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Education

  • New York University , New York, NY. Ph.D. in Economics, September 2006;
  • Università commerciale L. Bocconi , Milan, Italy.
    • M.A. in Economics, July 2001;
    • B.A. in Economics, October 2000;
  • University of California San Diego , San Diego, CA;
    • Visiting Scholar: Spring 1999, Summers 2003 and 2004.

 Work experience

  • Professor, University of North Carolina at Chapel Hill
    • Finance Department, Kenan-Flagler Business School (primary appointment, July 2019 – present)
    • Economics Department, School of Arts and Sciences (adjunct appointment, July 2019 – present)
  • Head of the Investment Management concentration, University of North Carolina at Chapel Hill (December 2017 – current)
  • Associate Professor (with tenure) , University of North Carolina at Chapel Hill, Kenan-Flagler Business School (July 2013 – June 2019)
  • Assistant Professor of Finance , University of North Carolina at Chapel Hill, Kenan-Flagler Business School (July 2006 – June 2013)

Other Affiliations

  • Research Associate, National Bureau of Economic Research (NBER), International Finance and Macroeconomics program.

 Visiting Positions

  • Assistant Professor of Finance, New York University, Leonard Stern School of Business, Department of Finance (Sep/07 – May/08)
  • Visiting Scholar, Federal Reserve Bank of Minneapolis (August 2007)

 Publications

  1. The impact of rising temperature on U.S. Economic Growth  
    Encyclopedia of Climate Change: Finance, Economics and Policy, 2021, vol. 3, chapter 19. (with Bridget Hoffmann and Toan Phan)
  2. Business Cycles and Currency Returns  
    Journal of Financial Economics, 2020, vol. 137(3), pp. 659-678. (with Steven Riddiough and Lucio Sarno)
  3. The Term Structures of Coentropy in International Financial Markets  
    Management Science, 2019, 65(8), 3449-3947. (with Fousseni Chabi-Yo)
  4. Temperature and Growth: a panel analysis of the US  
    Journal of Money, Credit, and Banking, 2019, 51(2-3), 313-368 (with Bridget Hoffmann and Toan Phan)
  5. Recursive Allocations and Wealth Distribution with Multiple Goods: Existence, Survivorship, and Dynamics  
    Quantitative Economics , 2019, 10, 311-351. (with M. Croce and Zhao Liu)
  6. Currency Risk Factors in a Recursive Multi-Country Economy  
    Journal of Finance, 2018, 73(6), 2719-2756.(with Croce, Gavazzoni, and Ready)
  7. BKK the EZ way: International Long-Run Growth News and Capital Flows  
    American Economic Review, 2018, 108(11):3416-49 (with Croce, Ho, and Howard)
  8. Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory   
    Review of Financial Studies, 2016, 20(8), 2069-2109. (with Eric Ghysels, Jinghan Meng, and Wasin Siwasarit)
  9. International Asset Pricing with Recursive Preferences  
    Journal of Finance, 2013, 68(6), 2651-2686. (with M.M. Croce)
  10. ’O Sole Mio. An Experimental Analysis of Weather and Risk Attitudes in Financial Decisions  
    Review of Financial Studies, 2013, 26(7), 1824-1852. (with A. Bassi and Paolo Fulghieri)
  11. International Robust Disagreement  
    American Economic Review, 2012, 102(3), 152-55. (with M.M. Croce)
  12. A component model for dynamic correlations  
    Journal of Econometrics, 2011,164(1), 45-59. (with R. Engle and E. Ghysels)
  13. Risks for the long run and the real exchange rate  
    Journal of Political Economy, 2011, 119(1), 153–181. (with M.M. Croce)
  14. The Short- and Long-Run Benefits of Financial Integration  
    American Economic Review, 2010, 100(2), 527-31. (with M.M. Croce)
  15. Term structure of risk, the role of Known and Unknown Risks and Non-stationary Distributions  
    The Known, the Unknown and the Unknowable in Financial Risk Management, 2010, Princeton University Press. (with R.F. Engle)
  16. Robusteness and US Monetary Policy Experimentation  
    Journal of Money, Credit, and Banking, 2008, 40(8), 1599-1623. (with T.Cogley, L.P.Hansen, and T.J.Sargent)
  17. Benefits from U.S. Monetary Policy Experimentation in the Days of Samuelson and Solow and Lucas  
    Journal of Money, Credit, and Banking, 2007, 39(2), 67-100. (with T. Cogley and T. Sargent)
  18. Testing and valuing dynamic correlations for asset allocation  
    Journal of Business and Economic Statistics, 2006, 24(2), 238-253. (with R.F. Engle)

 Selected Working papers

  1. Volatility Risk Pass-Through
    Latest draft: 2/2020. (with Max Croce, Yang Liu, and Ivan Shaliastovich)
  2. Robust Exchange Rates and the International Entropy Frontier
    Latest draft: 2/2015. (with M.M. Croce)
  3. Six anomalies looking for a model. A consumption based explanation of international finance puzzles
    Latest draft: 1/2009.
  4. On the existence of the exchange rate when agents have complete home bias and non-time separable preferences
    Latest draft: 11/2006.

Referee

AEJ Macro, American Economic Review, B.E. Journal of Macroeconomics, Econometrica, Economic Inquiry, Economic Journal, Economic Letters, Economic Modeling, Environmental and Resource Economics, Finance Research Letters, Independent Research Fund Denmark (Social Science), International Review of Economics and Finance, Quantitative Economics, Quarterly Journal of Economics, Journal of Applied Econometrics, Journal of Banking and Finance, Journal of Business and Economic Statistics, Journal of Economic Dynamics and Control, Journal of Economic Theory, Journal of Empirical Finance, Journal of Financial and Quantitative Analysis, Journal of Financial Econometrics, Journal of Finance, Journal of International Economics, Journal of International Money and Finance, Journal of Monetary Economics, Journal of Money Credit and Banking, Journal of Political Economy, Journal of the European Economic Association, Management Science, National Science Foundation (NSF), Nature, Quantitative Economics, Quantitative Finance, Research Grants Council (RGC) of Hong Kong, Review of Economic Dynamics, Review of Economics and Statistics, Review of Economic Studies, Review of Finance, Review of Financial Studies, Scandinavian Journal of Economics, Studies in Nonlinear Dynamics & Econometrics.

Grants, honors, and awards

  • Best paper award for “Volatility Risk Pass-through” at the Annual International Finance Conference, Oslo (Norway), 2018.
  • Best Discussant Award, Finance Down Under Conference, Melbourne (Australia), 2018.
  • Weatherspoon Award for “Excellence in Ph.D. Teaching”, UNC Chapel Hill, 2013.
  • MBA Teaching All Star, UNC Chapel Hill, 2014, 2016, 2019.
  • Morgan Stanley, Equity Market Microstructure Research Grant (with Eric Ghysels), 2007.
  • McCracken Fellowship (September 2001 – April 2006).
  • Fondazione Invernizzi Fellowship (September 2000 – June 2001).
  • B.A. in Economics summa cum laude.
  • Provost’s honors at UCSD.

