ERC Starting Grants awarded to Dmitry Kuvshinov and Katerina Petrova

A total of 40 competitive grants from the European Research Council have been awarded to current BSE Affiliated Professors.

Barcelona School of Economics Affiliated Professors Dmitry Kuvshinov and Katerina Petrova have each been awarded an ERC Starting Grant.

Funding from the European Research Council allows researchers to explore innovative ideas and work towards improving and advancing key issues and challenges in a number of different areas including Physics, Social Sciences, Medicine, and Humanities.

ERC Starting Grants are awarded to researchers at the beginning of their careers to launch their own projects, form their teams, and pursue their best ideas.

Current BSE Affiliated Professors at all stages of their research careers have received a total of 40 ERC grants:

  • 18 ERC Starting Grants for promising researchers just establishing their careers
  • 10 ERC Consolidator Grants for mid-career researchers
  • 12 ERC Advanced Grants for established research leaders

Read about all the ERC projects in the BSE research community

About the new ERC Starting Grant Projects

portraitSafety, Liquidity, and Crises

Dmitry Kuvshinov (UPF and BSE)

Normally, we think of crises as being caused by economic agents taking on too much risk, e.g. firms and households accumulating too much risky debt. But in many recent and historical crisis episodes, something went wrong in the markets for safe and liquid (as opposed to risky) assets: i.e., those assets whose values should be stable, and which are, in principle, easy to sell (for example, government and mortgage bonds). However, despite their importance in crisis narratives and theories, there has been no systematic empirical analysis of the role these types of assets play in crises, mainly because we lack the necessary data.

This proposal will construct the first long-run database of quantities and prices of safe and liquid assets, covering many countries over the last 150 years, and use these data to study the contribution of safe assets and liquidity to crises, and to macro-financial risk more generally. SAFECRISES will study which assets are actually safe and liquid, how their quantities and prices have evolved over the long run, and how they change and interact with economic and financial risks before and after systemic crisis events.

portraitUniform Inference with Time Series

Katerina Petrova (UPF and BSE)

This project proposes a novel econometric approach suited for hypothesis testing and confidence interval construction in the presence of generic time series regressors with arbitrary persistence degree. The project will develop inference for a large class of regressor processes commonly encountered in macroeconomic and financial data, ranging from stationary, local-to-unit-root, explosive, long memory, time-varying parameter and other nonstationary processes as well as multivariate systems containing mixed components.

The key idea behind the approach is to build a new explanatory variable from the data which conforms to a standard central limit theory even when the original regressor does not. The resulting instrumental variable estimators based on this endogenously constructed instrument are shown to be asymptotically mixed-Gaussian regardless of the true stochastic nature of the regressor, implying standard inference for any IV-based self-normalised test.

The main contribution of the project is to place a large class of nonstandard processes with a wide range of dynamics and memory properties under a common econometric framework which delivers standard inference regardless of the regressorís stochastic properties. The asymptotic development of the procedure requires fundamental theoretical contributions such as a novel Granger-Johansen type representation theory for multivariate time series with mixed stochastic components and the asymptotic analysis of time series with different persistence types. The novel procedure is shown to be valid uniformly across persistence regimes and automatically delivers asymptotically correct inference without a priori knowledge of the regressor's true stochastic nature. In addition to its generality and theoretical coherence, the approach has the added advantage of ease of implementation (with closed-form estimators and tests that employ standard critical values), thus making it suitable for general practical application. This project aims to start in 2025.

See also

Press release from the European Research Council

News article from Universitat Pompeu Fabra

All ERC Grants in the Barcelona School of Economics research community