I look into the impact of the frequency and persistence of risk, via a two-sector DSGE model in continuous time.

Building a heterogenous agent asset pricing model, this paper demonstrates the real impact of financial intermediaries on the reallocation in the economy.

We extend the heterogenous agent models in macroeconomics to consider recursive preferences and asset pricing in continuous time framework.

This paper analyzes the transmission of monetary policy via financing constraint in equity market to firm investment and stock returns.

This paper studies a general equilibrium model with heterogeneity in both risk aversion and beliefs about the expected growth rate of the aggregate endowment.