Research

Job Market Paper

Abstract We develop a continuous-time endowment economy model of the US with inflation and the central bank’s interest rate adjustments as observable risk factors. We show that they have predictive power for consumption growth and can explain many features of the aggregate stock and bond market. We derive the price-dividend ratio, the equity premium, the risk-free rate, and the term structure of interest rates. We show in a calibrated model that inflation and the federal funds rate adequately predict those key asset pricing moments. The model offers a novel mechanism to explain the variation in the aggregate price-dividend ratio and the risk-free rate as it relies on observable rather than latent risk factors.

Working Papers (available for download from SSRN)

Abstract We develop a representative agent asset pricing model with tractable self-exciting consumption disasters. Compared to models with a constant disaster probability, our model increases the risk of consecutive shocks causing a large consumption drop over several years, as observed empirically. We introduce the possibility of controlling the magnitude or the probability of disasters through costly interventions. When calibrated to OECD data, the model matches the dynamics of economic disasters, the first three unconditional moments of consumption growth, the riskfree rate, the equity premium, and the stock market’s price-dividend ratio using reasonable preference parameters and moderate jump sizes

Abstract This paper is the first to analyze the performance of non-professional individuals selling personal belongings. We study a novel hand-collected data set from a popular German TV show and find that women obtain on average about 7.3% less than men. This gap cannot fully be explained by known moderators for professionals. We document a novel relationship between age, education and negotiation outcomes of females. In particular, we find that midlife women working in the industry performs well as men, whereas most other women obtain much less than men. Remarkably, female teams perform significantly better than single females.

Abstract We review the literature on long-run risk and rare disaster risk models in asset pricing. Both frameworks have the ability to provide explanations for various asset pricing puzzles. However, both frameworks have been criticized for their lack of ability to match consumption and dividend dynamics. To address this criticism and to explain more stylized facts from the empirical asset pricing literature such as the impact of climate change on asset prices, new approaches have been developed in recent years. These approaches can be interpreted as combinations of long-run risk models and rare disaster risk blurring the lines between those classical asset pricing frameworks.

Work in Progress 

  • Asset Pricing with Inflation and Physical Climate Risk (with Christoph Hambel)
  • Energy Consumption and Household Portfolio Choice (with Christoph Hambel and Marlene Koch)

Talks and Conferences