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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.)
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