Dmitry Kuvshinov
I am an Associate Professor at Universitat Pompeu Fabra, affiliated with the Barcelona School of Economics and CEPR.
My research interests are in macro-finance. Most of my projects are empirical, and use long-run data.
I have been awarded a 2023 ERC Starting Grant for the project SAFECRISES (Safety, Liquidity, and Crises) which studies the contribution of safe assets and liquidity to financial crises and macro-financial risk (details).
I also hold a Ramon y Cajal fellowship from the Spanish Ministry for Science and Innovation.
CV link. Email: dmitry.kuvshinov[at]upf.edu.
Publications
Monetary Policy, Inflation, and Crises: Evidence from History and Administrative Data (with Gabriel Jiménez, José-Luis Peydró, and Björn Richter)
[VoxEU column] [Replication files]
Journal of Finance, 2026, Vol. 81 (2), pp. 923-970
We show that a U-shaped monetary policy rate path (several years of cuts followed by rate hikes) increases banking crisis risk, via credit and asset price cycles. The rate cuts trigger a vulnerable financial boom, and subsequent rate hikes trigger a crisis through strong reversals in credit and asset prices, and high realized credit risks in the banking sector.
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 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.
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
Foreign Demand for Safety and Macroeconomic Instability (with Madalen Castells, Björn Richter and Victoria Vanasco)
[SUERF Policy Brief] [VoxEU column] [CEPR DP 19025]
R&R at the Review of Financial Studies
We show that across 21 advanced economies, both trends and fluctuations in safe assets are mainly driven by the financial and foreign sectors, and that foreign demand and financial supply of safety are associated with adverse macroeconomic effects.
Asset-class-specific Discount Rates
Best Paper Award, 2021 Paris December Finance Meeting. Best Paper on Equity Markets, 2025 AEFIN.
R&R at the Review of Financial Studies
I study variation and co-movement between discount rates on equities, housing, and corporate bonds, in long-run data for 17 countries back to 1870. I show that discount rates vary over time (returns are predictable), but that this variation is largely asset-class-specific (i.e., uncorrelated across asset classes). This suggests that asset prices are predominantly driven by asset-class-specific factors (e.g., relating to differential investors, risks, and frictions) as opposed to a single cross-asset macroeconomic factor. I also provide some suggestive evidence as to what these specific factors might be.
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 Expected Return on Risky Assets: International Long-run Evidence (with Kaspar Zimmermann)
[CEPR DP 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.
ERC grant
Project information
European Union Programme: Horizon Europe
Host institution: Universitat Pompeu Fabra, Barcelona
Acronym: SAFECRISES
Principal Investigator: Dmitry Kuvshinov
CORDIS website BSE focus UPF press release
Overview
Over the past 15 years, the euro area experienced several large crisis events. Many of these crises involved distress in markets for assets which were supposedly liquid and safe, such as repos, collateralised bonds, and sovereign debt. Liquidity and safety play a key role in both theories and narrative accounts of crises, but have been relatively little-researched empirically.
This project will conduct the first systematic empirical study of the role market liquidity and safe assets play in financial crisis events. To do this, I am collecting new long-run data on i). Quantities of different safe and liquid assets, and ii). Prices of liquidity and safety for many advanced economies going back to the late 19th century.
These data will used to to better understand which assets are safe and liquid, what role they play in the build-up and aftermath of crises, and how these types of assets can contribute to risks for the real economy.
Team
Collaborators Matthew Baron (Cornell), Madalen Castells Jauregui (European Central Bank), Lukas Diebold (Mannheim), Björn Richter (UPF), Moritz Schularick (Kiel / Sciences Po), Gabriela Stockler (UPF), Victoria Vanasco (CREi), Kaspar Zimmermann (Frankfurt School).
Current and past team members PhD student RAs: Martina Di Sano, Andrea Rolando, Carlo Pavanello. Predoc RAs: Gonçalo Almeida, Marta Cacopardo, Filippo Fasoli, Alessandro Fornasari, Jairo Galvis, Haowei Luo. Masters & undergraduate student RAs: Roger Casas Riu, Josep Sabaté Tomàs.
Project manager: Mariona Novoa
Project output
Foreign Demand for Safety and Macroeconomic Instability (with Madalen Castells, Björn Richter and Victoria Vanasco), Working Paper.
Funded by the European Union. Views and opinions expressed are however those of the author(s) only and do not necessarily reflect those of the European Union or the European Research Council Executive Agency. Neither the European Union nor the granting authority can be held responsible for them. This work is supported by ERC grant SAFECRISES, Project 101116832.