Working papers

• Disaster Risk and Wealth Inequality (with Alexander Dietrich, Danmarks Nationalbank, Gernot Müller, University of Tuebingen)

  • Show Abstract
    Rich households derive a large part of their income from productive capital, which is at risk of large devaluations in a disaster event. Using data from a survey-based randomized controlled trial (RCT), we first establish that rich households tend to increase their saving rate in response to a heigher perceived risk of a disaster, while poorer households show a weakly negative response. Next, we calibrate an incomplete markets model with both idiosyncratic and aggregate (disaster) risk to the survey evidence and use it to quantify the effect of disaster risk on wealth inequality. Regressions on local exposure to natural disasters and on international variation in GDP tail risk support the model prediction that disaster risk increases wealth inequality.

  • presented at Danmarks Nationalbank Research Seminar (2024), VfS (2025), ifo Conference on Macroeconomics and Survey Data (2025), EWMES (2025), EAYE (2026), T2M (2026), NASM (2026), BSE Summer Forum (2026)

  • PDF

• Local Methods for Large Transfers (with Christian Bayer, University of Bonn, Luigi-Maria Briglia, University of Tuebingen, Ralph Luetticke, University of Tuebingen, Yannik Winkelmann, University of Tuebingen)

  • submitted

  • Show Abstract
    Large fiscal transfers shift households between regions with high and low marginal propensities to consume (MPCs), resulting in nonlinear aggregate responses. We develop a Nonlinear DEGM Update (NDU) method that shifts the wealth distribution nonlinearly over a short time window while solving the aggregate economy using a fast, first-order state-space approximation. A 10 percent transfer of annual GDP increases output by 4.5 percent in the nonlinear and NDU solutions, but by 12.0 percent in the linear solution. The empirical liquid-wealth distribution around zero disciplines this nonlinearity and exhibits a strong asymmetry. A stochastic debt-entry cost closely reproduces this empirical pattern.

  • presented at EWMES (2026, scheduled)

  • Ungated, CEPR, Github Repo, Cite

• Why Do Supply Disruptions Lead to Inflation (While Demand Booms Do Not)? Survey Evidence from the COVID Pandemic (with Thomas Kohler, Bochum University of Applied Sciences, Jean-Paul L’Huillier, Brandeis University, Gregory Phelan, Williams College)

  • Show Abstract
    Firms tend to justify price increases as necessary to cover rising costs. Changes in consumer spending, instead, cannot serve as justification for price increases. We analyze how this asymmetry affects the decomposition of inflation into supply and demand factors. We base our analysis on a model that explains shock-dependent pricing, and extend it by deriving a sufficient statistic for relative inflation contributions. Novel survey data on the price-setting of German firms at the reopening of the economy post-COVID provides direct evidence for calibrating the model. We find that supply shocks are responsible for most of the upward adjustment of prices.

  • presented at EEA-ESEM (2023), SED (2025), VfS (2025), SED (2026)

  • Ungated, SSRN, Cite

• Fundamental Stock Price Cycles

  • Show Abstract
    News shocks about higher future capital returns can explain stock price-booms and subsequent -busts in a two-asset, heterogeneous agent New Keynesian model. The portfolio choice between more liquid and less liquid forms of capital is key, as it allows for a time-varying illiquidity premium. The arrival of investment opportunities induces capital-rich households to hold more illiquid capital at a lower premium, in anticipation of higher future returns on it. The anticipated higher consumption risk due to less liquid portfolios increases the value of more liquid assets, like stocks. When capital returns mean-revert, capital-rich households rebalance their portfolios, which increases the illiquidity premium and causes stock prices to fall. Novel evidence from survey data on portfolio choices of capital-wealthy households during stock price boom-bust cycles supports the key mechanism of the model.

  • presented at YES (Yale, 2022), MMF (2023), HeiTueHo (2024), EWMES (2024)

  • PDF

Publications

• An Endogenous Gridpoint Method for Distributional Dynamics (with Christian Bayer, University of Bonn, Ralph Luetticke, University of Tuebingen, Yannik Winkelmann, University of Tuebingen)

  • Journal of Monetary Economics, 2026

  • Show Abstract
    Modeling continuous choices in heterogeneous agent models as ‘lotteries’ over a discretized state space is standard practice (Young, 2010), but renders the distributional dynamics linear in optimal policies. We present a novel, simple method that captures nonlinearities and solves the distributional dynamics with interpolation instead of integration using the idea of an endogenous grid. Our approach solves for a stationary equilibrium as quickly as the lottery method for a given precision, outperforms it for linear dynamics, and accommodates nonlinear dynamics and aggregate risk. We demonstrate its efficacy by studying a model with aggregate investment risk with a third-order perturbation solution.

  • Ungated, CEPR Discussion Paper, Published Version, Cite

CV

You can find my CV here.