Kirill Shakhnov

Dr Kirill Shakhnov


Lecturer in Economics
+44 (0)1483 682774
22 AD 00
Friday: 10:00 am -12:30 pm

Academic and research departments

School of Economics.

Biography

Research

Research interests

My teaching

My publications

Publications

Kirill Shakhnov (2021)The allocation of talent: Finance versus entrepreneurship, In: Review of economic dynamics Elsevier Inc

The rapid growth of US financial services coupled with rapid increases in wealth inequality have been focusing policy debate as to the function of the financial sector and on its social desirability as a whole. I propose a heterogeneous agent model with asymmetric information and matching frictions that produces a tradeoff between finance and entrepreneurship. By becoming bankers, talented agents efficiently match investors with entrepreneurs, but extract excessive informational rents due to contract incompleteness. Thus the financial sector is inefficiently large in equilibrium, and this inefficiency increases with wealth inequality. The estimated model with time variation in the banker capacity accounts for the simultaneous growth of wealth inequality and the financial sector in the US. The endogenous feedback between inequality and the size of the financial sector is quantitatively important.

KIRILL SHAKHNOV (2021)Global Risk in Long-Term Sovereign Debt, In: The Review of Asset Pricing Studies Oxford University Press

This paper focuses on emerging market government bonds issued in local currency with different maturities. Foreign investors face interest rate, currency, and credit risks. We consider the entire term structure of carry trade returns and find that, while the default premium does not contribute to carry trade strategies, the contribution of interest rate risk, captured by the term premium, is large and increases with maturity. We introduce default risk in an otherwise standard affine model; we show that the volatility of the permanent component of the SDFs must be different across emerging markets in order to match these stylized facts. (JEL F31, F34, G15)