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 in my CV.
NYU Stern School of Business
44 West Fourth Street, 9-81
New York, NY 10012
Journal of Finance, Forthcoming
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.
Outstanding PhD Paper Award in Honor of Stuart I. Greenbaum, Olin Business School at Washington University St. Louis (2015) | Annual Conference on International Finance Best Paper Award (2016) | Cubist Systematic Strategies Award (2016)
We relate the risk characteristics of currencies to measures of physical, cultural, and institutional distance. The currencies of countries which are more distant from other countries are more exposed to systematic currency risk. This is due to a gravity effect in the factor structure of bilateral exchange rates: When a currency appreciates against a basket of other currencies, its bilateral exchange rate appreciates more against the currencies of distant countries. As a result, currencies of peripheral countries are more exposed to the systematic variation than currencies of central countries. Trade network centrality is the best predictor of a currency's average exposure to systematic risk.