JOSÉ L. FILLAT |
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5550 S. Dorchester Ave., apt. 1409 |
+1 (773) 575-4955 |
Chicago , IL 60637 |
jlfillat@uchicago.edu |
U.S.A. |
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ACADEMIC BACKGROUND
Ph.D. Candidate in Economics, (expected graduation). |
Sept 2002 – (Jun 2008) |
M.A. in Economics, |
Sept 2002 – Jun 2003 |
M.Sc. in Economics, with Honors, |
Sept 2000 – Jun 2001 |
B.Sc. in Economics, |
Sept 1996 – Jun 2000 |
RESEARCH INTERESTS
Macroeconomics Finance, Asset Pricing, Housing Market
Game Theory, Political Economy.
JOB MARKET PAPER
“Housing as a Measure for Long-Run Risk in Asset Pricing”, University of Chicago, 2007. Advisor: Lars P. Hansen.
I evaluate the effects of long-run consumption growth risk and housing consumption risk on asset prices. Current asset values are affected by the risk-return tradeoff in the long-run. Housing plays an important role in the economy. As an asset, it is particularly sensitive to long-run risk-return trade off; as a consumption component, it accounts for one fifth of the total expenditures in non durable goods and services. The investment horizon for housing is usually distant in the future. Investors fear shocks that can affect the value of their house for a long period of time. Such shocks affect substantially the services obtained from the house and its price as an asset as well. I use a non-separable utility function with non-housing consumption and consumption of housing services, which generates an intertemporal composition risk, besides the traditional consumption growth risk. The composition risk has effects for the valuation of cash flow growth fluctuations far into the future due to the persistence of consumption growth. I provide a closed form solution for the valuation function despite the non-separability. This allows me to quantify the price of risk in the long-run with inputs from vector autoregressions. I evaluate the different exposure to long-run risk of a cross section of portfolios of securities, and characterize the price of risk for different investment horizons. The model also explains the spread of the returns to different portfolios sorted in book to market and housing returns, at different investment horizons.
WORKING PAPERS
“Long-Horizon Dynamic Asset Allocation in the Presence of Housing” , with F. Vázquez-Grande, University of Chicago, 2007
“GMM Estimation of an Asset Pricing Model with Habit Persistence ”, with H. Garduño, University of Chicago, 2005
“Fiscal Federalism and Endogenous Growth” , University of Chicago, 2005.
“Habits meet Limited Participation” , University of Chicago, 2004. Advisor: John Cochrane.
“Beyond Habits: An Empirical Investigation” , with H. Garduño, University of Chicago, 2004.
SEMINARS AND CONFERENCES
Midwest Economics Association Annual Meeting, Minneapolis. |
March 2007 |
Thesis Proposal at University of Chicago, Chair of the Committee, Prof. Lars P. Hansen. |
May 2006 |
Workshop at University of Chicago. |
Feb 2006 |
Seminar at Universitat Pompeu Fabra, Barcelona, Spain. |
Dec 2005 |
Conference “XIII Foro de Finanzas” organized by the Bank of Spain, Madrid, Spain. |
Nov 2005 |
Conference of the Latin American and Caribbean Association of Law and Economics, at the University of California – Berkeley. |
Apr 2005 |
ACADEMIC AWARDS
Margaret G. Reid Memorial Fund Dissertation Fellowship, |
2006-2007 |
Prize for the best paper of the XIII Foro de Finanzas at the Bank of Spain, for the paper “GMM Estimation of an Asset Pricing Model with Habit Persistence” with Hugo Garduño. |
Nov 2005 |
Division of Social Sciences Financial Aid Award, |
2004 – 2006 |
Scholarship for post-graduate studies abroad, |
2002 – 2006 |
Universitat Pompeu Fabra Fellowship for M.Sc in Economics, Barcelona, Spain. |
2000 – 2002 |
PROFESSIONAL AFFILIATION
Referee for the Journal of Political Economy, member of the American Economic Association, American Finance Association, and Midwest Economics Association.
WORKING EXPERIENCE
Research Assistant at Research Center on Economics and Health (CRES), Universitat Pompeu Fabra, Barcelona, Spain.
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2000 |
Banca Catalana (BBVA Group), Banking Administrative, Spain.
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1999 |
TEACHING EXPERIENCE
Teaching Assistant, MBA Course, University of Chicago Graduate School of Business. |
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Fixed Income Asset Pricing, with Pietro Veronesi.
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2006 – 2007 |
Lecturer, Undergraduate Courses, University of Chicago, Department of Economics. |
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Elements of Economic Analysis III (Intermediate Macroeconomics)
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2007 – 2008 |
Teaching Assistant, Undergraduate Course |
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Introduction to Microeconomics, Introduction to Macroeconomics, with Allen Sanderson Elements of Economic Analysis IV (Fiscal Policy) with Ricard Gil Department of Economics, University of Chicago.
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2004 – 2007 2004 |
Econometrics, Advanced Econometrics, Game Theory Department of Economics, Universitat Pompeu Fabra, Barcelona, Spain.
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2001 – 2002 |
Probability, Introduction to Economics Department of Political Sciences, Universitat Pompeu Fabra, Barcelona, Spain. |
2000 – 2001 |
SKILLS
Programming : Matlab (proficient), Stata (proficient), Fortran (basic), LaTeX (proficient), HTML (basic), Excel, Word.
Languages: English (fluent), Spanish (native), Catalan (native), Italian (reading level), German (basic).
Other: Run the La Salle Bank Chicago Marathon, 2005.
1 st place Team Sparring, Midwest HwaRangDo Championship, 2004.
REFERENCES
Lars P. Hansen (chair) |
773-702-6576 |
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Monika Piazzesi |
773-834-3199 |
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Harald Uhlig |
773-702-8191 |
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Allen Sanderson |
773-702-9459 |
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Pietro Veronesi |
773-702-6348 |