Welcome
I am a professor in the Economics Department at
the University of California, Irvine. This site provides copies of all my working
papers, computer programs, data, research in various stages, and other miscellaneous information about
me. For a listing of citations to my work, visit
my Google Scholar author page.
The page you are viewing, http://www.ericswanson.org, or equivalently,
http://www.ericswanson.us, is the up-to-date location of my site. I expect
to maintain this URL as my home page for the next several years.
What’s New
| 10/7/19:
| I’ve posted a revised draft of my working paper, “Measuring the Effects of Federal Reserve
Forward Guidance and Asset Purchases on Financial Markets.” This new version includes
updated estimates through June 2019 and subsample analysis of the post-ZLB period from December 2015 to June 2019.
|
| 8/19/19:
| I have several updates. First, my paper, “The Federal Reserve Is Not Very Constrained by
the Lower Bound on Nominal Interest Rates,” has been published in the Brookings Papers on
Economic Activity, and I’ve posted the PDF. You can also
view
the other papers in the symposium. Second, my paper “Implications of Labor Market Frictions for Risk
Aversion and Risk Premia,” has been accepted at the American Economic Journal:
Macroeconomics, and I’ve posted the most recent version. Third, I’ve posted a revised
draft of my working paper,
“A Macroeconomic Model of Equities and Real, Nominal, and Defaultable Debt.” This version
includes clearer motivation and discussion in several places. I’ve also
posted slides
from my recent presentation of that paper at the Stanford Institute for Theoretical Economics.
Finally, I’ve updated my curriculum vitae. I should also have additional updates for this website in a
few weeks.
|
| 12/31/18:
| Happy New Year! I’ve posted a revised version of my working paper, “Implications of Labor Market Frictions for Risk
Aversion and Risk Premia,” along with slides from my presentation at Bilkent University.
This new version contains numerical results for a version of the model with Epstein-Zin preferences and
additional discussion and robustness analysis. I’ve also updated my curriculum vitae.
|
| 12/5/18:
| I’m testing out UCI’s website hosting, and will have new updates soon.
|
| 9/17/18:
| I have a new working paper, “The Federal Reserve Is Not Very Constrained by
the Lower Bound on Nominal Interest Rates,” prepared for a
symposium
at the Brookings Institution. I’ve also uploaded
my presentation slides
from the panel.
|
| 8/2/18:
| My paper, “Risk
Aversion, Risk Premia, and the Labor Margin with Generalized Recursive Preferences,” has been
published in The Review of Economic Dynamics. Second, I’ve posted a revised version of my
working paper,
“Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial
Markets.” This new version includes bootstrapped standard errors, additional robustness checks,
additional discussion, and a number of clarifications. I’ve also updated my curriculum vitae.
|
| 1/8/18:
| I’m back from the AEA meetings. I’ve posted slides from my discussion of Kroencke,
Schmeling, and Schrimpf’s paper, “The FOMC Risk Shift”; slides from my discussion of Hanson, Lucca, and
Wright’s paper,“Interest Rate Conundrums in the Twenty-First Century,”;
and slides from my
discussion of Carvalho, Eusepi, Moench, and Preston’s “Anchored Inflation
Expectations.” I’ve also updated my curriculum vitae.
|
| 11/24/17:
| Happy Thanksgiving! First, my paper, “Risk Aversion, Risk Premia, and the Labor Margin
with Generalized Recursive Preferences,” was recently accepted at the Review of Economic
Dynamics. I’ve posted the preprints. Second, I’ve posted a revised version of my
working paper,
“Implications of Labor Market Frictions for Risk Aversion and Risk Premia.” This new
version includes updated and improved discussion and explanations in several places. Third, I’ve
also posted a revised version of my working paper, “Measuring the Effects of Federal Reserve
Forward Guidance and Asset Purchases on Financial Markets.” This revision also includes
improved explanations and discussion in several places. Fourth and finally, I’ve updated
my curriculum vitae.
|
| 9/25/17:
| I’ve posted slides from my
recent discussion of Refet Gürkaynak, Burçin Kisacikoğlu, and Jonathan Wright’s
paper, “Identifying the Effects of Partially-Measured News Surprises,” presented at the Bank
of Canada-Federal Reserve Bank of San Francisco-Simon Fraser University Conference on Fixed Income and
Macro-Finance in Vancouver. I’ve also posted slides from my recent presentation at Boston
College of my working paper, “Measuring the Effects of Federal Reserve
Forward Guidance and Asset Purchases on Financial Markets.” Finally, I’ve updated
my curriculum vitae.
|
| 7/14/17:
| I’ve posted slides
from my recent presentation at the NBER Summer Institute of my working paper, “Measuring the Effects of Federal Reserve
Forward Guidance and Asset Purchases on Financial Markets.” I’ve also updated
my curriculum vitae and citations pages.
|
| 3/25/17:
| It’s been a while since I’ve updated this site. First, my discussion of Jonathan Wright’s
“Options-Implied Probability Density Functions for Real Interest Rates,” has been published
in the International Journal of Central Banking, and I’ve updated the file to the published
version. Second, I substantially revised my working paper, “Measuring the Effects of Federal Reserve
Forward Guidance and Asset Purchases on Financial Markets.” Relative to the previous version,
the paper now considers alternate identifying assumptions, has more analysis of the pre-zero-lower-bound
period in the U.S., and more analysis of policy persistence. Finally, I’ve updated
my curriculum vitae.
|
| 7/18/16:
| I’ve been busy teaching this past quarter but have finally made several updates to this site.
First, I posted my new working paper, “Measuring the Effects of Federal Reserve
Forward Guidance and Asset Purchases on Financial Markets,”
and presentation slides for that paper from the NBER Summer Institute in
Cambridge, MA, last week. This paper extends the work I’ve been doing on measuring the effects of
unconventional monetary policy on assset prices. Second, I posted a revised version of my working
paper, “A
Macroeconomic Model of Equities and Real, Nominal, and Defaultable Debt,”
and presentation slides for that paper from the NBER Summer Institute as well.
This version of the paper includes updates to the data and several minor revisions for clarity. Third, I
posted written comments from
my discussion of Jonathan Wright’s “Options-Implied Probability Density Functions for
Real Interest Rates,” which are forthcoming in the International Journal of Central Banking.
Finally, I’ve updated my
curriculum vitae.
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