RESEARCH

Working Paper

1. (Coming soon) How Do Heterogeneous Beliefs About Rare Disaster Probability Affect the Equity Term Structure? (SSRN)
2. (Coming soon) Beliefs Heterogeneity and the Equity Term Structure (with Yucheng Zhou) (SSRN)
3. (June 2024) The Role of External Habits and Preferences Heterogeneity in the Equity Term Structure (SSRN)
4. (May 2024) Asset Pricing Impacts of AI in a Model with Heterogeneous Risk Aversion (SSRN)
5. Preferences Heterogeneity in Asset Pricing Models: Inspecting the Mechanism (SSRN)
6. Risk Aversion Heterogeneity and the Equity Term Structure (SSRN)
7. Heterogeneous Households in Asset Pricing: A Review and Future Research Agenda (PDF)
8. Informality and Wealth Distribution: A Heterogeneous Agent Model (with Alan Ledesma, Luis Yepez, & Cesar Salinas) (SSRN)

R&R

1. A Heterogeneous-Agent Model for the Latin American Financial Market (with Carlos Aguirre). Global Finance Journal, 2024 (SSRN).
2. Heterogeneous Agents Models in Asset Pricing: The Dynamic Programming Approach and the Finite Difference Method. The B.E. Journal of Theoretical Economics, 2024. (SSRN) (Codes in GitHub)
3. Huggett Meets Epstein-Zin in Continuous Time (SSRN), (Reject/Resubmit) Economic Modelling

Publications

• [8] How to Build and Solve Continuous-time Heterogeneous Agents Models in Asset Pricing? The Martingale Approach and the Finite Difference Method.
  • Journal of Mathematical Economics, 2024. (SSRN) (JournalLink)
  •  (Codes: m-files) (Codes in GitHub)
• [7] An ETF-Based Measure of Stock Price Fragility (with Renato Lazo-Paz).
  • The Journal of Financial Markets, 2024. (SSRN) (JournalLink).
• [6] Is the Working Capital Channel of the Monetary Policy Quantitatively Relevant? A Structural Estimation Approach.
  • Macroeconomic Dynamics, 2024. (SSRN) (JournalLink).
  • Presentations: American Finance Association (AFA) 2021, SFS Cavalcade NA 2020, Macro-Finance Research Program Summer Session for Young Scholars (University of Chicago) 2020, MIT Finance Student Workshop, Chicago Booth Finance Brownbag, Arizona State University, Cleveland State University, and Rochester Institute of Technology.
• [5] A DSGE Model with Government-owned Banks (with Alexis Montecinos).
  • The B.E. Journal of Macroeconomics, 2024.  (SSRN) (JournalLink)
• [4] Leverage and Capital Utilization (with Diogo Duarte & Alexis Montecinos).
  • The European Journal of Finance, 2022. (JournalLink).
  • Presentations: Arizona State University Brownbag 2018 and Southwestern Finance Association 2019 Annual Meeting.
• [3] What Kind of Firm is More Responsive to the Unconventional Monetary Policy?
  • The Quarterly Review of Economics and Finance, 2021. (JournalLink).
  • Presentations: Arizona State University Brownbag 2020 and Ph.D. Seminar at Chicago Booth 2020.
• [2] The Importance of Large Shocks to Return Predictability (with Diaz, J., Duarte, D., Montecinos, A., Truffa, S.).
  • Pacific Basin Finance Journal, 2021. (JournalLink)
• [1] The effects of Risk Aversion and Money Illusion on The Endogenous Dividend Growth Rate (with Diogo Duarte & Alexis Montecinos).
  • The European Journal of Finance, 2020. (JournalLink)

Work IN PROGRESS

1. Modeling Heterogeneous Agents in Asset Pricing: A Survey
2. D-HANK: Developing-Country HANK Model