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Roman SYSUYEV |
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Department of Economics Harkness Hall E-mail: rsysuyev “at” mail.rochester.edu Phone: (585) 530-9045 |
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I
am a Ph.D. candidate in Economics at the My
research interests are Macroeconomics, Contract Theory and Quantitative
Methods. I
will be available for interviews at the AEA/ASSA meetings in |
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Research |
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Job market paper: “Ambiguity
in a Two-Country World”, with Irasema Alonso, revision requested by JET. Abstract: The correlation between consumption levels
in different countries is much lower than what is suggested by models of
efficient risk sharing with common beliefs. Relatedly, observed asset
positions of consumers in different countries suggest a “bias” toward
home-country investments, even for countries where asset markets are quite
well developed. This paper examines a mechanism that can generate these
observations by considering preferences that allow ambiguity aversion of the
sort illustrated by the Ellsberg Paradox. A key assumption is that the home
consumer is more ambiguous about the process generating productivity shocks
in the foreign country than about that in the home country. In the context of
a two-country dynamic general equilibrium model with technology shocks, it is
shown that the model generates low consumption correlations, higher output
correlations, biased financial portfolios, and biased real investment flows.
Moreover, a very modest amount of ambiguity suffices in order to generate the
main findings: with ambiguity at or above a certain threshold, consumers
“choose autarky”, i.e., they choose to have exactly zero consumption
correlation with foreigners (and a 100% home-biased portfolio). |
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“Sectoral Reallocation in a Model with
Differentiated Goods and Imperfect Worker Mobility”, with Marianna Kudlyak, work in
progress. |
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“Capital Investment in Search and Matching Model
with Uninsurable Labor Market Shocks”, work in progress. |
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