Publications in professional journals and books
"Market Timing Strategies that Worked," The Journal of Portfolio Management, Vol. 29,
No. 2, 57-68, Winter 2003.
"Market-Makers' Supply and Pricing of Financial Market Liquidity," with Ross M. Starr,
Economic Letters, 76: 53-58, 2002
"Liquidity of the Treasury Bill Market and the Term Structure of Interest
Rates," with Ross M Starr, Journal of Economics and Business, 50: 401-417,
1998.
Federal Reserve Bank of Kansas City Economic Review articles
"Liquidity Risk
Premia and Breakeven Inflation Rates," Second Quarter 2006.
(Summary | Article
PDF 125K)
"How Long is a Long-Term Investment?" First Quarter 2005.
(Summary | Article
PDF 238K)
"Why Has the Nonfinancial Commercial Paper Market Shrunk Recently?" First Quarter 2003.
(Summary | Article
PDF 1325K)
"Can TIPS Help Identify
Long-Term Inflation Expectations?" with Jonathan Corning, Fourth Quarter 2001.
(Summary
| Article
PDF 285K)
"The P/E Ratio and Stock Market
Performance," Fourth Quarter 2000. (Summary | Article
PDF 198K)
"How Important Is the Inflation
Risk Premium?" Fourth Quarter 1998. (Summary | Article
PDF 108K)
"Features and Risks of Treasury
Inflation Protection Securities," First Quarter 1998.
(Summary
| Article
PDF 72K)
"Settlement Risk in Large-Value
Payments Systems," Second Quarter 1997.
(Summary | Article
PDF 99K)
"Benefits and Limitations of
Inflation Indexed Treasury Bonds," Third Quarter 1995. (Summary
| Article
PDF 128K)
Federal Reserve Bank of Kansas City Research Working Papers
"Market-Timing Strategies That
Worked," RWP 02-01. (PDF
369 | Abstract)
"Market Makers' Supply and
Pricing of Financial Market Liquidity," with Ross M. Starr, RWP 00-03.
(PDF
106K
| Abstract)
"Do the Spreads between the E/P
Ratio and Interest Rates Contain Information on Future Equity Market Movements?"
with Douglas Rolph, RWP 99-03. (PDF
280 | Abstract)
"Breathing Room for Beta,"
with Sharon Kozicki, RWP 97-06. (Abstract
only)
"Bank Derivative Activity in the
1990s," with Ken Heinecke, RWP 95-12. (Abstract
only)
"Pricing Bid-Ask Spreads in Common Stocks, Liquidity Premium and the Small Firm
Effect," RWP 93-19.