~brice.green
136 papers, 31 read, 30 to read
Bianchi, D., Büchner, M., & Tamoni, A. (2021). Bond Risk Premiums with Machine Learning. Review of Financial Studies.
Chernozhukov, V., Newey, W. K., & Singh, R. (2022). Automatic Debiased Machine Learning of Causal and Structural Effects. Econometrica.
Chen, L., Pelger, M., & Zhu, J. (2019). Deep Learning in Asset Pricing.
De Nardi, M., French, E., & Jones, J. B. (2009). Why do the Elderly Save? The Role of Medical Expenses.
Tibshirani, R. (2023). Conformal Prediction.
Diebold, F. X., & Li, C. (2003). Forecasting the Term Structure of Government Bond Yields. Working Paper Series.
Duffee, G. R. (2011). Sharpe ratios in term structure models.
Note: Great stuff. "It is worth emphasizing that the maximum Sharpe ratio of a portfolio of Treasury bond comfortably exceeds the Sharpe ratio for the market. Nonetheless, the book “Treasury securities for the long run” is unlikely to be a bestseller."
Gowrisankaran, G., Nevo, A., & Town, R. (2015). Mergers When Prices Are Negotiated: Evidence from the Hospital Industry. American Economic Review.
Bauer, M. (2012). Restrictions on Risk Prices in Dynamic Term Structure Models.
Habermann, D., Bulling, A., Radev, S. T., et al. (2026). Amortized Bayesian Inference on Multilevel Models of Arbitrary Structure.
Brunnermeier, M. K., Lamba, R., & Segura-Rodriguez, C. (2020). Inverse Selection. SSRN Electronic Journal.
Note: thanks preston for the rec
Palmer, C. J. (2026). An IV Hazard Model of Loan Default with an Application to Subprime Mortgage Cohorts. The Journal of Finance.
Xu, Y., Zhao, A., & Ding, P. (2026). Factorial Difference-in-Differences. Journal of the American Statistical Association.
Bauer, M. D., & Rudebusch, G. D. (2020). Interest Rates under Falling Stars. American Economic Review.
Aguirregabiria, V., & Mira, P. (2007). Sequential Estimation of Dynamic Discrete Games. Econometrica.
Chetty, R., Friedman, J. N., Olsen, T., et al. (2011). Adjustment Costs, Firm Responses, and Micro vs. Macro Labor Supply Elasticities: Evidence from Danish Tax Records. The Quarterly Journal of Economics.
Andrews, I., Barahona, N., Gentzkow, M., et al. (2025). Structural Estimation Under Misspecification: Theory and Implications for Practice. The Quarterly Journal of Economics.
Iacovone, L., McKenzie, D., & Meager, R. (2025). Bayesian Impact Evaluation With Informative Priors: An Application to a Colombian Management and Export Improvement Program. Econometrica.
Fish, S., Gonczarowski, Y. A., & Shorrer, R. I. (2024). Algorithmic Collusion by Large Language Models.
Angelopoulos, A. N., Bates, S., Fannjiang, C., et al. (2023). Prediction-powered inference. Science.
Budish, E., Roin, B. N., & Williams, H. (2015). Do Firms Underinvest in Long-Term Research? Evidence from Cancer Clinical Trials. American Economic Review.
Spiess, J. (2025). Optimal Estimation When Researcher and Social Preferences Are Misaligned. Econometrica.
Karun Adusumilli, A. V. (2026). Designing Persuasive Experiments.
Kitagawa, T., & Tetenov, A. (2018). Who Should Be Treated? Empirical Welfare Maximization Methods for Treatment Choice. Econometrica.
Deming, D. J. (2022). Four Facts about Human Capital. Journal of Economic Perspectives.
Saygin, P. O., Weber, A., & Weynandt, M. A. (2021). Coworkers, Networks, and Job-Search Outcomes among Displaced Workers. ILR Review.
Binsbergen, J. v., Brandt, M., & Koijen, R. (2012). On the Timing and Pricing of Dividends. American Economic Review.
Igami, M., & Sugaya, T. (2022). Measuring the Incentive to Collude: The Vitamin Cartels, 1990–99. The Review of Economic Studies.
Berry, S., Levinsohn, J., & Pakes, A. (1995). Automobile Prices in Market Equilibrium. Econometrica.
Nevo, A. (2000). Mergers with Differentiated Products: The Case of the Ready-to-Eat Cereal Industry. The RAND Journal of Economics.
Dinerstein, M., Megalokonomou, R., & Yannelis, C. (2022). Human Capital Depreciation and Returns to Experience. American Economic Review.
Strumpf, K. (2003). Illegal Sports Bookmakers. Working Papers.
Note: thanks to matthew for finding this one
Fukui, M., Nakamura, E., & Steinsson, J. (2026). The Commoditization of Labor. Working Paper Series.
