MARTIN SCHNEIDER
Department of Economics
Stanford UniversityLandau Economics Building
579
Serra Mall
Stanford CA
94305-6072
phone
(650) 721-6320
schneidr at stanford dot edu
CV
Research
Ambiguity in macro & finance
Credit & money
Interest rate & credit risk
Housing
Learning in markets
Ambiguity in macro & finance
Recursive multiple priors, with Larry Epstein
Journal of Economic Theory, 113(1), 32-50 (2003)
Axiomatizes dynamically consistent model of intertemporal decision making under ambiguity. Shows how to update sets of priors.
Learning under ambiguity, with Larry Epstein
Review of Economic Studies, 74((4), 1275-1303 (2007)
Tractable
model of learning under ambiguity from iid signals. Shows that
ambiguity may but need not vanish in long run. Quantitative application
to portfolio choice with learning about mean returns
illustrates slow convergence & 1st order effects of parameter
uncertainty.
Ambiguity, information quality and asset pricing, with Larry Epstein
Journal of Finance, 63(1), 197-228 (2008)
Learning
from signals with ambiguous precision induces asymmetric response to
news: good news discounted, bad news taken seriously. Asset
pricing model delivers negative skewness and premia for low
(idiosyncractic) information quality. Quantitative application to
pricing after 9/11.
Ambiguity and asset markets, with Larry Epstein
Annual Reviews of Financial Economics 2, 315-34 (2010)
Surveys models of ambiguity aversion and their applications in finance
Ambiguous Business Cycles, with Cosmin Ilut,
R&R, American Economic Review
Proposes
a class of business cycle models with uncertainty shocks that can
be analyzed by standard linear methods. In estimated
medium scale New Keynesian model, ambiguity shocks play
important role by generating comovement of major aggregates
Uncertainty shocks, asset supply and pricing over the business cycle
with Francesco Bianchi & Cosmin Ilut,
Business cycle model with corporate sector payout and capital structure choice. Firms react to time variation in (measured) risk premia. Risk premia are driven by ambiguity. Stochastic volatility affects perceived ambiguity and thereby has 1st order effects.
Credit & money
Balance Sheet Effects, Bailout Guarantees,
and Financial Crises, with Aaron Tornell
Review of Economic Studies 2004, 71(3), 883-913
Aggregate implications of wealth redistribution: the case of inflation, with Matthias Doepke
Journal of the European Economic Association, 4(2-3), 493-502 (2006)
Inflation as a redistribution shocks: effects on aggregates and welfare, with Matthias Doepke
On the optimality of dominant unit of account, with Matthias Doepke
Interest rate & credit risk
Equilibrium Yield Curves with Monika Piazzesi zip file with MATLAB programs
NBER Macroeconomics Annual 2006 p. 389-442
Interest Rate Risk in Credit Markets with Monika Piazzesi
American Economic Review P&P, 100(2) 579-584 (2010)
Banks' risk exposures with Juliane Begenau and Monika Piazzesi
Trend and Cycle in Bond Premia with Monika Piazzesi and Juliana Salomao
Housing
Housing, consumption and asset pricing, with Monika Piazzesi
Journal of Financial Economics 83, 531-569 (2007)
Representative
agent model with two trees (housing, equity) and nonseparable utility
over fruit (housing services, other consumption). Composition risk
of consumption basket is priced and changes over time. Share of
housing in total consumption predicts excess returns on equity.
Inflation illusion, credit and asset prices, with Monika Piazzesi
in Asset Pricing and Monetary Policy, J.Y. Campbell (ed.), Chicago IL, Chicago University Press, pp. 147-181 (2007)
Whenever borrowers and lenders disagree about real interest rates, there are gains from trade, so credit and collateral values increase. Money illusion leads to more disagreement when nominal rates are unusually high or low, predicting housing booms in 1970s as well as 2000s.
Momentum traders in the housing market: survey evidence and a search model with Monika Piazzesi
American Economic Review P&P 99(2) 493-502 (2009)
Cluster analysis of Michigan survey expectations shows increase of small (20% max) cluster with extrapolative expectations
in 2006-7. In search model of housing market calibrated
to low turnover and large transaction costs, small inflow of exuberant traders is enough to move prices
Inflation and the Price of Real Assets, with Monika Piazzesi
Overlapping
generations model with unsinsurable nominal risk and household choice
of equity, housing & bonds. Changes in demographics and
inflation expectations can explain large share of movements
in household net worth and negative comovement of equity & house
price in postwar US
The Housing Market(s) of San Diego, with Tim Landvoigt and Monika Piazzesi,
R&R American Economic Review
Quantitative
study of assignment model for San Diego County housing market boom
2000-5. Capital gains much higher for low quality housing.
Cheap credit is key; composition of housing supply also matters.
Segmented housing search, with Monika Piazzesi and Johannes Stroebel
Learning in markets
Strategic Experimentation and Disruptive
Technological Change, with
Fabiano Schivardi
Review of Economic
Dynamics 2008, 11(2) 386-412.
International Equity Flows and Returns: A
Quantitative Equilibrium Approach, with Rui Albuquerque and Greg Bauer
Review
of Economic Studies 2007, 74/1: 1-30.
Global Private Information in
International Equity Markets, with Rui Albuquerque and Greg
Bauer
Journal of Financial Economics 2009, 94
(1), 18-46.
Asset Valuation and Trading with Uncertain Exposure, with Juan Carlos Hatchondo and Per Krusell, 03/10