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Essays on institutions for financial stability
Essays in financial econometrics
Financial Development, Financial Fragility, and Growth
Is Small Beautiful? Financial Structure, Size and Access to Finance
Do Workers’ Remittances Promote Financial Development?
Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach
Three essays in financial economics; 3 essays in financial economics
Essays in applied financial economics
Essays in financial economics : terror, consumption, and investment, currency options and liquidity premium, and purchasing power parity
Essays on financial economics; Essays on asset pricing
Essays on the economics of education and health
The impact of financial incentives on firm behavior
Essays on Financial Economics and Macroeconomics
Reciprocity as the foundation of Financial Economics
Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models
How the full opening of the capital account to highly liquid financial markets led Latin America to two and a half cycles of 'mania, panic and crash'
How to create a financial crisis by trying to avoid one: the Brazilian 1999-financial collapse as "Macho-Monetarianism" can't handle "Bubble They Neighbour" levels of inflows
Essays in Financial Economics
The central puzzles in financial economics commonly include
violations of the expectations hypotheses, predictability of excess returns, and the levels and volatilities of nominal bond yields, in addition to well-known equity premium and the risk-free rate puzzles.
Equally surprising is the recent evidence on large moves in asset prices, and the over-pricing of the out-of-the-money index put options relative to standard models. In this work, I argue that the long-run risks type model can successfully explain these features of financial markets. I present robust empirical evidence which supports the main economic channels in the model. Finally, I develop econometric methods to estimate and test the model, and find that it delivers plausible preference and model parameters and provides a good fit to the asset-price and macroeconomic data.
In the first chapter, which is co-authored with Ravi Bansal, we present a long-run risks based equilibrium model that can quantitatively explain the violations of expectations hypotheses and predictability of returns in bond and currency markets. The key ingredients of the model include a low-frequency predictable component in consumption, time-varying consumption volatility and investor's preferences for early resolution of uncertainty. In this model...