Sufi, A., & Taylor, A. M. (2022). Financial crises: A survey. Handbook of international economics.
Schularick, M., & Taylor, A. M. (2012). Credit booms gone bust: monetary policy, leverage cycles, and financial crises, 1870–2008. American Economic Review.
Müller, K., & Verner, E. (2024). Credit allocation and macroeconomic fluctuations. Review of Economic Studies.
Greenwood, R., & Hanson, S. G. (2013). Issuer quality and corporate bond returns. The Review of Financial Studies.
López-Salido, D., Stein, J. C., & Zakrajšek, E. (2017). Credit-market sentiment and the business cycle. The Quarterly Journal of Economics.
Greenwood, R., Hanson, S. G., Shleifer, A., et al. (2022). Predictable financial crises. The Journal of Finance.
Krishnamurthy, A., & Muir, T. (2025). How credit cycles across a financial crisis. The Journal of Finance.
Beaudry, P., Galizia, D., & Portier, F. (2020). Putting the cycle back into business cycle analysis. American Economic Review.
Baron, M., Verner, E., & Xiong, W. (2021). Banking crises without panics. The Quarterly Journal of Economics.
Bernanke, B. S., & Gertler, M. (1986). Agency costs, collateral, and business fluctuations.
Kiyotaki, N., & Moore, J. (1997). Credit cycles. Journal of political economy.
Brunnermeier, M. K., & Sannikov, Y. (2014). A macroeconomic model with a financial sector. American Economic Review.
Gilchrist, S., & Zakrajšek, E. (2012). Credit spreads and business cycle fluctuations. American economic review.
Lian, C., & Ma, Y. (2021). Anatomy of corporate borrowing constraints. The Quarterly Journal of Economics.
Rampini, A. A., & Viswanathan, S. (2025). Collateral and secured debt.
Benmelech, E., Kumar, N., & Rajan, R. (2024). The decline of secured debt. The Journal of Finance.
Chaney, T., Sraer, D., & Thesmar, D. (2012). The collateral channel: How real estate shocks affect corporate investment. American Economic Review.
Rajan, R., & Ramcharan, R. (2015). The anatomy of a credit crisis: The boom and bust in farm land prices in the United States in the 1920s. American Economic Review.
Brunnermeier, M., Correia, S., Luck, S., et al. (2025). The debt-inflation channel of the German (Hyper) inflation. American Economic Review.
Diamond, D. W., & Dybvig, P. H. (1983). Bank runs, deposit insurance, and liquidity. Journal of political economy.
Diamond, D. W. (1984). Financial intermediation and delegated monitoring. The review of economic studies.
Goldstein, I., & Pauzner, A. (2005). Demand–deposit contracts and the probability of bank runs. the Journal of Finance.
Gorton, G., & Pennacchi, G. (1990). Financial intermediaries and liquidity creation. The Journal of Finance.
Bernanke, B. S. (1983). Non-monetary effects of the financial crisis in the propagation of the Great Depression.
Iyer, R., & Puri, M. (2012). Understanding bank runs: The importance of depositor-bank relationships and networks. American Economic Review.
Iyer, R., Puri, M., & Ryan, N. (2016). A tale of two runs: Depositor responses to bank solvency risk. The Journal of Finance.
Gorton, G., & Metrick, A. (2012). Securitized banking and the run on repo. Journal of Financial economics.
Calomiris, C. W., & Mason, J. R. (2003). Fundamentals, panics, and bank distress during the depression. American Economic Review.
Correia, S., Luck, S., & Verner, E. (2026). Failing banks. The Quarterly Journal of Economics.
Holmstrom, B., & Tirole, J. (1997). Financial intermediation, loanable funds, and the real sector. the Quarterly Journal of economics.
Coimbra, N., & Rey, H. (2024). Financial cycles with heterogeneous intermediaries. Review of Economic Studies.
Peek, J., & Rosengren, E. S. (2000). Collateral damage: Effects of the Japanese bank crisis on real activity in the United States. American economic review.
Khwaja, A. I., & Mian, A. (2008). Tracing the impact of bank liquidity shocks: Evidence from an emerging market. American Economic Review.
Chodorow-Reich, G. (2014). The employment effects of credit market disruptions: Firm-level evidence from the 2008–9 financial crisis. The Quarterly Journal of Economics.
Amiti, M., & Weinstein, D. E. (2018). How much do idiosyncratic bank shocks affect investment? Evidence from matched bank-firm loan data. Journal of Political Economy.
Ivashina, V., Laeven, L., & Moral-Benito, E. (2020). Loan types and the bank lending channel.
Kashyap, A. K., Lamont, O. A., & Stein, J. C. (1994). Credit conditions and the cyclical behavior of inventories. The Quarterly Journal of Economics.
