Research areas
- Asset pricing
- Macro-finance
- Term structure of interest rates
- Long-run risks and consumption-based asset pricing
- Regime-switching models in finance
Key papers
- bansal-zhou-2002-term-structure-regime-shifts — Term Structure of Interest Rates with Regime Shifts (Journal of Finance, with Hao Zhou)
- generalized-disappointment-aversion-long-run-volatility — (referenced; the Bansal-Yaron LRR model is the benchmark that Bonomo et al. approximate with Markov switching)
- higher-order-effects-asset-pricing-models — (referenced; Pohl et al. show log-linearization errors in the Bansal-Yaron and BKY models)
Recent work
- Long-run risks model (with Amir Yaron) and its many extensions remain a foundational reference for consumption-based asset pricing.
Collaborators
- hao-zhou (term structure, regime switching)
- Amir Yaron (long-run risks)
My notes
Bansal is one of the leading figures in macro-finance and a foundational author for the no-arbitrage regime-switching branch that the CRE project builds on. The 2002 JF paper with Zhou is the canonical precedent for the architectural choice of “let everything switch with a Markov chain, then preserve no-arbitrage.” Importance score 5: the paper count, citation footprint, and direct relevance to our project all support a top score.