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]
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 Alphaville, Bloomberg 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.
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.