Kashyap, A. K., & Stein, J. C. (2000). What do a million observations on banks say about the transmission of monetary policy? American Economic Review.
Jiménez, G., Ongena, S., Peydró, J.-L., et al. (2014). Hazardous times for monetary policy: What do twenty-three million bank loans say about the effects of monetary policy on credit risk-taking? Econometrica.
Drechsler, I., Savov, A., & Schnabl, P. (2017). The deposits channel of monetary policy. The Quarterly Journal of Economics.
Begenau, J., & Stafford, E. (2022). Uniform rate setting and the deposit channel. Available at SSRN.
Drechsler, I., Savov, A., & Schnabl, P. (2021). Banking on deposits: Maturity transformation without interest rate risk. The Journal of Finance.
Kashyap, A. K., & Stein, J. C. (2023). Monetary policy when the central bank shapes financial-market sentiment. Journal of Economic Perspectives.
Jiang, E. X., Matvos, G., Piskorski, T., et al. (2024). Monetary tightening and US bank fragility in 2023: Mark-to-market losses and uninsured depositor runs? Journal of Financial Economics.
Mian, A., Straub, L., & Sufi, A. (2021). Indebted demand. The Quarterly Journal of Economics.
Korinek, A., & Simsek, A. (2016). Liquidity trap and excessive leverage. American Economic Review.
Eggertsson, G. B., & Krugman, P. (2012). Debt, deleveraging, and the liquidity trap: A Fisher-Minsky-Koo approach. The Quarterly Journal of Economics.
Schmitt-Grohé, S., & Uribe, M. (2016). Downward nominal wage rigidity, currency pegs, and involuntary unemployment. Journal of Political Economy.
Farhi, E., & Werning, I. (2016). A theory of macroprudential policies in the presence of nominal rigidities. Econometrica.
Iacoviello, M. (2005). House prices, borrowing constraints, and monetary policy in the business cycle. American economic review.
Auclert, A. (2019). Monetary policy and the redistribution channel. American Economic Review.
Mian, A., Sufi, A., & Verner, E. (2017). Household debt and business cycles worldwide. The Quarterly Journal of Economics.
Jordà, Ò., Schularick, M., & Taylor, A. M. (2016). The great mortgaging: housing finance, crises and business cycles. Economic policy.
King, M. (1994). Debt deflation: Theory and evidence. European Economic Review.
Mishkin, F. S. (1978). The household balance sheet and the Great Depression. The Journal of Economic History.
Mian, A., & Sufi, A. (2014). What explains the 2007–2009 drop in employment? Econometrica.
Mian, A., Rao, K., & Sufi, A. (2013). Household balance sheets, consumption, and the economic slump. The Quarterly Journal of Economics.
Mian, A., Sufi, A., & Verner, E. (2020). How does credit supply expansion affect the real economy? the productive capacity and household demand channels. The Journal of Finance.
Di Maggio, M., Kermani, A., Keys, B. J., et al. (2017). Interest rate pass-through: Mortgage rates, household consumption, and voluntary deleveraging. American Economic Review.
Baker, S. R. (2018). Debt and the response to household income shocks: Validation and application of linked financial account data. Journal of Political Economy.
Ganong, P., & Noel, P. (2020). Liquidity versus wealth in household debt obligations: Evidence from housing policy in the great recession. American Economic Review.
Auclert, A., Dobbie, W. S., & Goldsmith-Pinkham, P. (2019). Macroeconomic effects of debt relief: Consumer bankruptcy protections in the great recession.
Krugman, P. (1999). Balance sheets, the transfer problem, and financial crises. International tax and public finance.
Lorenzoni, G. (2014). International financial crises. Handbook of international economics.
Schneider, M., & Tornell, A. (2004). Balance sheet effects, bailout guarantees and financial crises. The Review of Economic Studies.
Kalantzis, Y. (2015). Financial fragility in small open economies: firm balance sheets and the sectoral structure. The Review of Economic Studies.
Bocola, L., & Lorenzoni, G. (2020). Financial crises, dollarization, and lending of last resort in open economies. American Economic Review.
Verner, E., & Gyöngyösi, G. (2020). Household debt revaluation and the real economy: Evidence from a foreign currency debt crisis. American Economic Review.
Aguiar, M. (2005). Investment, devaluation, and foreign currency exposure: The case of Mexico. Journal of Development Economics.
Salomao, J., & Varela, L. (2022). Exchange rate exposure and firm dynamics. The Review of Economic Studies.
Rey, H. (2015). Dilemma not trilemma: the global financial cycle and monetary policy independence.
Anderson, S. E., Plantinga, A. J., & Wibbenmeyer, M. (2023). Inequality in Agency Response: Evidence from Salient Wildfire Events. The Journal of Politics.
