Photo of Thien T. Nguyen

Thien T. Nguyen

Research Interests: asset pricing, financial markets, macroeconomics, public finance, financial institutions

Links: CV, SSRN


I am on the job market this year and will be available for interviews during the ASSA meetings in Philadelphia from 1/3 to 1/5.


Cell Phone: 714-280-3527


"Bank Capital Requirements: A Quantitative Analysis"


This paper examines the welfare implications of bank capital requirements in a general equilibrium model in which a dynamic banking sector endogenously determines aggregate growth. Due to government bailouts, banks engage in risk-shifting, thereby depressing investment efficiency; furthermore, they over-lever, causing fragility in the financial sector. Capital regulation can address these distortions and has a first-order effect on both growth and welfare. In the model, the optimal level of minimum Tier 1 capital requirement is 8%, greater than that prescribed by both Basel II and III. Increasing bank capital requirements can produce welfare gains greater than 1% of lifetime consumption.

"Fiscal Policy and the Distribution of Consumption Risk"

(with Mariano Massimiliano Croce and Lukas Schmid) [Submitted]

This paper studies fiscal policy design in an economy in which (i) the representative household has recursive preferences, and (ii) growth is endogenously sustained through innovations whose market value depends on the tax system. By reallocating tax distortions through debt, fiscal policy alters both the composition of intertemporal consumption risk and the incentives to innovate. Tax policies aimed at short-run stabilization may substantially increase long run tax and growth risks and reduce both average growth and welfare. In contrast, policies oriented toward long-run stabilization increase growth, wealth and welfare by lowering the slope of the term structure of equity yields.

"Fiscal Policies and Asset Prices"

Review of Financial Studies, 25(9), 2012 (Lead article)

(with Mariano Massimiliano Croce, Kung Howard and Lukas Schmid)

The surge in public debt triggered by the financial crisis has raised uncertainty about future tax pressure and economic activity. We examine the asset pricing effects of fiscal policies in a production-based general equilibrium model in which taxation affects corporate decisions by: (1) distorting profits and investment; (2) reducing the cost of debt through a tax shield; and (3) depressing productivity growth. In settings with recursive preferences, these three tax-based channels generate sizable risk premia, making tax uncertainty a first-order concern. We document further that corporate tax smoothing can substantially alter the effects of public expenditure shocks.

"The market price of fiscal uncertainty"

Journal of Monetary Economics, 59(5), 2012

(with Mariano Massimiliano Croce and Lukas Schmid)

Recent fiscal interventions have raised concerns about US public debt, future distortionary tax pressure, and long-run growth potential. We explore the long-run implications of public financing policies aimed at short-run stabilization when: (i) agents are sensitive to model uncertainty, as in Hansen and Sargent (2007), and (ii) growth is endogenous, as in Romer (1990). We find that countercyclical deficit policies promoting short-run stabilization reduce the price of model uncertainty at the cost of significantly increasing the amount of long-run risk. Ultimately these tax policies depress innovation and long-run growth and may produce welfare losses.


Nippon Life Professor of Finance and Economics
The Wharton School 
University of Pennsylvania
Assistant Professor of Finance 
Kenan-Flagler Business School 
UNC at Chapel Hill 
Professor of Finance
The Wharton School 
University of Pennsylvania
Howard Butcher III Professor of Finance
The Wharton School
University of Pennsylvania
Safra Professor of International Finance and Capital Markets
Professor of Finance
The Wharton School 
University of Pennsylvania
Robert Morris Professor of Banking
Professor of Finance
The Wharton School
University of Pennsylvania