Dmitry Kuvshinov

I am an Assistant Professor at Universitat Pompeu Fabra and an Affiliated Professor at Barcelona GSE.

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

My research interests lie in the fields of finance, macroeconomics and economic history.

Here is a link to my CV.

Email: dmitry.kuvshinov[at]


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
[NBER WP]  [Data]  [Replication Files]

What is the aggregate real rate of return in the economy? Is it higher than the growth rate of the economy and, if so, by how much? Is there a tendency for returns to fall in the long-run? Which particular assets have the highest long-run returns? We answer these questions on the basis of a new and comprehensive dataset for all major asset classes, including housing. The annual data on total returns for equity, housing, bonds, and bills cover 16 advanced economies from 1870 to 2015, and our new evidence reveals many new findings and puzzles.

VOX column

Media coverage: Economist, Financial Times, FT AlphavilleBloomberg View, Quartz, Washington Post, FAZ


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

What is the cost of sovereign default, and what makes default costly? This paper uses a novel econometric method – combining local projections and propensity score weighting as in Jordà and Taylor (2016) – to study these questions. We find that default generates a long-lasting output cost – 2.7% of GDP on impact and 3.7% at peak after five years – but in the longer term, economic activity recovers. The downturn is characterised by a collapse in investment and gross trade. The cost rises dramatically if the default is followed by a systemic banking crisis – peaking at some 9.5% of GDP – but is attenuated for economies with floating exchange rates. Our findings suggest that financial autarky, trade frictions and sovereign-banking spillovers play a key role in generating the cost of default.


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

During the post-crisis period, economic performance has been highly heterogenous across the euro area. While some economies rebounded quickly after the 2009 output collapse, others are undergoing a protracted further decline as part of an extensive deleveraging process. At the same time, inflation has been subdued throughout the whole of the euro area and intra-euro-area exchange rates have hardly moved. We interpret these facts through the lens of a two-country model of a currency union. We find that deleveraging in one country generates deflationary spillovers which cannot be contained by monetary policy, as it becomes constrained by the zero lower bound. As a result, the real exchange rate response becomes muted, and the output collapse—concentrated in the deleveraging economies.

Working papers

The Time Varying Risk Puzzle

This paper shows that the correlation between discount rates on three major risky asset classes – equity, housing and corporate bonds – is approximately zero. I establish this new stylised fact – the time varying risk puzzle – by using new long-run data for 17 advanced economies. I confirm that asset valuations and macro-financial risk factors predict returns on individual asset classes, but I show that none of these variables have predictive power across asset classes. The absence of observed discount rate co-movement is puzzling since all but a very select set of asset pricing models assume a joint pricing kernel and hence predict a high correlation of risk premia. My findings imply that variation in discount rates – through factors such as risk aversion, disaster risk and intermediary risk appetite – is, ultimately, not the key driver of observed asset price volatility. The absence of co-movement is not fully attributable to asset-specific risk, investor heterogeneity or market segmentation. Instead, the data point to volatile expectations as the central source of asset price volatility, in line with behavioural models. The observed expectation volatility has real economic effects on a business cycle frequency. Elevated sentiment – or overoptimistic expectations – predict low future GDP growth, and sentiment reversals often mark the onset of financial crises.


The Big Bang: Stock Market Capitalization in the Long Run (with Kaspar Zimmermann)

This paper presents new annual long-run stock market capitalization data for 17 advanced economies. Going beyond benchmark year estimates of Rajan and Zingales (2003) reveals a striking new time series pattern: over the long run, the evolution of stock market size resembles a hockey stick. The ratio of stock market capitalization to GDP was stable between 1870 and 1980, tripled with a “big bang” in the 1980s and 1990s, and remains high to this day. We use novel data on equity returns, prices and cashflows to explore the underlying drivers of this sudden structural shift. Our first key finding is that the big bang is driven almost entirely by rising equity prices, not quantities. Net equity issuance is sizeable but relatively constant over time, and plays very little role in the short and long run dynamics of market cap. Second, this price increase is explained by a mix of higher dividend payments, and a higher valuation – or a lower discount rate – of the underlying dividend stream. Third, high market capitalization forecasts low subsequent equity returns, outperforming standard predictors such as the price-dividend ratio. Our results imply that rather than measuring financial efficiency, stock market capitalization is best used as a “Buffet indicator” of investor risk appetite.

Work in progress

A Secular Stagnation of Risky Returns (with Kaspar Zimmermann)