Russell, J., Rajendhran, R., Pham, C. M., et al. (2026). StoryScope: Investigating idiosyncrasies in AI fiction. arXiv.org.
Hsieh, C.-T., & Moretti, E. (2019). Housing Constraints and Spatial Misallocation. American Economic Journal: Macroeconomics.
Greaney, B. (2026). Housing Constraints and Spatial Misallocation: Comment. American Economic Journal: Macroeconomics.
Dvorkin, M., & Greaney, B. (2025). The geography of wealth: shocks, mobility, and precautionary savings. Working Papers.
Note: Neat trick with discrete choice over locations with CARA / Normal / Weibull
Aladangady, A., Krimmel, J., & Scharlemann, T. (2025). Locked in: mobility, market tightness, and house prices.
Liebersohn, J., & Rothstein, J. (2025). Household mobility and mortgage rate lock. Journal of Financial Economics.
Fonseca, J., & Liu, L. (2024). Mortgage Lock‐In, Mobility, and Labor Reallocation. The Journal of Finance.
Miao, J., & Xing, H. (2024). Dynamic discrete choice under rational inattention. Economic Theory.
Kaaronen, R. O., Walsh, M. J., Henrich, A. K., et al. (2024). A global cross-cultural analysis of string figures reveals evidence of deep transmission and innovation. Journal of The Royal Society Interface.
Note: Honestly sometimes I'm jealous of anthropologists
Hines, O., Dukes, O., Diaz-Ordaz, K., et al. (2022). Demystifying statistical learning based on efficient influence functions. The American Statistician.
Green, B., & Leo, G. (2026). LLMs Do Not Emulate Populations.
Note: just adding my stuff for a list
Halvorsen, E., Hubmer, J., Ozkan, S., et al. (2026). Why Are the Wealthiest So Wealthy? New Longitudinal Empirical Evidence and Implications for Theories of Wealth Inequality. Econometrica.
Gandhi, A., Navarro, S., & Rivers, D. A. (2020). On the Identification of Gross Output Production Functions. Journal of Political Economy.
Borusyak, K., Hull, P., & Jaravel, X. (2025). A Practical Guide to Shift-Share Instruments. Journal of Economic Perspectives.
Schmidt, L., Timmermann, A., & Wermers, R. (2016). Runs on money market mutual funds. American Economic Review.
Sraer, D., & Thesmar, D. (2023). How to Use Natural Experiments to Estimate Misallocation. American Economic Review.
Chetty, R. (2009). Sufficient Statistics for Welfare Analysis: A Bridge Between Structural and Reduced-Form Methods. Annual Review of Economics.
Arcidiacono, P., & Miller, R. A. (2011). Conditional Choice Probability Estimation of Dynamic Discrete Choice Models With Unobserved Heterogeneity. Econometrica.
Rust, J. (1987). Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher. Econometrica.
Note: RIP
Magnac, T., & Thesmar, D. (2002). Identifying Dynamic Discrete Decision Processes. Econometrica.
Hotz, V. J., & Miller, R. A. (1993). Conditional Choice Probabilities and the Estimation of Dynamic Models. The Review of Economic Studies.
Särkkä, S., & García-Fernández, Á. F. (2021). Temporal Parallelization of Bayesian Smoothers. IEEE Transactions on Automatic Control.
Note: parallel kalman filters go zoom
Antolin-Diaz, J., & Rubio Ramírez, J. (2026). Attention-based Vector Autoregressions.
Note: one day i will understand this paper
Kim, D. H., & Orphanides, A. (2012). Term Structure Estimation with Survey Data on Interest Rate Forecasts. Journal of Financial and Quantitative Analysis.
Green, B., Kogan, L., Papanikolaou, D., et al. (2025). Winners and Losers: Competition, Creative Destruction, and Labor Income Risk.
Note: just adding my stuff for a list
Bruns-Smith, D. (2025). Two-Stage Machine Learning for Nonparametric Instrumental Variable Regression.
Note: Super cool, now I need a reason to do npiv
Kaplan, G., & Schulhofer‐Wohl, S. (2017). UNDERSTANDING THE LONG‐RUN DECLINE IN INTERSTATE MIGRATION. International Economic Review.
Browning, M., Bourguignon, F., Chiappori, P.-A., et al. (1994). Income and Outcomes: A Structural Model of Intrahousehold Allocation. Journal of Political Economy.
Chiappori, P.-A. (1988). Rational Household Labor Supply. Econometrica.
Browning, M., & Chiappori, P. A. (1998). Efficient Intra-Household Allocations: A General Characterization and Empirical Tests. Econometrica.
Solow, R. M. (1957). Technical Change and the Aggregate Production Function. The Review of Economics and Statistics.
Note: First papers.club entry
No papers tagged [asset pricing] here.
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