I am an Assistant Professor of Finance at NYU Stern.
My research interests are in international finance, macroeconomics, and asset pricing.
More information is available my CV.
NYU Stern School of Business
44 West Fourth Street, 9-81
New York, NY 10012
I uncover an economic source of exposure to global risk that drives international asset prices. Countries which are more central in the global trade network have lower interest rates and currency risk premia. As a result, an investment strategy that is long in currencies of peripheral countries and short in currencies of central countries explains the unconditional returns to the carry trade. To explain these findings, I present a general equilibrium model where central countries' consumption growth is more exposed to global consumption growth shocks. This causes the currencies of central countries to appreciate in bad times, resulting in lower interest rates and currency risk premia. In the data, central countries' consumption growth is more correlated with world consumption growth than peripheral countries', further validating the proposed mechanism.
2015 Outstanding PhD Paper Award in Honor of Stuart I. Greenbaum, Olin Business School at Washington University St. Louis
Exchange rates strongly co-vary against their base currency. We uncover a gravity equation in this factor structure: the key determinant of a country's exchange rate beta on the common base factor is the country's distance from the base country. The farther the country, the larger the beta. For example, the beta of the CHF/USD exchange rate on the dollar factor is determined by the distance between Switzerland and the United States. Shared language, legal origin, shared border, resource similarity and colonial linkages also significantly lower the betas. On average, the exchange rates of peripheral countries tend to have high R2s in factor regressions, while central countries have low R2s. A no-arbitrage model of exchange rates replicates this distance-dependent factor structure when the exposure of pricing kernels to global risk factors is more similar for closer country pairs.