Dmitry Kuvshinov

I am an Assistant Professor at Universitat Pompeu Fabra, Affiliated Professor at the Barcelona School of Economics, and Research Affiliate at CEPR.

I received my PhD from the University of Bonn in 2019.

My research interests are in finance, macroeconomics and economic history.

My current research agenda centers around using long-run data to study the trends and drivers of macro-financial risk.

Here is a link to my CV.

Email: dmitry.kuvshinov[at]


The Big Bang: Stock Market Capitalization in the Long Run (with Kaspar Zimmermann)
Journal of Financial Economics, 2022, Vol. 145 (2), pp. 527-552
[Paper + appendix]  [Data: Excel; Stata (zipped)]   [Replication Files]   [Working paper version]
Media: Promarket, MarketWatch, VoxEU

We document a structural break in the long-run evolution of stock market growth across 17 advanced economies. Between 1870 and the 1980s, market growth was driven by equity issuances and broadly tracked that of GDP. After the 1980s, stock markets grew much faster than GDP, driven by higher stock prices and rising listed firm profit shares.


The Rate of Return on Everything, 1870 – 2015 (with Òscar Jordà, Katharina Knoll, Moritz Schularick, and Alan M. Taylor)
Quarterly Journal of Economics, 2019, Vol. 134 (3), pp. 1225–1298
[Data]   [Replication Files]
Media: Economist, Financial Times, FT AlphavilleBloomberg View, Quartz, Washington Post, FAZ, VoxEU

We use new long-run data to document the rates of return on four major asset classes – equity, housing, bonds, and bills – in 16 advanced economies, and study their statistical properties.


Sovereigns Going Bust: Estimating the Cost of Default (with Kaspar Zimmermann)
European Economic Review, 2019, Vol. 119, pp. 1-21
[Default Dataset]  [Replication Files]

We apply a novel econometric method to estimate the cost of sovereign default and study its drivers. We find that defaults are costly, and provide evidence linking these costs to trade frictions and sovereign-banking spillovers.


Deleveraging, Deflation and Depreciation in the Euro Area (with Gernot Müller and Martin Wolf)
European Economic Review, 2016, Vol. 88, pp. 42–66

We study deleveraging in a theoretical model of a currency union. We find that at the zero lower bound, deflationary spillovers across union members accentuate deleveraging costs and hinder within-union relative price adjustment.

Working papers

The Shifts and the Shocks: Bank Risk, Leverage, and the Macroeconomy (with Björn Richter and Kaspar Zimmermann)
Awarded the 2020 ECB Lamfalussy Fellowship

We study the long-run evolution of bank risk and its links to the macroeconomy. We find that bank assets have become much safer over the long run, but the macroeconomic consequences of bank asset losses have become more severe.


The Co-Movement Puzzle 
Best Paper Award, 2021 Paris December Finance Meeting

Most theories in macro-finance imply strongly positive co-movement of asset class specific discount rates. I show that in the data, this co-movement is absent, and explore the implications of this finding.


The Expected Return on Risky Assets: International Long-run Evidence (with Kaspar Zimmermann)
[CEPR Discussion Paper 15610]

We show that expected returns on housing and equity have declined over the long run, and that their trends are disconnected from the safe rate. Our findings suggest that much of the secular variation in both risky and safe asset returns is driven by changes in macro-financial risk.

Work in progress

Safe Assets, Capital Flows, and Macroeconomic Outcomes (with Madalen Castells, Björn Richter and Victoria Vanasco)

The Buffett Indicator (with Can Gao and Kaspar Zimmermann)