"Estimating the price of default risk," Review of Financial Studies 12, 1999, 197-226.
"The relation between Treasury yields and corporate bond yield spreads," Journal of Finance 53, 1998, pp. 2225-2242. (An appendix mentioned in this paper is available, in PDF form, here.)
"Idiosyncratic variation of Treasury bill yields," Journal of Finance 51, 1996, pp. 527-552.
"On measuring credit risks of derivative instruments," Journal of Banking and Finance 20, 1996, pp. 805-833.
"Stock returns and volatility: A firm-level analysis," Journal of Financial Economics 37, 1995, pp. 399-420.
"A securities transactions tax: Beyond the rhetoric," Research in Financial Services Public and Private Policy 5, 1993, pp. 55-76 (joint with Paul Kupiec and Patricia White)
"A primer on program trading and stock price volatility," Research in Financial Services Public and Private Policy 4, 1992, pp. 21-49 (joint with Paul Kupiec and Patricia White)
- “Discussion of ‘Moral hazard and adverse selection in the originate-to-distribute model of bank credit’,” Journal of Monetary Economics 56, 2009, 744-747.
- "Rethinking risk management for banks: Lessons from credit derivatives," in Proceedings of the 32nd Annual Conference on Bank Structure and Competition, Federal Reserve Bank of Chicago, 1996, pp. 381-400.
- "The variation of default risk with Treasury yields," in Proceedings of a Joint Central Bank Research Conference on Risk Measurement and Systemic Risk, Board of Governors of the Federal Reserve, 1996, 29-58.
- "Discussion of 'Banks and Derivatives'," 1995 NBER Macroeconomics Annual, pp. 343-347.
- “Forecasting with the term structure: the role of no-arbitrage restrictions,” latest version January 2011.
- “Sharpe ratios in term structure models,” latest version April 2010.
- "Are variations in term premia related to the macroeconomy?", latest revision June 2007.
- "Estimation of dynamic term structure models," last revision March 2004. Joint with Richard Stanton.
- PDF version (a link to the paper on Richard's home page)
- "The long-run behavior of firms' stock returns: Evidence and interpretations," last revision August 2002.
- "Balance sheet explanations for asymmetric volatility," last revision May 2002.
- "Can banks hedge their risks?" April 1997
- "What's good for GM...? Using auto industry returns to forecast business cycles and test the Q-theory of investment," Federal Reserve Board Working Paper 1996-38 (joint with Stephen D. Prowse)
- "Sunspots in stock market volatility," 1993.
- "On the relation between the level and volatility of short-term interest rates: A comment on Chan, Karolyi, Longstaff, and Sanders," 1993.
AS.180.366 (01), Corporate Finance, Spring 2011, Tu 1:30 – 4:00
AS.180.662 (01), Asset Pricing, Spring 2011, M 9:30 – 12:30
AS.180.697 (01), Research Seminar, Spring 2011, F 12:30 – 2:20