Working Papers Long-run consumption risk and the real yield curve (PDF file) An econometric model of the term structure of interest rate under regime-switching risk (with Yong Zeng) (PDF file) Publications Stock market liberalization and international risk sharing (with Shiegru Iwata), forthcoming, Journal of International Financial Markets, Institutions and Money (PDF file) On foreign exchange interventions at zero interest rates (with Shigeru Iwata), forthcoming, Macroeconomic Dynamics (PDF file) Monetary policy and long-term interest rates,Contemporary Economic Policy, 2008 An exact solution of the term structure of interest rates under regime-switching risk (with Yong Zeng), in R. Elliott and R. Mamon (eds.) Hidden Markov Models in Finance, Springer, 2007 Interest rate risk and the forward premium anomaly in foreign exchange markets, Journal of Money, Credit and Banking , 2007 The term structure of interest rates under regime shifts and jumps (with Yong Zeng), Economics Letters , 2006 Estimating monetary policy effect when interest rates are close to zero (with Shigeru Iwata), Journal of Monetary Economics , 2006 Macroeconomic shocks and foreign exchange risk premiums (with Shigeru Iwata), Macroeconomic Dynamics , 2006 A general equilibrium model of the term structure of interest rates under regime-switching risk (with Yong Zeng), International Journal of Theoretical and Applied Finance , 2005 What macroeconomic risks are (not) shared by international investors? (with Shigeru Iwata), Journal of Money, Credit and Banking , 2005 On user cost of risky monetary assets (with William Barnett), Annals of Finance , 2005 Inter-temporally non-separable monetary asset risk adjustment and aggregation (with William Barnett), Economic Bulletin , 2004 Affine regime-switching models for interest rate term structure (with Yong Zeng), Contemporary Mathematics (special issue on mathematical finance), 2003 Back to Home Page