Vlog: Searching for the Equity Premium

The article on "Searching for the Equity Premium" (Bai and Zhang 2022) has just been published in the February 2022 issue of Journal of Financial Economics. Our key insight is that a DSGE model with recursive utility, search frictions, and capital accumulation is a good start to forming a unified theory of asset prices and business cycles.

Please see the article, slides, and presentation:

This work is the latest development in our research program that aims to integrate macro labor with asset pricing in order to explain the equity premium puzzle in general equilibrium production economies.

Prior contributions in this research program include "Endogenous Disasters" (Petrosky-Nadeau, Zhang, and Kuehn 2018) at American Economic Review. Please see the article, slides, codes, and presentation:

Another contribution in this research program is "Solving the Diamond-Mortensen-Pissarides Model Accurately" (Petrosky-Nadeau and Zhang 2017) at Quantitative Economics. Please see the article, slides, codes, and presentation: