Rodolfo Prieto

TL;DR: In this paper, the authors study an economy populated by three groups of myopic agents: constrained agents subject to a portfolio constraint that limits their risk taking, unconstrained agents with a standard nonnegative wealth constraint, and arbitrageurs with access to a credit facility and show that arbitrage activity has an impact on the price level and generates both excess volatility and the leverage effect.

TL;DR: This paper developed an approach that combines the estimation of monthly firm-level expected returns with an assignment of firms to (possibly) latent groups, both based on observable characteristics, using machine learning principles with linear models.

TL;DR: In this paper, the authors introduce a macro-finance model in which monetary authorities adjust the money supply by targeting not only output and inflation but also the slope of the yield curve, and study the impact of McCallum-type rules on capital growth, the volatility of interest rates, the spread between long and short-term rates, persistence of monetary shocks and equity volatility.

TL;DR: In this article, the authors study long discount rates in a dynamic asset pricing model with a production side with multiple technologies and an R&D decision that endogenizes technological change, and derive an affine combination of discount factors analogous to defaultable bond prices with zero recovery.