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Technology Trade with Asymmetric Tax Regimes and Heterogeneous Labor Markets: Implications for Macro Quantities and Asset Prices
(2017-10-05)
The international diffusion of technology plays a key role in stimulating global growth and explaining co-movements of international equity returns. Existing empirical evidence suggests that countries are heterogeneous in ...
Temperature Shocks and Welfare Costs
(2018-01-22)
This paper examines the welfare implications of rising temperatures. Using a standard VAR, we empirically show that a temperature shock has a sizable, negative and statistically significant impact on TFP, output, and labor ...
International Capital Markets with Time-Varying Preferences
(2017-08-02)
We propose a 2-country asset-pricing model where agents' preferences change endogenously as a function of the popularity of internationally traded goods. We determine the effect of the time-variation of preferences on ...
Innovation Dynamics and Fiscal Policy: Implications for Growth, Asset Prices, and Welfare
(2017-04-13)
"We study the general equilibrium implications of different fiscal policies on macroeconomic quantities, asset prices, and welfare by utilizing two endogenous growth models. The expanding variety model features only ...
Heterogeneity in the Internationalization of R&D: Implications for Anomalies in Finance and Macroeconomics
(2017-10-17)
Empirical evidence suggests that investments in research and development (R&D) by older and larger firms are more spread out internationally than R&D investments by younger and smaller firms. In this paper, I explore the ...
Level and Slope of Volatility Smiles in Long-Run Risk Models
(2017-10-16)
We propose a long-run risk model with stochastic volatility, a time-varying mean reversion level of volatility, and jumps in the state variables. The special feature of our model is that the jump intensity is not affine ...
Global Temperature, R&D Expenditure, and Growth
(2017-11-15)
We shed new light on the macroeconomic effects of rising temperatures. In the data, a shock to global temperature dampens expenditures in research and development (R&D). We rationalize this empirical evidence within a ...
The Collateralizability Premium
(2019-10-09)
A common prediction of macroeconomic models of credit market frictions is that the tightness of financial constraints is countercyclical. As a result, theory implies a negative collateralizability premium, that is, capital ...
Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution
(2020-01-27)
We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that ...
Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models
(2021-01-22)
"Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the aggregate stock market. We propose a simple empirical test ...