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Articles by Ralph Koijen
Assessing the Benefits of Optimized Agentic AI Systems for Asset Pricing
We thank Andrew Chen (discussant), Ingrid Tierens, Stefan Nagel, and conference and seminar participants at The Future of AI in Asset Management Conference at Chicago Booth, the ABFR Seminar, Baruch College, Columbia University, and the University of Utah for helpful feedback and suggestions. For financial support, Koijen thanks the Center for Research in Security Prices at the University of Chicago and the Fama Research Fund at the University of Chicago Booth School of Business.
Aggregate lapsation risk
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Understanding the Ownership Structure of Corporate Bonds
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Report of the Task Force on Financial Stability
Following the Global Financial Crisis of 2007-09, the U.S. and other economies shored up the resilience of their banks through more demanding capital and liquidity requirements and rigorous stress testing. The disruptions of financial markets at the onset of the pandemic in March 2020 underscored the vulnerabilities of markets and institutions that comprise the important—and growing—nonbank sector of the financial system through which much credit to businesses, households, and government flows.
In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis
We develop a framework to theoretically and empirically analyze the fluctuations of the aggregate stock market. Households allocate capital to institutions, which are fairly constrained, for example operating with a mandate to maintain a fixed equity share or with moderate scope for variation in response to changing market conditions.
A win-win for health and life in times of COVID
Rachel Adams Greenup, Ralph Koijen, J. Leonard Lichtenfeld, Stijn Van Nieuwerburgh 25 September 2020 The COVID-19 pandemic has overwhelmed US hospitals and health systems, but at the same time many households are foregoing medical care due to financial insecurity and the withdrawal of employer-sponsored health insurance in the wake of massive job losses.
Coronavirus: Impact on stock prices and growth expectations
The economic effects of the coronavirus outbreak, and the preventive measures adopted around the world, are still largely unknown. In addition, standard macroeconomic models based on fundamentals may be slow to adapt in this fast-changing environment. This column uses high-frequency data on dividend futures to evaluate the impact on growth expectations.
Economic policy principles for combatting the COVID-19 crisis
Credit: Associated Press Governments around the world are in the midst of deploying a host of policies to deal with the crisis created by the spread of COVID-19. The economic shock from this crisis is going to be huge, with an enormous human cost. The pain will fall disproportionately on certain people and sectors. Some policies can be taken from the usual macroeconomic toolkit. Central banks have appropriately eased monetary conditions.
Three pillars of the economic policy response to the COVID-19 crisis
Governments around the world are in the midst of deploying a host of policies to deal with the crisis created by the spread of COVID-19. The economic shock from this crisis is going to be huge, with an enormous human cost. The pain will fall disproportionately on certain people and sectors. Some policies can be taken from the usual macroeconomic toolkit. Central banks have appropriately eased monetary conditions.
Restarting asset purchases in the euro area
Restarting asset purchases in the euro area: Lessons from €2 trillion of ECB purchases Ralph Koijen, François Koulischer, Benoît Nguyen, Motohiro Yogo 18 September 2019 Recent economic performance in the euro area has once again raised the possibility of the ECB conducting asset purchases. This column sorts security-level portfolio holdings data by investor type and across countries in the euro area to study portfolio rebalancing during the ECB purchase programme from 2015-17.
Financing the war on cancer
New drugs mean that many types of cancer are no longer a death sentence. But new medical treatments may have a catastrophic financial cost for patients. Tim Phillips talks to Ralph Koijen about how life insurance, not medical insurance, might finance the war on cancer.
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