Since the explosion of the Russia-Ukraine war, the global stock markets have experienced considerable oscillation. Using data for 86 countries, this paper provides a comprehensive analysis to identify the roles of geopolitical, economic, institutional, humanitarian, industrial, and firm-related...

We propose a model where monetary policy is the key determinant of aggregate asset prices (financial conditions). Spending decisions are made by a group of agents ("households") that respond to aggregate asset prices, but with noise, delays, and inertia. Asset pricing is determined by a...

Barro et al. (2022) investigate the quantity of safe assets held in the cross-section of developed countries and find that the average safe-asset ratio (ratio of safe assets to total assets) was 37% in 2015 and has remained relatively stable over time. They also document a crowding-out...

We propose a new non-linear single-factor asset pricing model. Despite its parsimony, this model represents exactly any non-linear model with an arbitrary number of factors and loadings - a consequence of the Kolmogorov-Arnold representation theorem. It features only one pricing component...

We develop a segmented markets model which rationalizes the effects of monetary policy on the term structure of interest rates. When arbitrageurs' portfolio features positive duration, an unexpected rise in the short rate lowers their wealth and raises term premia. A calibration to the U.S....

We study the impact of green investors on stock prices in a dynamic equilibrium model where investors are green, passive or active. Green investors track an index that progressively excludes the stocks of the brownest firms; passive investors hold a value-weighted index of all stocks; and active...

We measure the nature and severity of a variety of belief distortions in market reactions to hundreds of economic news events using a new methodology that synthesizes estimation of a structural asset pricing model with algorithmic machine learning to quantify bias. We estimate that investors...

We investigate the determinants of emerging markets performance during five U.S. Federal Reserve monetary tightening and easing cycles during 2004-2023. We study how macroeconomic and institutional conditions of an Emerging Market (EM) at the beginning of a cycle explain EM resilience during...

Spanish Abstarct: Este documento responde a la pregunta de muchos alumnos: ¿tan mal está España? Lo primero: diferenciar entre España y el “Estado” (un trozo importante de España). Se muestran los datos principales a los que hemos tenido acceso. Las cuentas del Estado Español son muy...

We investigate the emergence of momentum and reversal anomalies in a general equilibrium model with complete markets and cognitively biased agents, accounting for the presence of representativeness heuristic, conservatism, and anchoring and adjusting in their beliefs. We characterize anomalies...