Curriculum Vitae: PDF

Research interests: Asset pricing, Macroeconomics, Productivity measurement

Publications and working papers:

"The Technology Gap and Consumption Predictability", 2009 (job market paper)

This paper finds a new consumption growth predictor linked to macroeconomic fundamentals: the technology gap, the difference in
productivity between new and existing capital. I construct a representative firm business cycle model, in which the technology
gap generates specific patterns of short- and long-run consumption growth and consumption growth volatility. Intuitively, a high
technology gap acts as an economic shock that lowers consumption in the short term, but increases consumption in the long term due to
a higher future productivity level. I use quality-adjusted price indexes of durable investment goods to create a proxy for the
technology gap. Consistent with the model, I find empirical evidence that a high technology gap predicts: (i) economic troughs in the
short run, (ii) strong consumption growth at longer horizons, (iii) high consumption growth volatility, and (iv) high risk-free rate.
The technology gap is thus a powerful consumption growth predictor with a strong economic foundation.

"Long-run Consumption Risk and Expected Returns", 2007

This paper tests the existing durable consumption-based asset pricing model of Yogo (2006). Consumption risk is measured by the
covariance between asset returns and future durable consumption growth, rather than contemporaneous growth, as in the original
model. I present empirical evidence that excess returns on Fama-French portfolios are correlated more with future than
contemporaneous durable consumption growth. Because of that, the estimate of risk aversion decreases from over 200 in the original
model to below 10 in my version of the model. I also find that the altered consumption risk measure increases the explanatory power of the model.
I approximate the original model to estimate it in the simple OLS framework. Cross-sectional R² is highest when the consumption growth is
sampled over six to eight quarters ahead. This result is robust to different sets of test assets.

"Equity Volatility and Credit Yield Spreads", 2006

"Venture Capital Distributions and Stock Returns", 2006

"Closed Credit Portfolio Migration Model", Warsaw School of Economics Research Journal, 35:29-43, 2003