Ian Dew-Becker，2012年哈佛经济系博士毕业，研究领域：资产定价，宏观经济学

Ian Dew-Becker主页：http://www.dew-becker.org/

Employment
Assistant Professor of Finance, Kellogg School of Management, Northwestern University, 2014–Present
Assistant Professor of Finance, Fuqua School of Business, Duke University, 2013–2014
Economist, Federal Reserve Bank of San Francisco, 2012–2013
Education
Ph.D., Economics, Harvard University, 2012
A.M., Economics, Harvard University, 2009
B.A., Economics and Mathematical Methods in the Social Sciences, Northwestern University, 2006

---

Dissertation Advisor: Professor John Y. Campbell

Ian Louis Dew-Becker
Essays on Time-Varying Discount Rates
ABSTRACT
This dissertation consists of three essays that explore the interaction between various
discount rates and the macroeconomy.
The first essay studies the cross-section of discount rates, specifically, the term structure
of interest rates. When physical capital is discounted like a bond with a similar duration,
a high term spread is associated with low average duration for investment. I document a
strong negative correlation between the term spread and the duration of investment, implying
an important role for the cost of capital in determining the composition of aggregate
investment. The results are robust to including a variety of controls. Consumer durable
goods purchases display similar behavior.
The second essay develops a new utility specification that incorporates Campbell–
Cochrane–type habits into the Epstein–Zin class of preferences. It is a model in which
risk premia change over time. In a simple calibration of a real business cycle model with
EZ-habit preferences, the model generates a strongly countercyclical equity premium, substantial
equity return predictability, and a stable riskless interest rate, as in the data. Moreover,
conditional on the average level of risk aversion, time-variation in risk aversion increases
the volatility and mean return of equities. On the real side, the model matches
the short and long-term variances of output, consumption, and investment growth. As an
additional empirical test, I measure implied risk aversion and find that it has an R² of over
50 percent for 5-year stock returns in post-war data.
The third essay develops a New-Keynesian model in which households have Epstein–
Zin preferences with time-varying risk aversion and the central bank has a time-varying
inflation target. The model matches the dynamics of nominal bond prices in the US economy
well: the fitting errors for individual bond yields are roughly as large as those obiii
tained from a non-structural three-factor model, and two thirds smaller than in models
with constant risk aversion or a constant inflation target.
iv