Albert Marcet

Institut d’Anàlisi Econòmica (CSIC - IAE) & Fundació Markets, Organizations and Votes in Economics (MOVE)

Social & Behavioural Sciences

* PhD in Economics U. of Minnesota, 1987 * Assistant professor, Carnegie Mellon University, 1986-1991 * Full Professor, Universitat Pompeu Fabra, 1990-2004 * Research Professor, IAE-CSIC, 2004-2009 * Full Professor, London School of Economics, 2009-2011

Research interests

RECURSIVE CONTRACTS In social sci. it is common to find models of dynamic stochastic optimization with forward-looking constraints, e.g., in models of optimal policy or optimal contracts. These models are not amenable to a standard Bellman equation treatment. We propose a new way of formulating recursively these dynamic optimization problems. Our approach has a very wide range of applications. ASSET PRICES AND LEARNING Asset prices show huge fluctuations over time that are hard to reconcile with actual fundamentals. We explore those agents that behave rationally and have an empirically plausible model of asset prices. We explain stock and housing price fluctuations. DEBT MANAGEMENT The European debt crisis highlights the importance of choosing appropriately the bond portfolio issued by governments (debt management). Fiscal sustainability may depend on what bonds mature and when. We analyze the optimal combination of bond maturities that should be issued over the business cycle.

Selected publications

– Adam K, Marcet A & Nicolini JP 2016, ‘Stock Market Volatility and Learning’, Journal of Finance. 71, 1, 33 – 82.

Selected research activities

Honors and Awards:

  • Rei Jaume I Prize in Economics – 2016

Invited talks:

‘Asset Price Volatility and Learning’

  • Université Catholique de Louvain, Belgium, 6 Oct, 2016.
  • Banque de France, France, 27 Sep, 2016.
  • Summer Forum, BGSE, Barcelona, Spain, 16 Jun, 2016.
  • Duke University, United States of America, 26 Apr, 2016.

‘Learning and Asset Prices’

  • Money, Macro and Finance Conference, University of Bath, United Kingdom, 7 Sep, 2016.

‘Leaving the Euro’

  • Fiscal Sustainability XXI Century, Bank of Spain, Spain, 7 Jun, 2016.

‘Asset Prices and Learning’

  • Board of Governors of the Federal Reserve System, United States of America, 28 Apr, 2016.