Ian Dew-Becker

Ian Dew-Becker

Northwestern University, Kellogg School of Management
Email: see my address at my Kellogg website
CV

Ian Dew-Becker

Working papers:


Real-time forward-looking skewness over the business cycle

+Info+Data

Cross-sectional uncertainty and the business cycle: Evidence from 40 years of options data With Stefano Giglio.

+Info +Data

Macro skewness and conditional second moments: evidence and theories With Alireza Tahbaz-Salehi and Andrea Vedolin.

+Info

Layoff risk, the welfare cost of business cycles, and monetary policy With David Berger, Lawrence D.W. Schmidt, and Yuta Takahashi.

+Info

Publications:


Uncertainty and volatility

Hedging macroeconomic and financial uncertainty and volatility With Bryan Kelly and Stefano Giglio. Forthcoming, Journal of Financial Economics.

+Info +Data +Online appendix

Uncertainty shocks as second-moment news shocks With David Berger and Stefano Giglio. Review of Economic Studies, 2020.

+Info +Data

The price of variance risk With Stefano Giglio, Anh Le, and Marius Rodriguez. Journal of Financial Economics, 2017. Lead article.

+Info +Data

Information and investment across frequencies

On the effects of restricting short-term investment With Nicolas Crouzet and Charles G. Nathanson. Review of Financial Studies, 2019. Lead article and editor's choice.

+Info

Directed Attention and Nonparametric Learning With Charles G. Nathanson. Journal of Economic Theory, 2019.

+Info

Long-run risk is the worst-case scenario With Rhys Bidder. American Economic Review, 2016.

+Info

Asset pricing in the frequency domain: theory and empirics With Stefano Giglio. Review of Financial Studies, 2016.

+Info +Vox EU column

How risky is consumption in the long-run? Benchmark estimates from a robust estimator. Review of Financial Studies, 2017.

+Info +Replication files

Business cycles

Bond Pricing with a Time-Varying Price of Risk in an Estimated Medium-Scale Bayesian DSGE Model Journal of Money, Credit, and Banking, 2014. Lead article.

+Info +Replication files

Unresolved Issues in the Rise of American Inequality (with R.J. Gordon). Brookings Papers on Economic Activity 2007.

+NBER WP version +Vox EU column +French translation

Where Did the Productivity Go? Inflation Dynamics and the Distribution of Income (with R.J. Gordon). Brookings Papers on Economic Activity, 2005. Slides


Older Unpublished Papers:


A Model of Time-Varying Risk Premia with Habits and Production.

+Info

Essentially Affine Approximations for Economic Models

+Info +Replication files

The Role of Labor Market Changes in the Post-1995 Slowdown in European Productivity Growth (with R.J. Gordon). Draft of 12.2007.

+Vox EU column

  • Titles of earlier drafts:
            "Why Did Europe's Productivity Catch-up Sputter Out? A Tale of Tigers and Tortoises"
            "The Slowdown in European Productivity Growth: A Tale of Tigers, Tortoises and Textbook Labor Economics"

Data sets and replication files:


Firm-level, market-level, and idiosyncratic skewness from "Real-time forward-looking skewness over the business cycle"

The file contains monthly option-implied skewness. At the firm level it is the value-weighted average across firms, and at the market level it is for the S&P 500.
This data is from the current draft of the paper and is subject to revision until final publication. Version date: 12/1/2020

Aggregate and cross-sectional uncertainty from "Cross-sectional uncertainty and the business cycle: Evidence from 40 years of options data"

The files contain historical data for option implied volatility for the S&P 500, averaged across firms (weighted by market capitalization), and the measure of cross-sectional or firm-specific implied volatility described in the paper.
This data is from the current draft of the paper and is subject to revision until final publication. Version date: 8/10/2020

Returns on straddles in 19 financial and commodity option markets from "Hedging macroeconomic and financial uncertainty and volatility"

The file contains two-week returns on delta-neutral straddles as decribed in the paper. Monthly at-the-money implied volatilities for the markets are also included

S&P 500 VIX extended back to 1983; from "Uncertainty shocks as second-moment news shocks"

The file contains monthly data for one- and six-month implied volatilities, calculated using the VIX-type formula, for 1983–2014. Daily data is available on request.

Variance swap prices from "The price of variance risk"

The file contains monthly prices for S&P 500 variance swaps for 12/1995–9/2013

Asset pricing in the frequency domain: Theory and empirics (VoxEU.org column with Stefano Giglio). 10.20.2013

Summary:
Stabilisation policy should focus on the frequencies consumers care most about. This column presents evidence from stock-market returns suggesting that consumers are willing to pay the most to avoid – and are therefore most concerned about – fluctuations that last tens or hundreds of years. Modern macroeconomic theory tends to view the role of monetary policy as smoothing out inflation and unemployment over the business cycle. The authors' findings suggest that resources would be better spent on policies that smooth out longer-run fluctuations.

How Much Sunlight Does it Take to Disinfect a Boardroom? A Short History of Executive Compensation Regulation in America CESifo Economic Studies 55(3-4), 2009, pp. 434-457

Abstract:
I review the history of executive compensation disclosure and other government policies affecting CEO pay. In so doing, I also review the literature on the effects of these policies. Disclosure has increased nearly uniformly since 1933. A number of other regulations, including special taxes on CEO pay and rules regarding votes on some pay packages have also been introduced, particularly in the last 20 years. However, there is little solid evidence that any of these policies have had any substantial impact on pay. We can conclude that policy changes have helped drive the move towards more use of stock options, but there is no conclusive evidence on how policy has affected the level or composition of pay otherwise. I also review evidence from overseas on "Say on Pay," recently proposed in the US, which would allow nonbinding shareholder votes on CEO compensation. The experiences of other countries have been positive, with tighter linkages between pay and performance and improved communication with investors. Mandatory say on pay would be beneficial in the US.

The rise in American inequality (with R.J. Gordon). 6.19.2008

Summary:
Only the top 10% of US earners have seen their incomes grow faster than productivity since 1966. Part of the top-earner income growth is driven by market forces (superstar economics); the only feasible pro-equality policy here is more progressive taxation. For top corporate executives, however, non-market forces (CEO-Board complicity in pay setting) are important, so other policies are warranted. Increased disclosure and improved corporate governance would distribute economic gains more evenly across society and boost firms' value.

Europe's employment growth revived after 1995 while productivity growth slowed: Is it a coincidence? (with R.J. Gordon). 4.15.2008

Summary:
Europe's jobs outlook has brightened over the past decade. Recent research suggests that about half the rise in job creation is due to labour market reforms, but much of the rest is due to changing social norms concerning female and immigrant labour force participation. But what's good for European job creation seems to be bad for labour productivity growth – a trade-off that European policymakers must be willing to acknowledge and address.