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Education

Ph.D., Economics, Carnegie-Mellon University (1976). Dissertation Area: Capital Theory
M.S., Economics, Carnegie-Mellon University (1974).
M.S., Mathematics, Carnegie-Mellon University, Pittsburgh, PA (1972).
B.S., Mathematics, Lafayette College, Easton, PA (1970). (Phi Beta Kappa).
Positions Held
Assistant Professor, Columbia University, 1977-1981.
Associate Professor, Columbia University, 1981-1984.
Professor, Columbia University, 1984-present.
Visiting Professor, Université de Lausanne, 1995.
Faculty Director, Doctoral Program, Columbia Business School; 2000-present
Visiting Professor, University of California, Santa Barbara; 2002
Research Grants

National Science Foundation Grant for the project entitled “Stochastic Properties of Dynamic Economies,” (with R. Mehra).

National Science Foundation Grant for the project entitled “Recursive Competitive Equilibrium: Some Theoretical Extensions,” (with R. Mehra).

National Science Foundation Grant for the project entitled “Dynamic Economics: Some Applications,” (with R. Mehra).

Research Focus

Equilibrium Asset Pricing
Dynamic Equilibrium Business Cycle Analysis
Courses Taught
Ph.D. level: Macroeconomics, Microeconomics
M.B.A. level: Macroeconomics, Microeconomics, Corporate Finance, Investment Management, Options; received Superior Teaching Award.
Completed Papers

"Executive Compensation: A General Equilibrium Perspective" (with J.P. Danthine). Forthcoming, Review of Economic Dynamics.

"Risk Based Explanations of the Equity Risk Premium" (with R. Mehra), Handbook of the Equity Risk Premium, Elsevier: Amsterdam, 2008.

"Distribution Risk and Equity Returns" (with J. P. Danthine and Paolo Siconolfi), Handbook of the Equity Risk Premium, Elsevier: Amsterdam, 2008.

"Junior is Rich: Bequests as Consumption," (with R. Mehra and G. Constantinides); Economic Theory, 32 (2007), 125-155.

"Introduction to Symposium on General Equilibrium, Incomplete Markets, and Sunspots," in honor of David Cass; with S. Spear, P. Siconolfi, H. Polemarchakis, Economic Theory, 24(2004), 465-468.

"Junior Must Pay: Pricing the Implicit Put in Privatizing Social Security," (with G. Constantinides and R. Mehra, Annals of Finance, 2005(2), 1-34.

"On the Consequence of State Dependent Preferences for the Pricing of Financial Assets," with J. P. Danthine and C. Giannikos, Financial Research Letters, 2004(1), 143-153.

"A Note on NNS Models: Introducing Physical Capital and Avoiding Rationing," (with J.P. Danthine), Economics Letters, 77(2002), 433-437.

"Labor Relations and Asset Pricing," (with J.P. Danthine), Review of Economic Studies, 69 (2002), 41-64.

"Asset Pricing in the Presence of Durable Goods," (with C. Giannikos), forthcoming, Journal of Economic Dynamics and Control.

"Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle," (with G. Constantinides and R. Mehra), forthcoming, Quarterly Journal of Economics.

"Macroeconomic Frictions: What Have We Learned from the Real Business Cycle Research Program," (with J.P. Danthine), forthcoming, Advances in Macroeconomic Theory, J. Dreze, editor, Palgrave (Macmillan).

"Non Falsified Expectations and General Equilibrium Asset Pricing: The Power of the Peso," (with J.P. Danthine), The Economic Journal, 109 (1999), 607-635.

"Productivity Growth, Consumer Confidence, and the Business Cycle," (with J.P. Danthine), European Economic Review, 42 (1998), 1113-1140. (view PDF)

"Non-Walsarian Economies," (with J.P. Danthine) in Frontiers of Business Cycle Research, T. Cooley, editor, Princeton University Press, 1995.

"Computing Equilibria of Non-Optimal Economies," (with J.P. Danthine), in Frontiers of Business Cycle Research, T. 000ley, editor, Princeton University Press, 1995.

"The Equity Premium and the Allocation of Income Risk," (with J.P. Danthine and R. Mehra), Journal of Economic Dynamics and Control, 16 (1992), 509-532. (view Abstract)

"Dynamic Decentralization," (with R. Mehra), Research Working Paper, Columbia University (1991); forthcoming The Encyclopedia of Business Cycles. Panics and Depression, edited by D. Glassner.

"El Compoartamients de Ia Estructura Temporal de los Tipos de lnteres en un Modelo de Ciclos Economicos," (with T. Johnsen and R. Mehra), Cuadernos Economicos de ICE, 48 (1992), 89-120.

"Risk Sharing and the Business Cycle," (with J.P. Danthine), European Economic Review, 36 (1992), 468-475.

