Department of Economics
2001 Sheridan Road
Evanston, IL 60208
Ph.D., Economics, Northwestern University, 2017 (expected)
MA, Economics, Northwestern University, 2012
BA, Economics and Mathematics, Macalester College, 2009.
Primary Fields of Specialization
Financial Economics, Macroeconomics, Time Series Analysis
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Job Market Paper
“The Role of Long-run Risk and Valuation Risk in Explaining Nominal Bond Yields”. Download Latest Version (PDF).
This paper assesses the relative importance of long-run risk and valuation risk in accounting for the behavior of stock returns and nominal bond yields. I do so by estimating a consumption-based asset-pricing model that allows for both types of risk. I argue that valuation risk, modeled as persistent shocks to agents’ discount rates, plays a key role in accounting for the salient properties of the nominal yield curve. I also show that valuation risks are more correlated with statistical affine factors than long-run risks. I find that the valuation risks enter into the standard affine term structure model in a statistically significant manner, playing a particular role in accounting for movements in the long end of the yield curve.
Other Research Papers
- “Valuation Risk and Asset Pricing”, with Rui Albuquerque, Martin Eichenbaum, and Sergio Rebelo (Forthcoming, The Journal of Finance).
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Standard representative-agent models fail to account for the weak correlation between stock returns and measurable fundamentals, such as consumption and output growth. This failing, which underlies virtually all modern asset-pricing puzzles, arises because these models load all uncertainty onto the supply side of the economy. We propose a simple theory of asset pricing in which demand shocks play a central role. These shocks give rise to valuation risk that allows the model to account for key asset pricing moments, such as the equity premium, the bond term premium, and the weak correlation between stock returns and fundamentals.
- “Firm Heterogeneity and Emerging Market Dollar Debt: Evidence from Turkey”, with Husnu Dalgic and Gazi Kabas.
This paper uses a new data set on Turkish firm-level balance sheets to document a rapid increase in dollar-denominated debt between 2006 and 2013. This increase is particularly marked for non-exporting firms. Because these firms’ revenues are denominated in Lira, this development had made these firms more vulnerable to exchange rate risk. We explore alternative hypotheses that can account for why firms chose to take on added currency-mismatch risk.