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Working Papers
8. Income and Inequality under Asymptotically Full Automation (with Philip Bond) -- new draft (July 2025)
Recent progress in artificial intelligence raises the prospect that, asymptotically, all tasks will be automated. We characterize the consequences for capital and labor markets of such automation when capital returns and wages are determined by standard economic forces. We obtain a simple condition for whether the capital share asymptotes to one (capital dominance). Our model provides a natural setting for policy analysis; the negative consequences of capital dominance are better ameliorated via taxation-funded ``basic income'' than by deliberate automation retardation. The capital-dominance condition maps to observables, and a first-pass calibration suggests that current automation rates will not generate capital dominance.
7. Sovereign Bond Restructuring: Commitment vs Flexibility (with Jason R. Donaldson and Giorgia Piacentino) -- (May 2024)
Sovereigns in distress often engage in bond restructuring. Does the commitment not to restructure one class of bonds benefit that class? Does it benefit other classes too? Evidence from a landmark UK High Court ruling and the Argentine restructuring saga suggests the answers are yes and yes.
6. Positioning Risk -- (September 2024)
Risk profiles of individual assets vary with investor positioning. Hedge-fund positions in currency futures strongly predict exchange rate exposure to equity markets ("betas''). Hedge funds and their intermediary counterparties unwind futures positions with negative equity market shocks. Unwinding in futures translates into spot exchange rate betas only when hedge fund positioning is matched by intermediary counterparties, since hedging by intermediaries between futures and spot positions transmits demand shocks from futures to spot markets.
Published and Accepted Papers
5. The Present Value of Future Market Power (with Thummim Cho, Marco Grotteria, and Howard Kung), Review of Financial Studies (forthcoming)
4. Long-Horizon Exchange Rate Expectations (with Ian Martin and Liliana Varela), Journal of Finance (forthcoming)
3. Scale or Yield? A Present-Value Identity (with Thummim Cho, Dongryeol Lee, and Christopher Polk), Review of Financial Studies (2024), 37:3:950-988
Best Paper, 8th Melbourne Asset Pricing Meeting, 2021.
2. Currency Redenomination Risk, Journal of Financial and Quantitative Analysis (2024), 59:6:2838-2868
Best Job Market Paper, 1st LTI Asset Pricing Conference, Collegio Carlo Alberto (Turin), 2018.
1. The Quanto Theory of Exchange Rates (with Ian Martin), American Economic Review (2019), 109:3:810-843
Internet Appendix Slides Erratum
Best Paper Award, Annual Conference in International Finance 2017,
SIX Best Paper Award, Annual Conference of the Swiss Society for Financial Market Research, 2018,
Runner-up, Best Conference Paper, Vienna Symposium on FX Markets 2018.
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