Viktor Tsyrennikov


Publications

  1. A Case for Market Incompleteness w L.Blume, T.Cogley, D.Easley, T.Sargent
    Journal of Economic Theory, November 2018
    [ Working paper ]
  2. Envelope Condition Method with an Application to Default Risk Models w C.Arellano, L.Maliar, S.Maliar
    Journal of Economic Dynamics and Control, August 2016
    [ Working paper ]
  3. International Portfolios: A Comparison of Solution Methods, w Katrin Rabitsch, Sergiy Stepanchuk
    Journal of International Economics, November 2015
  4. Exchange Rates and Trade Flows: Disconnected?, w W.Lian, D.Leigh, M.Poplawski-Ribeiro
    World Economic Outlook, Chapter 3, October 2015
    [ Bloomberg video ] [ VoxEU ]
  5. Portfolio and Welfare Consequences of Debt Market Dominance, w Sergiy Stepanchuk
    Journal of Monetary Economics, September 2015
  6. Wealth Dynamics in a Bond Economy with Heterogeneous Beliefs, w Tim Cogley, Tom Sargent
    The Economic Journal, March 2014.
    An extended appendix exploring many issues not covered in the main article:
    Speculation and Wealth when Investors Have Diverse Beliefs and Financial Markets Are Incomplete
  7. Capital Flows Under Moral Hazard
    Journal of Monetary Economics, December 2012
  8. Market Prices of Risk with Diverse Beliefs, Learning, and Catastrophes, w Tim Cogley, Tom Sargent
    The American Economic Review, P&P, May 2012.
  9. Heterogeneous Beliefs, Wealth Distribution, and Asset Markets with Risk of Default
    The American Economic Review, P&P, May 2012.
  10. Efficient Estimation of Semiparametric Copula Models, w Xiaohong Chen, Yanqin Fan
    Journal of the American Statistical Association, September 2006.
    Extended version with numerical examples.
    [ Download sample Matlab code, zip archive, 12KB ]

Working papers

  1. Capital flows, beliefs, and capital controls w Olena Rarytska
  2. Trading on Sunspots w Boyan Jovanovic
  3. Investment, speculation, and financial regulation
  4. Asymmetric Price Adjustments in the Retail Gasoline Market, w Olena Rarytska
  5. Non-parametric distributions, uncertainty, and asset prices w Heidi Verheggen
  6. Asset Market, Diverse Beliefs, and Borrowing Limits
  7. Mechanics of Wealth Dynamics with Heterogeneous Beliefs
  8. Idiosyncratic Risk and Global Imbalances