Mojtaba Hayati - Research

Working Papers

Scale-Dependent Returns and the Interest Rate (Job Market Paper) [SSRN]

Abstract:

I revisit the empirical relationship between wealth and returns on wealth of U.S. households over the past 70 years. While recent studies suggest that returns on wealth increase with wealth and that the richest households earn the highest returns, I show that this pattern is specific to post-1980. Before 1980, returns declined at the top 10 percent of the wealth distribution, and the bottom 90 percent had higher returns than the top 10 percent. I attribute this reversal to differences in households’ exposure to interest rate risk. Because wealthier households tend to hold longer-duration assets, such as stocks and private businesses, changes in real interest rates affect their portfolios more strongly. When real rates rose, as they did before 1980, the top 10 percent households experienced lower returns, whereas falling real rates after 1980 boosted their returns. To explain why wealthier households hold longer-duration assets, I develop a model in which households select portfolio duration to hedge their income risk. Since richer households’ income correlates more with short-term interest rates, they optimally choose a longer-duration (countercyclical) to hedge this exposure.

Presentations:

AFA 2026 @ Philadelphia* (Poster), CEPR Symposium 2024 @ Paris (Poster), Finance and Inequality Conference @ Bonn, SGF Conference 2025 @ Zurich (Poster), Fourth PhD Workshop in Money and Finance of Sveriges Riksbank @ Stockholm, SFI Research Days @ Gerzensee, SFI PhD Workshop @ Zurich, PhD Brown Bag @ Wharton, Macro Lunch @ Penn, Inter-Finance PhD Seminar, Finance Brown Bag @ Zurich.

* Scheduled

Work in Progress

Monetary Policy and Stock Market: A Preferred Habitat View of the Term-Structure of Equity

Abstract:

Using a preferred habitat model of term structure for equities and bonds, I study how monetary policy surprises affect asset prices, specifically stocks. I find that during the non-crises period, where the arbitrage capacity of the economy is high, monetary policy surprise affects asset prices through movements in yields, and during the non-crises period, when arbitrage capacity is low, it is mostly through movements in the risk premium. This model reconciled the conflicting empirical evidence for this effect.

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Discussions

Asset Pricing with Complexity (Mads Nielsen), Discussed at SFI Research Days, Gerzensee 2022.
Intermediaries with Something to Lose: On the Origins and Consequences of Bank Failures (Goutham Gopalakrishna), Discussed at UZH-computational doctoral seminar, Zurich 2022
On the Determinants of Transaction-Based Discount Rates (Joël Vonlanthen), Discussed at SFI Research Days, Gerzensee 2023.
Not-So-Cleansing Recessions (Igli Bajo, Frederik H. Bennhoff, and Alessandro Ferrari), Discussed at SFI PhD Workshop, Zurich 2024.
Catching a falling knife: Global investment funds as shock absorbers in world asset markets (Nicola Benigni, Torsten Ehlers, Mathias Hoffmann, Boris Hofmann and Christian Schmieder), Discussed at SFI Research Days, Gerzensee 2025.