Research
Main Research Interests:
Macroeconomics
International Macro and Finance
Financial Economics
Working Papers:
The Dollar in and Era of International Retrenchment, with Ryan Chahrour, June 2023, R&R at the IMF Economic Review
Abstract: The recent geo-economic fragmentation is still unlikely to change the international position of the dollar, but even deeper fragmentation could lead to regionally-dominant currencies.
Exchange Rate Disconnect Revisited, with Ryan Chahrour, Vito Cormun, Pierre De Leo and Pablo Guerron, November 2023 [slides]
Abstract: Exchange rate fluctuations are tightly linked to noisy expectations of future TFP. The transmission of these noisy news shocks to exchange rate is primarily through deviations from interest parity.
Risky Business Cycles, with Susanto Basu, Giacomo Candian, and Ryan Chahrour, March 2023, R&R at the Journal of Political Economy [slides] [short slides]
Abstract: A shock explaining most changes in equity risk premia also explains most business-cycle comovements in aggregates. A real model with labor frictions and changes in risk aversion explains these facts.
Biased Surveys, with Luca Gemmi, August 2023, R&R at the Journal of Monetary Economics [slides]
Abstract: We posit and find supportive evidence of strategic incentives biasing surveys of professional forecasters
Dynamic Information Acquisition and Portfolio Bias, June 2017
Abstract: Dynamic information acquisition leads to portfolio bias and coordination in international investment.
Published Papers:
Economic Agents as Imperfect Problem Solvers, [slides] with Cosmin Ilut
Quarterly Journal of Economics, February 2023, Volume 138, Issue 1, Pages 313-362
Abstract: Bounded rationality model of costly cognition about optimal behavior, capturing System 1 and 2 thinking
-- funded by NSF Grant 1824405
[Online Appendix] [Replication Codes]
Beyond Home Bias: Information and Portfolio Holdings Heterogeneity, with Filippo De Marco and Marco Macchiavelli
The Review of Financial Studies, September 2022, Volume 35, Issue 9, Pages 4387–4422
Abstract: We show both empirically and theoretically that information frictions are important determinants of international portfolio holdings
-- subsumes a previous draft titled "International Diversification and Information Heterogeneity"
[Online Appendix] [Replication Codes]
Trade Finance and the Durability of the Dollar, with Ryan Chahrour
Review of Economic Studies, July 2022, Volume 89, Issue 4, Pages 1873–1910
Abstract: Persistent and endogenous "dominant currency" regimes due to the need for safe assets guaranteeing international trade.
-- subsumes a previous draft titled "The International Medium of Exchange"
[Online Appendix] [Replication Codes]
Paralyzed By Fear: Rigid and Discrete Pricing under Demand Uncertainty, with Cosmin Ilut and Nicolas Vincent
Econometrica, September 2020, vol. 88, no. 5 (pp. 1899-1938)
Abstract: Theory of price rigidity, memory and discreteness built on demand function uncertainty
[Online Appendix] [Replication Codes]
Bond Convenience Yields and Exchange Rate Dynamics
AEJ: Macroeconomics, April 2020, vol. 12, no.2 (pp. 124-66)
Abstract: Theory of time-varying and cyclical currency excess returns due to endogenous convenience yield differentials.
[Online Appendix] [Replication Codes]
Resting Papers:
"Real Estate Investors and the Housing Boom and Bust", with Jaromic Nosal and Ryan Chahrour
"Speculation and Hedging in CDS Markets: A Structural Estimation", with Lily Liu
Discussions (not complete list):
International Capital Markets and Wealth Transfers, by Magnus Dahlquist, Christian Heyerdahl-Larsen, Anna Pavlova and Julien Penasse, Paul Woolley Conference, LSE June 2023
The Convenience Yield, Inflation Expectations, and Public Debt Growth, by Zhiyu Fu, Jian Li, and Yinxi Xie, MFA March 2023
When Green Investors are Green Consumers, by Maxime Sauzet and Olivier Zerbib, GLMM September 2022