Working papers

Stock market evidence on the international transmission channels of US monetary policy surprises

(joint with Thomas Nitschka)

This paper evaluates the economic sources of the stock market responses of 40 countries to surprises in the fed funds rate (FFR), the Fed’s forward guidance (FG) and large-scale asset purchases (LSAP). We use decompositions of stock market returns into different components reflecting investors' revisions in expectations (news) about future cash flows, expected returns, real interest rates and the real exchange rate to show that FFR and LSAP surprises affect foreign stock markets because they influence foreign countries' real economic outlook. FG surprises seem to convey non-monetary information, such as the Fed’s risk assessment, to which foreign stock markets react. DN working paper, May 2021

Work in progress

Inequality in Longevity and Redistribution in Public Pension Schemes: Evidence from Denmark

(joint with Frederik Bjørn Christensen)

We use 41 years of Danish register data to quantify how differential mortality limits redistribution in public old-age pensions. First, we allocate individuals to socioeconomic groups based on gender and a so-called affluence rank, which is novel in the literature on redistribution in public pensions. We then document substantial differences in mortality across these groups. Second, we assess redistribution by computing and comparing average, expected, net present values (NPV) of the implicit public pension contract for each affluence group given estimated survival probabilities. We find that NPV develops non-monotonically with affluence. For instance, males in the middle of the affluence distribution have an NPV that is up to 26% higher than the least affluent males at a discount rate of 3%. Meanwhile, only the top 30% have lower NPVs than the least affluent men. Women of a specific affluence rank have significantly higher NPVs than their male peers.

Optimal pension policy

Coming soon…

Technical work

A toolkit for solving overlapping generations models with family-linked bequest and intergenerational skill transmission

(joint with Frederik Bjørn Christensen)

Some papers incorporate family-linked bequest and intergenerational transmission of skills in life-cycle models to match empirical wealth distributions. However, to the best of our knowledge, none of these papers offer a comprehensive guide on their solution methods. Thus, the contribution of this paper is to develop a detailed toolkit on how to solve, simulate, and estimate an overlapping generations model with family-linked accidental and voluntary bequest, intergenerational transmission of skills, persistent idiosyncratic income risk, permanent income heterogeneity, and retirement. This model reasonably matches empirical measures of wealth inequality. Extending our model by a public sector would constitute a suitable framework to study the effects of policy reforms on wealth inequality. Link to Paper & Code

Computational Macroeconomics, 2021

Iowa State University, University of Kansas, PhD-level, Link to course

Financial Econometrics, 2018

Copenhagen Business School, Msc Advanced Economics and Finance

Applied Econometrics, 2017

Copenhagen Business School, Msc Applied Economics and Finance

On our GitHub page Frederik Bjørn Christensen and I share lectures and sample code on how to solve and estimate life cycle models with overlapping generations.