"Methodological and Empirical Issues in Real Business Cycle Theory," (with J.P. Danthine), European Economic Review, 37, (1993), 1-36. (view Abstract)

"On Some Computational Aspects of Equilibrium Business Cycle Theory," (with J.P. Danthine and R. Mehra), Journal of Economic Dynamics and Control, 13 (1989), 449-470. 22. "Risk Sharing Labor Contracts and the Business Cycle," (with J.P. Danthine), in Eguilibrium Theory and Applications, Win. Barnett and A. Mas-Colell editors, Cambridge University Press.

"Efficiency Wages and the Business Cycle Puzzle," European Economic Review, 34(1990), 1275-1301.

"On the Superneutrality of Money in a Non-stochastic Dynamic Macroeconomic Model," Research Working Paper Columbia University, January 1986.

"Anticipation and the Aggregation of Sector Specific Shocks," (with J. Dutta), and Research Working Paper, Columbia University, revised January 1996.

"On the Superneutrality of Money in a Stochastic Dynamic Macroeconomic Model," (with J.P. Danthine and L. Smith), Journal of Monetary Economics, 20 (1987), 475-499.

"On the Term Structure of Interest Rates," (with T. Johnsen and R. Mehra), Journal of Economic Dynamics and Control, 14 (1990), 571-596.

"The Effects of Government Spending and Monetary Growth on Security and Commodity Price Dynamics," (with J.P. Danthine), Research Working Paper, Columbia University, July 1984.

"The Effects of Capital Income Taxation on the Dynamics of a Competitive Economy," Journal of Public Economics, 28 (1985), 255-265.

"Inflation and Asset Prices in an Exchange Economy," (with J.P. Danthine), Econometrica, 54 (1986) 585-606. (view Article).

"The Structure of lntertemporal Preferences Under Uncertainty and Time Consistent Plans," (with T. Johnsen), Econometrica, 53 (1985), 1451-1458. (view Article).

"Comparative Dynamics of an Equilibrium lntertemporal Asset Pricing Model," (with R. Mehra), Review of Economic Studies, 51(1 984), 491-508. Reprinted in "Growth Theory" - ed. By Becker and Burmeister, vol. Ill in International Library of Critical Writings in Economics ed. by Mark Blaug, Edgar Elgar Publishing Ltd., Cheltenham 1989.

"Investment, Stability, and Taxation in a Long Run Macro-economic Model," (with J.P. Danthine), Journal of Economic Dynamics and Control, 7(1984), 79-110.

"On the Impact of Shock Persistence on the Dynamics of A Recursive Economy," (with J.P. Danthine and R. Mehra), European Economic Review, 21(1983), 147-166.

 "A Note on Value Maximization for Consumption Sets in ~ Journal of Economic Theory, 11(1983), 282-312.

"Stochastic Growth with Correlated Production Shocks," (with R. Mehra), Journal of Economic Theory, 12 (1983) 282-312.

"On the Recoverability and Uniqueness of Changing Tastes in a Consumption-Savings Setting," (with L. Selden), Economic Letters, 8 (1981), 105-112.

"A Generalized Value Maximization Condition for Growth Paths with Finite Total Consumption Possibilities," International Economic Review, 25 (1981), 337-351.

"A Note on the Divergence Between Ex Ante and Ex Post Qptimality," (with L. Selden), Economic Letters, 9 (1981), 209-216.

"Certainty Planning in an Uncertain World: A Reconsideration," (with J.P. Danthine), Review of Economic Studies, 48 (1981), 507-510. (view article).

"Economic Rationalization of Fisheries: The Problem of Conflicting National Interest on Georges Bank," (with G. Pontecorvo) Journal of Ocean Development & International Law, 8 (1980), 149-169.

"Stochastic Properties of Fast vs. Slow Growth Economies, (with J.P. Danthine), Econometrica, 49 (1981), 1007-1033. (view article). Reprinted in "Growth Theory" edited by R. Becker and E. Burmeister, volume Ill of the International Library of Critical Writings in Economics, Edward Elgar Publishing Ltd., Cheltenham 1989.

Books

Intermediate Finance, (with J.P. Danthine), Prentice Hall Publishers, 2001

"Decentralized Energy Alternatives: Proceedings of the First Decentralized Energy Alternatives Symposium," (edited with E. Bietry), Columbia University and UN-DESA.

Intermediate Financial Theory, 2nd Edition (with J. P. Danthine), Elsevier Publishing, 2005.

Working Papers
"Executive Compensation and Stock Options: An Inconvenient Truth" (with J.P. Danthine).

"Unpleasant General Equilibrium Implications of Executive Incentive Compensation Contracts" (with N. Gershun and M. Giannoni).

Other Research in Various Stages of Progress
"A Reevaluation of the CEO Premium: Corporate Governance, Asset Returns, and the Business Cycle" (with Hungseok Kim).

"Delegated Management and Asset Risk in General Equilibrium" (with Natalia Gershun).

"The Distribution of Income and the Business Cycle."

"Services versus Manufacturing: A General Equilibrium Distinction."

"Anticipation and the Aggregation of Sector Specific Shocks" (with J. Dutta).

"Equilibrium Impact of Demographic Differences on Asset Pricing" (with R. Mehra and A. Maddaloni.)