I am a Ph.D. candidate in economics at Stanford University. My research areas are Financial Economics and Macroeconomics with a focus on asset pricing and subjective expectations.
I am on the job market during the 2023-24 academic year.
Job Market Paper
This paper shows how subjective beliefs of large dealer banks help understand the excess volatility in bond markets, the large volatility of long-term interest rates. I document that the interest rate exposures of primary dealers comove systematically with the interest-rate forecasts of their research departments, both in the cross-section of dealers as well as over time. In particular, primary dealers choose higher interest-rate risk exposures when they are more optimistic about the returns on long Treasury bonds relative to short T-bills. I develop and estimate an equilibrium model with dealer banks that have heterogenous interest-rate expectations. The quantitative model shows that the variation in dealers' beliefs about future interest rates is a strong mechanism to explain the volatility of long rates.
Disagreement about inflation expectations has been studied extensively, however, little attention has been given to disagreement about inflation uncertainty. I use survey data on subjective beliefs about the U.S. inflation to form groups of forecasters with similar beliefs using a measure of the distance between probability distributions. Disagreement about inflation expectations and volatilities have declined over 1969-2023, whereas disagreement about inflation tail risks have increased following 1999. Incorporating tail risk disagreement into a term-structure model implies a much larger term-premium at times of high bond market uncertainty compared to a yields-only model.
This paper examines how much speculative trade can be sustained in an economy when CRRA-utility agents have heterogeneous beliefs about aggregate consumption disasters but can walk away from their financial commitments. We find that that little or no speculative trade can be sustained in an economy without pledgeable income when agents are reasonably risk averse. In autarchy, the disaster risk premia are set by the pessimists. However, even small bailout subsidies in the disaster state may be sufficient to sustain lots of speculative trade, in turn inducing low disaster risk premia.