Welcome to my home page!
I'm an Associate Professor at Copenhagen Business School, a Research Affiliate of the Centre for Economic Policy Research (CEPR) and a Research Fellow of the Danish Finance Institute (DFI). I work in the area of Household Finance and Macroeconomics.
Contact Details
Copenhagen Business School
Department of Finance
Solbjerg Plads 3
2000 Frederiksberg
Denmark
News
January '26: paper "Heterogeneity in MPCs and Unexplained Variation in Consumption Expenditures" accepted at Economic Letters!
September '25: new draft for paper "Expectation and Wealth Heterogeneity in the Macroeconomy"
February '25: I have taken over the organization of the CEPR Advanced Forum of Financial Economics CAFFE (with Laurent Calvet)!
October '24: I have taken over the organization of the CEPR Household Finance Seminar Series (with Marieke Bos)!
Research Interests
Household Finance, Macroeconomics, Real Estate
Seminar Organization
CEPR Household Finance Seminar Series (organizer together with Marieke Bos)
CEPR Advanced Forum in Financial Economics (CAFFE) (organizer together Laurent Calvet & Simon Rother)
Workshop: Household Savings and Macroprudential Regulation (Copenhagen 29/30 May 2024)
Working Papers
Expectation and Wealth Heterogeneity in the Macroeconomy (NEW DRAFT!) (with Tobias Broer, Alexandre Kohlhas, and Kurt Mitman), R&R at Journal of Political Economy, CEPR Discussion Paper 15934
We document systematic differences in macroeconomic expectations across US households and rationalize our findings with a theory of information choice. We embed this theory into an incomplete-markets model with aggregate risk. Our model is quantitatively consistent with the pattern of expectation heterogeneity in the data. In comparison to a full-information counterpart, our model suggests substantially increased macroeconomic volatility and inequality. We show through a series of examples that neglecting the information channel can lead to erroneous conclusions about the effects of macroeconomic policies. While in the model without information choice, a wealth tax, for example, reduces wealth inequality, in our framework it reduces information acquired, leading to increased volatility and higher top-end inequality in equilibrium.
Work in Progress
Household Savings and Macroprudential Regulation (with Matilda Kilstrom, Ofer Setty and Roine Vestman)
Portfolio Choice during Retirement (with Ofer Setty)
Publications
Designing Pension Plans According to Consumption-Savings Theory (with Ofer Setty and Roine Vestman), forthcoming at Review of Financial Studies.
We derive optimal characteristics of contribution rates into defined-contribution pension plans based on consumption-savings theory. Contribution rates should increase with age and decrease with the balance-to-income ratio. Using registry data from Sweden, we show that on average, individuals save according to those principles. However, almost half of the population behaves hand-to-mouth and does not undo the mandated constant contribution rates. In a quantitative model, designing contribution rates to follow the principles implies a 1.8% welfare gain, and less dispersed replacement rates, while maintaining the same average replacement rate. Results are robust to various sources of model misspecification, including temptation preferences.
Heterogeneity in MPCs and Unexplained Variation in Consumption Expenditures (with Filip Rozsypal), forthcoming at Economic Letters.
Quantile regression is a popular method to estimate the dispersion in MPCs in the population. We discuss the challenges that this method faces given the large unexplained variation in consumption expenditures in survey data. We highlight that quantile regression estimates do not recover the distribution of MPCs if either unexplained variation is due to measurement error or if differences in MPCs are partly driven by ex ante heterogeneity across households. To quantify the likely extent of the bias, we propose a simulation-based approach where we back out the underlying distribution of MPCs for a range of calibrations that attribute the unexplained variation to a split between unobserved factors and measurement noise. All results point in the same direction: the true distribution of MPCs is significantly more dispersed than what is estimated by quantile regression.
Overpersistence Bias in Individual Income Expectations and its Aggregate Implications (with Filip Rozsypal), American Economic Journal: Macroeconomics, 15(4), October 2023, pp.331-371.
Using micro level data, we document systematic forecast errors in household income expectations that are related to the level of income. We show that these errors can be formalized by a modest deviation from rational expectations, where agents overestimate the persistence of their income process. We then investigate the implications of these distortions on consumption and savings behavior and find two effects. First, these distortions allow an otherwise fully optimization-based quantitative model to match the joint distribution of liquid assets and income. Second, the bias alters the distribution of marginal propensities to consume which makes government stimulus policies less effective.
On the Possibility of Krusell-Smith Equilibria (with Tobias Broer, Alexandre Kohlhas, and Kurt Mitman), Journal of Economic Dynamics and Control, 141, August 2022, 104391.
Solutions to macroeconomic models with wealth inequality and aggregate shocks often rely on the assumption of limited but common information among households. We show that this assumption is inconsistent with rational information choice for plausible information costs. To do so, we embed information choice into the workhorse heterogeneous-agent model with aggregate risk (Krusell and Smith, 1998). First, we demonstrate that the benefits of acquiring more precise information about the state of the economy depend crucially on household wealth. Second, we show that such heterogeneous incentives to acquire information combine with the strategic substitutability of savings choices to imply that equilibria in which households acquire the same information do not exist for plausible information costs. Finally, we document that a representative-agent equilibrium may not exist even in the absence of exogenous sources of wealth heterogeneity.
Housing, Mortgages, and Self-Control, Review of Financial Studies, 34(5), May 2021, pp.2648–2687.
Using a quantitative theoretical framework this paper analyzes how problems of self-control influence housing and mortgage decisions. The results show that people with stronger problems of self-control are less likely to become homeowners, even though houses serve as commitment for saving. The paper then investigates the welfare effects of regulating mortgage products if people differ in their degree of self-control. Holding house prices fixed, higher down payment requirements and restrictions on refinancing turn out to be beneficial to people with sufficiently strong problems of self-control, even though these policies restrict access to the commitment device.
in the media: podcast "Rig på viden"
Rules of Thumb in Life-Cycle Saving Decisions (with Joachim Winter and Ralf Rodepeter), Economic Journal, 122, May 2012, pp.479–501 (Matlab code)
We analyse life-cycle saving decisions when households use simple heuristics, or rules of thumb, rather than solve the underlying intertemporal optimisation problem. We simulate life-cycle saving decisions using three simple rules and compute utility losses relative to the solution of the optimisation problem. Our simulations suggest that utility losses induced by following simple decision rules are relatively low. Moreover, the two main saving motives reflected by the canonical life-cycle model – long-run consumption smoothing and short-run insurance against income shocks – can be addressed quite well by saving rules that do not require computationally demanding tasks, such as backwards induction.
last updated: 09 January 2026