Dmitry Kuvshinov

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

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
[VOX column]  [NBER WP]   [Data]   [Replication Files]
Media: Economist, Financial Times, FT AlphavilleBloomberg View, Quartz, Washington Post, FAZ

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.


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 Big Bang: Stock Market Capitalization in the Long Run (with Kaspar Zimmermann)
R & R at the Journal of Financial Economics
[VOX column]  [CEPR Discussion Paper 14468]

New data show that advanced-economy market cap to GDP ratios were constant between 1870 and 1990, tripled with a “big bang” in the 1990s, and remained high thereafter. The key driver of this structural break was a profit shift towards listed firms. The share of listed firms’ profits in both GDP and capital income has more than doubled since 1990, reaching its highest levels in the last 145 years. We further show that this profit shift was amplified by historically low equity discount rates, and that equity issuance made no contribution to the increase in market cap to GDP ratios.


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

This paper estimates the expected return on equity and housing for 17 advanced economies between years 1870 and 2015. We show that the expected risky return has been in steady decline, but its trend is markedly different to that in the safe rate. As a consequence, the ex ante risk premium exhibits large secular movements, and risk premia and safe rates are strongly negatively correlated. Our findings suggest that time-varying risk appetite is a key driver of expected risky and safe returns – not only in the short, but also in the long run.


The Co-Movement Puzzle  This is an updated version of my job market paper, previously circulated as “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 co-movement 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 expected returns and risk premia. My findings imply that variation in the discount rate – through factors such as risk aversion, disaster risk, long-run risk and intermediary risk appetite – is, ultimately, not the key driver of observed asset price volatility.

Work in progress

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