Dmitry Kuvshinov

I am an Assistant Professor at Universitat Pompeu Fabra, affiliated with 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]


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

Sectoral dynamics of safe assets in advanced economies (with Madalen Castells, Björn Richter and Victoria Vanasco)

We show that across 24 advanced economies, both trends and fluctuations in safe-asset positions are mainly driven by the financial and foreign sectors, and that foreign demand and financial supply of safety are associated with poor medium-term real outcomes.


Monetary policy, inflation, and crises: Evidence from history and administrative data (with Gabriel Jiménez, José-Luis Peydró, and Björn Richter)
[CEPR DP 17761] [VoxEU column]
Revise & Resubmit at the Journal of Finance 

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 (cutting rates triggers a “red-zone” financial boom, and subsequent hikes within “red zones” trigger a crisis). The combination of U-shaped monetary policy rates and red zones is crucial for banking crises.


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

I study the co-movement between discount rates (expected returns) on equity, housing, and corporate bonds in long-run data for many countries, and show that it is close to zero. My findings suggest that most excess asset price volatility is asset class specific, and therefore unlikely to be driven by cross-asset-class risk factors such as risk aversion and consumption risk.


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
Principal Investigator: Dmitry Kuvshinov
CORDIS website   BSE press release   UPF press release

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.


Collaborators Matthew Baron (Cornell), Madalen Castells Jauregui (European Central Bank), Lukas Diebold (Mannheim), Björn Richter (UPF), Moritz Schularick (Kiel / Sciences Po), Victoria Vanasco (CREi), Kaspar Zimmermann (Frankfurt School).

Current team members Carlo Pavanello (UPF PhD student), Alessandro Fornasari (MSc RA), Haowei Luo (MSc RA), Roger Casas Riu (BA RA).

Project manager: Mariona Novoa

Project output

Sectoral dynamics of safe assets in advanced economies (with Madalen Castells, Björn Richter and Victoria Vanasco), Working Paper.