astathopoulos

Andreas Stathopoulos

PhD Candidate
Finance and Economics

[CV]

Contact Information

Columbia University
Graduate School of Business
Uris Hall 5R
Phone: 646 784 0464
Email: as2554@columbia.edu

Research

Interests: Asset Pricing, International Finance, Investments, Macroeconomics

Job Market Paper: “Asset Prices and Risk Sharing in Open Economies”

Abstract: This paper proposes a two-good, two-country general equilibrium model with external habits and home-biased preferences that addresses a number of international finance puzzles. Specifically, the model reconciles the high degree of international risk sharing implied by relatively smooth exchange rates with the modest cross-country consumption growth correlations seen in the data, resolving the Brandt, Cochrane and Santa-Clara (2006) puzzle. Furthermore, the model matches the empirically observed low correlation between exchange rate changes and international consumption growth rate differentials. For both effects, the fundamental mechanism is time variation in consumption growth volatility, which is endogenously generated through international trade. Asset prices depend on a weighted average of the two countries' time-varying RRA coefficients, with the weights determined by the wealth and degree of home bias of each country. Simulation results indicate that the model is successful in matching key empirical asset pricing, exchange rate and international trade moments.

Work in Progress:

“Portfolio Choice in Open Economies with Stochastic Risk Aversion”

I examine international portfolio choice in a two-country general equilibrium setting which features stochastic risk aversion generated by external habit formation. The focus is on two polar cases. First, market completeness, achieved when both countries are able to securitize all their endowment wealth. Second, market incompleteness, induced when the domestic country is able to securitize all its endowment wealth, but the foreign country is unable to securitize any of its wealth. Then, international trade in goods requires holding domestic assets, as those are the only traded assets worldwide. In both cases, asset prices and equilibrium portfolios are calculated in closed form and it is shown that home bias in consumption preferences leads to significant portfolio home bias, the magnitude of which varies over time and depends on the stochastic risk aversion of the two countries.

“Asset Prices in a New Keynesian Model” (with Demetris Koursaros)

We examine the asset pricing implications of real and monetary shocks in a new Keynesian production economy that features price stickiness and external habit formation in preferences.

References

Geert Bekaert (co-chair) [email]
Tano Santos (co-chair) [email]
Pierre Collin-Dufresne [email]
Michael Johannes [email]