Invited seminars and conference presentations

  • 2019-2020, University of Virginia (McIntire), Federal Reserve Bank of San Francisco, Columbia GSB, Indiana University (Kelley).
  • 2018-2019, Erasmus University Rotterdam (Finance), Tilburg University (Finance), Maastricht University (Finance), Ohio State University (Fisher), Norwegian School of Economics (Bergen).
  • 2017-2018, Stanford Institute for Theoretical Economics (SITE) “New Models of Financial Markets”, Cambridge University (Cambridge, UK),Presidential session at the annual meeting of the SEA (Tampa, FL), Johns Hopkins University (Carey Business School), Brazilian Meeting of Finance (invited speaker, Sao Paulo City).
  • 2016-2017, Hanqing Advanced Institute of Economics and Finance (Renmin University, Beijing, China), UBC Winter Finance Conference (Whistler, Canada), University of Melbourne, Monash University (Melbourne), Bocconi University, 3rd SAFE Asset Pricing Workshop (Frankfurt, Germany), Annual Meeting of the Midwest Finance Association (Chicago, IL).
  • 2015-2016, Federal Reserve Bank of St. Louis, Annual Meeting of the Midwest Finance Association (Atlanta, GA), Vanderbilt University FMRC Conference (Nashville, TN), 2nd Workshop on Uncertainty (UCL, London, UK), Annual Conference in International Finance (City University of Hong Kong), Annual Meeting of the Society for Financial Econometrics (HK).
  • 2014-2015, Annual Meeting of the American Economic Association (Boston, MA), University ofNorthern Illinois (Economics), Conference on Ambiguity and Robustness in Macroeconomics and Finance (hosted by NYU), Annual Meeting of the Western Finance Association (Seattle, WA).
  • 2013-2014, CMU-UCSB 4th “Advances in Macro-Finance” conference (CMU, Pittsburgh, PA), Tuck School at Dartmouth (Finance), SUNY Stony Brook (Finance), International Monetary Fund, Annual Meeting of the American Economic Association (Philadelphia, PA), BI Norwegian Business School (Finance), UNC Chapel Hill (Economics), Annual Conference in International Finance (Imperial College, London, UK), Annual Meeting of the Society for Financial Econometrics (Toronto, Canada), Annual Meeting of the Econometric Society (Minneapolis, MN).
  • 2012-2013, Federal Reserve Bank of Saint Louis, Asset Pricing and Portfolio Allocation in the Long-Run (Rio de Janeiro, Brazil), Annual Meeting of the American Finance Association (San Diego, CA), NYU Alumni Conference, Annual Meeting of the Society for Economic Dynamics (Seoul, Korea), North American Meeting of the Econometric Society (Los Angeles, CA).
  • 2011-2012, UCLA (Anderson), University of Southern California (Marshall), Conference in honor of Tom Sargent’s Nobel Prize (NYU), University of Wisconsin, Madison (Econ), Virginia Commonwealth University (Econ), Macroeconomics of Risk and Uncertainty workshop (Central Bank of Chile, Santiago), SFS Finance Cavalcade (Virginia), Society fr Economic Dynamics (Cyprus).
  • 2010-2011, MIT (Sloan), Boston University (Finance), University of Minnesota (Finance), Federal Reserve Bank of Kansas City, AEA Annual Meeting (Denver, CO), SFS Finance Cavalcade (University of Michigan).
  • 2009-2010, New York University (Economics), Carnegie Mellon University (Finance), Annual Meeting of the American Economic Association (Atlanta, GA), Western Finance Association (Victoria, Canada), Annual Meeting of the Society for Economic Dynamics (Montreal, Canada), Econometric Society World Congress (shangai, China).
  • 2008-2009, Italian Congress of Econometrics and Empirical Economics (Ancona, Italy, January 2009), Summer Meeting of the Econometric Society (Boston, MA, June 2009), Infiniti Conference on International Finance (Trinity College, Dublin, Ireland, June 2009), Annual Meeting of the Society for Economic Dynamics (Istanbul, Turkey, July 2009).
  • 2007-2008, UNC (Finance), NYU (Finance), Society for Economic Dynamics, annual meeting (Cambridge, MA, July 2008), European Economic Association, annual meeting (Milan, Italy, August 2008).
  • 2006-2007, Duke (Finance), University of Minnesota (Economics), North American Meeting of the Econometric Society (Durham, NC, June 2007), International Symposium on Financial Engineering and Risk Management (Beijing, June 2007).
  • 2005-2006, NYU (Economics), Washington University in St. Louis (Economics), Columbia University (Economics), Federal Reserve Bank of New York, Fordham University (Business school), University of Rochester (Simon School), Federal Reserve Board, Federal Reserve Bank of St. Louis, Universitat Pompeu Fabra and CREI, Washington University (Olin School of Business), University of North Carolina at Chapel Hill (Kenan-Flagler School of Business), UCSD (Economics), Bank of Canada, SUNY Albany (Economics), UCLA (Economics), NBER Asset Pricing Program (Chicago, March 2006), Conference on Quantitative Evidence on Price Determination, hosted jointly by the Federal Reserve Board of Governors and the Journal of Money Credit and Banking (Washington D.C., USA. September 2005), University of Chicago – New York University joint workshop (New York, USA. September 2005).
  • 2004-2005, Econometric Society World Congress (London, UK. August 2005), Society for Economic Dynamics Annual Meeting (Budapest, Hungary. June 2005), New York University -Bocconi joint workshop (La Pietra, Firenze, Italy. June 2005), The Seventh Annual Financial Econometrics Conference (Waterloo, Canada. March 2005), American Economic Association Annual Meeting (Philadelphia, USA. January 2005), Conference on Dynamic Stochastic General Equilibrium Models, (IMF, Washington D.C., April 2004).
  • 2003-2004, NYU (Finance).

Other Activities and Professional Service

  • Associate Editor [2016-]: Journal of Empirical Finance
  • Associate Editor [2018-]: Management Science
  • Associate Editor [2020-]: Journal of Financial and Quantitative Analysis
  • Committee Member: [2011, 2016–2019] Annual Meeting of the Western Finance Association (WFA)
  • Committee Member: [2012–2013] Annual Meeting of the Society for Economic Dynamics (SED)
  • Committee Member [2011–2020]: Annual Meeting of the Society for Financial Econometrics (SoFiE)
  • Committee Member [2011, 2012, 2016–2020]: Society for Financial Studies Cavalcade (SFS)
  • Committee Member [2015-2019]: Annual Meeting of the European Finance Association (EFA)
  • Committee Member [2016]: World Finance Conference.
  • Committee Member [2008-2013, 2015-2016, 2018]: Duke/UNC Conference.
  • Committee Member [2017-2019]: Finance Down Under Conference.
  • Track Chair [2016-2017, 2020]: Annual Meeting of the Midwest Finance Association (MFA)

Teaching experience

(see pdf for teaching evaluations)

  • `Investments’, undergraduate, UNC at Chapel Hill, Kenan-Flagler Business School
    • Spring 2007, 2009-2018.
  • `Investments’, MBA, UNC at Chapel Hill, Kenan-Flagler Business School
    • Spring 2009-2018.
  • `Consumption Based Asset Pricing’, PhD, UNC at Chapel Hill, Kenan-Flagler Business School
    • Spring 2010-2018.
  • `Foundations of Financial Markets’, undergraduate, NYU, Stern School of Business
    • Fall 2007.