We consider a variety of vintage capital models of a firm's choice of technology under uncertainty in the presence of adjustment costs and technology-specific learning. Similar models have been studied in a deterministic setting. Part of our objective is to examine the robustness of the...

A collapse in international trade following the 2007-08 crisis has underscored many dangers of globalization and renewed interest in trade protectionism, one form of which is import quotas. The analysis of import quotas is predominantly based on a static model, which is unable to capture the...

Recent evidence on the importance of cross-border equity flows calls for a rethinking of the standard theory of external adjustment. We introduce equity holdings and portfolio choice into an otherwise conventional open-economy dynamic equilibrium model. Our model is simple and it admits an exact...

Benchmarking incentivizes fund managers to invest a fraction of their funds’ assets in their benchmark indices, and such demand is inelastic. We construct a measure of inelastic demand a stock attracts, benchmarking intensity (BMI), computed as its cumulative weight in all benchmarks, weighted...

In periods of global stress there are large movements in exchange rates and assets prices. Currencies of developed economies appreciate, with the US dollar appreciating the most. Global stock markets fall, but the fall is smaller for the US market than other markets. Richer countries have...

We propose a model of asset management in which benchmarking arises endogenously, and analyze its unintended welfare consequences. Fund managers’ portfolios are unobservable and they incur private costs in running them. Conditioning managers’ compensation on a benchmark portfolio’s...

A sharp increase in the popularity of commodity investing in the past decade has triggered an unprecedented inflow of institutional funds into commodity futures markets, referred to as the financialization of commodities. In this paper, we explore the effects of financialization in a model that...

We study the implications of introducing demand shocks and trade in goods into an otherwise standard international asset pricing model. Trade in goods gives rise to an additional channel of international propagationmdash;through the terms of trademdash;absent in traditional single-good models....