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Macroeconomics and Fiscal Policy

Photo: UHH/Dingler

Research

Publications:

1. "Asset Prices with Non-Permanent Shocks to Consumption" with Walter Pohl and Karl Schmedders (2016), Journal of Economic Dynamics and Control, 69, 152-178. Download

2. "Stochastic Integrated Assessment of Ecosystem Tipping Risk" with Thomas Lontzek and Daiju Narita (2016), Environmental and Resource Economics, 65(3), 573-598. Download

3. "Higher-Order Effects in Asset-Pricing Models with Long-Run Risks" with Walter Pohl and Karl Schmedders (2018), Journal of Finance, 73(3), 1061-1111. Download Replication Codes

4. "Asset Pricing with Heterogeneous Agents and Long-Run Risk" with Walter Pohl and Karl Schmedders (2021), Journal of Financial Economics, 140(3), 941-964. Download; Appendix; Codes

5. "Adaptive Grids for the Estimation of Dynamic Models", with Andreas Lanz and Gregor Reich (2022), Quantitative Marketing and Economics, 20, 179-238. Download

6. "Where is the Carbon Premium? Global Performance of Green and Brown Stocks", with Michael Bauer, Daniel Huber and Glenn Rudebusch (2022). Journal of Climate Finance, 1. Download

7. "Existence of the Wealth-Consumption Ratio in Asset Pricing Models with Recursive Preferences",  with Walter Pohl and Karl Schmedders (2023). Review of Financial Studies. Download; Suppl. Material

8. "Asset Pricing with Time Preference Shocks: Existence and Uniqueness", with John Stachurski and Junnan Zhang (2024). Journal of Economic Theory, 216, 105781. Download 

9. "Small Data: Efficient Inference with Occasionally Observed States",  with Alexandros Gilch, Andreas Lanz, Philipp Müller and Gregor Reich. Accepted at Management Science . Download  (Dec 2024)

10. "Horizon effects in the pricing kernel: How investors price short-term versus long-term risks", with Joost Driessen and Joren Koeter. Accepted at Journal of Financial and Quantitative Analysis. Download  (Oct 2024)


Research in Progress

11.  "Corporate Green Pledges",  with Michael Bauer, with Daniel Huber, Eric Offner and Marlene Renkel. R&R at Review of Financial Studies. Download (Nov 2024)

12.  "Asset Pricing with Disagreement about Climate Risks",  with Thomas Lontzek, Walter Pohl, Karl Schmedders and Marco Thalhammer. R&R at Management Science. Download (Feb 2025)

13. "The Term Structure of Equity Risk Premia and Financial Integration: Insights from 150 Years of UK Data", with Jens Kværner and Jan Sandoval (May 2025)

14. "Asymptotic Properties of the Maximum Likelihood Estimator under Occasionally Observed States", with Alexandros Gilch and Gregor Reich. Download (Jan 2025)


Crowd-sourced Publications:

15. "Unique Solutions to Power-Transformed Affine Systems",  with John Stachurski and Junnan Zhang (2025). Accepted at Journal of Mathematical Analysis and Applications. Download 

16. "Reproducibility in Management Science", with many others (2024). Management Science, 20(3), 1343-2022. Download