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 Big Bang: Stock Market Capitalization in the Long Run (with Kaspar Zimmermann)
CEPR Discussion Paper 14468

This paper studies long-run trends in stock market capitalization and their drivers. New annual data for 17 advanced economies reveal a striking time series pattern: the ratio of stock market capitalization to GDP was roughly constant between 1870 and 1980, tripled with a historically unprecedented “big bang” in the 1980s and 1990s, and remains high to this day. We use data on equity returns, yields and cashflows to explore the underlying forces behind this structural shift. We show that the big bang is driven by two factors: a secular decline in the equity discount rate from 1980 onwards, and an upward shift in cashflows paid by listed firms. Equity issuance and new listings make next to no contribution to the structural increase in market cap. We also show that high market capitalization forecasts low equity returns, low dividend growth and a high risk of a stock market crash. This suggests that the currently high valuations and capitalization are a sign of high, rather than low risk in equity markets.

VOX column

The Expected Return on Risky Assets: International Long-run Evidence (with Kaspar Zimmermann)

This paper studies long-run trends in the expected return on risky wealth and its relationship with the safe rate. We combine new data and time-varying return predictability regressions to estimate expected returns on two major risky asset classes – equity and housing – across 17 countries and 145 years. We show that the expected risky return has been in steady long-run decline, falling by more than one-third between 1870 and 2015. Much of this decline is driven by a fall in the risk premium – from 6% in 1870 to 3% in 1990 – which can in turn be traced back to secular declines in the price of risk and macro-financial volatility. We further show that movements in expected returns are largely unrelated to safe rates, and hence safe rates and risk premia are strongly negatively correlated. This suggests that relative supply and demand factors – such as safe asset shortages and investor risk appetite – play a key role in determining the prices of risky and safe assets in the economy.

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

A Long Way Down: Bank Capital and Profitability (with Björn Richter and Kaspar Zimmermann)
   Awarded the 2020 ECB Lamfalussy Fellowship