About
14
Publications
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Introduction
My research interests include macro-finance and asset pricing.
My projects focus on two agendas:
(1) Understanding the role that fluctuations in uncertainty play in explaining asset-prices and economic growth. I examine the macroeconomic and financial implications of different facets of uncertainty;
(2) Documenting novel relationships between firms' production decisions and risk premia, and explaining these quantitatively in production economies. I focus primarily on production networks
Current institution
Education
September 2010 - May 2016
Publications
Publications (14)
We study the interaction of flexible capital utilization and depreciation for expected returns and investment of firms. Empirically, an investment strategy that buys (sells) equities with low (high) utilization rates earns 5% per annum. Utilization predicts excess returns beyond other production-based variables. We reconcile this novel utilization...
The data-generating process underlying productivity includes both trend and business cycle shocks, generating counterfactuals for prices under full information. In practice, agents’ inability to immediately distinguish between the two shocks creates “rational confusion”: each shock inherits properties of its counterpart. This confusion magnifies th...
We study the relation between trade credit, asset prices, and production-network linkages. Empirically, firms extending more trade credit earn 7.6% p.a. lower risk premiums and maintain longer relationships with customers. Using a production-based model, we quantitatively explain these novel facts. Trade credit reduces the departure probability of...
We examine empirically and theoretically the relation between firms’ risk and distance to consumers in a production network. We document two novel facts: firms farther away from consumers have higher risk premiums and higher exposure to aggregate productivity. We quantitatively explain these findings using a general equilibrium model featuring a mu...
What is the impact of higher technological volatility on asset prices and macroeconomic aggregates? I find the answer hinges on its sectoral origin. Volatility that originates from the consumption (investment) sector drops (raises) macroeconomic growth rates and stock prices. Moreover, consumption (investment) sector's technological volatility has...
In the first chapter (``Good and Bad Uncertainty: Macroeconomic and Financial Market Implications'' with Ivan Shaliastovich and Amir Yaron) we decompose aggregate uncertainty into `good' and `bad' volatility components, associated with positive and negative innovations to macroeconomic growth. We document that in line with our theoretical framework...
Does macroeconomic uncertainty increase or decrease aggregate growth and asset prices? To address this question, we decompose aggregate uncertainty into ‘good’ and ‘bad’ volatility components, associated with positive and negative innovations to macroeconomic growth. We document that in line with our theoretical framework, these two uncertainties h...
