• Publications
  • Influence
Conditional Risk Premia in Currency Markets and Other Asset Classes
The downside risk CAPM (DR-CAPM) can price the cross section of currency returns. The market-beta differential between high and low interest rate currencies is higher conditional on bad marketExpand
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International Liquidity and Exchange Rate Dynamics
We provide a theory of the determination of exchange rates based on capital flows in imperfect financial markets. Capital flows drive exchange rates by altering the balance sheets of financiers thatExpand
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Very Long-Run Discount Rates
We provide direct estimates of how agents trade off immediate costs and uncertain future benefits that occur in the very long run, 100 or more years away. We exploit a unique feature of housingExpand
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Climate Change and Long-Run Discount Rates: Evidence from Real Estate
The optimal investment to mitigate climate change crucially depends on the discount rate used to evaluate the investment’s uncertain future benefits. The appropriate discount rate is a function ofExpand
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Financial Intermediation, International Risk Sharing, and Reserve Currencies
I provide a framework for understanding the global financial architecture as an equilibrium outcome of the risk sharing between countries with different levels of financial development. The countryExpand
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A Model of the International Monetary System
We propose a simple model of the international monetary system. We study the world supply and demand for reserve assets denominated in different currencies under a variety of scenarios: under aExpand
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International Currencies and Capital Allocation
We establish currency as an important factor shaping global portfolios. Using a new security-level dataset, we demonstrate that investor holdings are biased toward their own currencies to such anExpand
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Five Facts About Beliefs and Portfolios
We administer a newly-designed survey to a large panel of wealthy retail investors. The survey elicits beliefs that are important for macroeconomics and finance, and matches respondents withExpand
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The U.S. Dollar Safety Premium
I show that the US dollar earns a safety premium versus a basket of foreign currencies and that this premium is particularly high in times of global financial stress. These findings support the viewExpand
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No-Bubble Condition: Model-Free Tests in Housing Markets
We test for the existence of housing bubbles associated with a failure of the transversality condition that requires the present value of payments occurring infinitely far in the future to be zero.Expand
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