Research

Publications:

1. "Asset Prices with Non-Permanent Shocks to Consumption" with Walter Pohl and Karl Schmedders (2016), Journal of Economic Dynamics and Control, 69, 152-178. Download 

2. "Stochastic Integrated Assessment of Ecosystem Tipping Risk" with Thomas Lontzek and Daiju Narita (2016), Environmental and Resource Economics, 65(3), 573-598. Download

3. "Higher-Order Effects in Asset-Pricing Models with Long-Run Risks" with Walter Pohl and Karl Schmedders (2018), Journal of Finance, 73(3), 1061-1111. Download  Replication Codes

4. "Asset Pricing with Heterogeneous Agents and Long-Run Risk" with Walter Pohl and Karl Schmedders (2021), Journal of Financial Economics, 140(3), 941-964. Download; Appendix; Codes

5. "Adaptive Grids for the Estimation of Dynamic Models", with Andreas Lanz and Gregor Reich (2022), Quantitative Marketing and Economics, 20, 179-238. Download

6.  "Where is the Carbon Premium? Global Performance of Green and Brown Stocks",  with Michael Bauer, Daniel Huber and Glenn Rudebusch (2022). Journal of Climate Finance, 1. Download 

7. "Existence of the Wealth-Consumption Ratio in Asset Pricing Models with Recursive Preferences",  with Walter Pohl and Karl Schmedders (2023). Review of Financial Studies. Download; Suppl. Material

8. "Asset Pricing with Time Preference Shocks: Existence and Uniqueness", with John Stachurski and Junnan Zhang (2024). Journal of Economic Theory. Download 

Research in Progress:

9. "Small Data: Efficient Inference with Occasionally Observed States", R&R at Management Science (with Andreas Lanz, Philipp Müller and Gregor Reich). Download  (June 2023)

10. "Horizon effects in the pricing kernel: How investors price short-term versus long-term risks", R&R at Journal of Financial and Quantitative Analysis (with Joost Driessen and Joren Koeter). Download  (Dec 2022)

11.  "Asset Pricing with Disagreement about Climate Risks",  (with Thomas Lontzek, Walter Pohl, Karl Schmedders and Marco Thalhammer). Download (June 2023)

12.  "Corporate Green Pledges",  (with Michael Bauer, Daniel Huber, Eric Offner and Marlene Renkel). (Jan 2024)