Carlsberg grants to Rasmus and Niels – Københavns Universitet

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28. november 2016

Carlsberg grants to Rasmus and Niels

Rasmus Søndergaard Pedersen and Niels Johannesen have taken home Carlsberg grants. Rasmus is granted a two-year postdoctoral grant to develop robust econometric methods for empirical analysis of central dynamic properties of financial time series data.

Rasmus explains his future project: "I will improve methods that will give for example costumers in pension funds more certainty about their wealth when retiring: My research improves existing methods for managing the risk that the financial sector deals with. Take pension funds, for example, they hold risk that vary over time. For instance, it is riskier to hold a share of stock of a financial company during turbulent periods – around the collapse of the Lehmann Brothers in September 2008, for example -  than holding the same share of stock during stable periods. Over the recent decades there has been an increasing amount of research on econometric models that can capture central dynamic properties of financial time series data. In this project, I will develop robust econometric methods for empirical analysis of asset return series, based on the much celebrated GARCH class of time-varying volatility models."

Niels receives a Distinguished Associate Professorship. These are given to the most outstanding newly appointed associate Professors with international experience to consolidate their research group. Niels has started a unique collaboration with a major Danish retail bank. This collaboration is a key element in his new project. He elaborates:

"Household consumption is key to understanding central economic questions about business cycles, inequality and economic growth; however, its measurement remains a major challenge. While many other variables, such as income, unemployment and debt, can be obtained directly from government records, no comparable data sources exist for consumption. Micro-studies therefore typically resort to surveys where households are asked how much they have spent over the past weeks or apply indirect measurement techniques where consumption is inferred from data on income and. Both approaches suffer from significant, and sometimes systematic, measurement error.

In response to this challenge, I have started a unique collaboration with a major Danish retail bank. Banks record every single purchase made by their customers and these records make it possible to obtain a precise measure of consumption by summing all of the purchases made by a given customer in a given period. This technique has a number of advantages. First, consumption can be measured at any frequency: with monthly, weekly or even daily spending measures it is possible to identify sharp changes in consumption. Second, consumption can be computed for large samples; in the present case around 1 million customers at the Bank. Third, overall spending may be decomposed into detailed categories, for instance food, travel and cars. The Bank’s customer files also make it possible to track other important dimensions of household finances in real time: loan applications carry information about credit demand; cash transfers between customers about unearned resources; and securities accounts about gains and losses from portfolios of stocks. To the best of my knowledge, a dataset with such detailed and comprehensive information about household finances has never been put together for research purposes."