Welcome! I am an Assistant Professor in Finance

of ICEF at Higher School of Economics in Moscow.

Research interests

Asset pricing, financial economics, behavioral macro-finance, general equilibrium theory

Working papers

This paper provides a general framework to model bounded rationality in dynamic stochastic general equilibrium models with infinitely lived heterogeneous agents. A boundedly rational agent is associated with an information set I and an extra parameter epsilon, which can be interpreted as the “level of irrationality”. To make decisions, the boundedly rational agent forms a belief of a stationary joint distribution of the exogenous and endogenous variables and uses the marginal distribution (conditional on I) to form forecasts. If the equilibrium distribution stays within epsilon of the forecasted next period distribution, the agent would consider it as epsilon-stationary. In equilibrium, each agent maximizes utility with an epsilon-stationary belief and markets clear. The main theorem of this paper shows that for any strictly positive epsilon, a recursive equilibrium exists. With a quantifiable ``level of irrationality'', the model incorporates many behavioral economics models as well as rational-expectations models with computational approximations into a unified framework. An illustration example is presented to show that the boundedly rational recursive equilibrium may substantially enrich the asset pricing dynamics of the rational-expectations model even for small epsilon.

Non-convexities and discrete choices have become important modeling tools in modern macro-economics. Unfortunately, existence of competitive equilibria in the presence of such non-convexities is not always ensured and most results on the existence of equilibrium that can be found in the literature consider a very general model and are not directly applicable to the macro-models used in the literature. In this paper we explain the three main problems one needs to face when proving existence and give simple sufficient conditions for the existence of competitive equilibria in stochastic OLG models with discrete choices and non-convex preferences. We also consider a version of the model without aggregate uncertainty but with bankruptcy and default and prove existence of a steady state equilibrium.

Self-justified momentum and puzzles in macro-finance (in process)

This paper provides a simple dynamic general equilibrium model that can generate short-term momentum and long-term reversal effect of excess stock returns with incomplete markets due to collateral constraints. The model also helps to understand quantitatively some of the puzzling empirical regularities in macro-finance. I assume there are two types of bounded rational agents: the fundamentalists and the speculators. The fundamentalists believe that future asset prices are determined by exogenous shocks and dividends. The speculator believes the excess stock return has a short-term momentum and long-term reversal regardless of exogenous shocks. These beliefs are not common knowledge. In equilibrium, both agents maximize utilities with these beliefs and markets clear. Both types of agents partially capture the law of motion of the asset prices in equilibrium. I show that in calibrated simulations, both types of agents survive and there is a significant short-term momentum of excess stock returns. The calibrated data helps to explain several puzzling empirical regularities.



ICEF, High School of Economics