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Scott Joslin is a financial economist whose research focuses on capital markets, in particular, the study of bond and options markets and their interaction with the macroeconomy. His research involves sophisticated econometric and statistical techniques, and development of methods to solve computationally difficult problems. Professor Joslin's work has been published in journals that include American Economic Review and Review of Financial Studies. Prior to joining USC, he was on the faculty of MIT's Sloan School of Management.
Areas of Expertise
RESEARCH + PUBLICATIONS
This paper connects two highly concerning world problems today – inflation and widening inequality. It identifies a granular origin of widening inequality using two stages. First, low-income individuals are systematically exposed to higher cost of living relative to high-income individuals. Second, this "inflation gap" manifests in the gradual future widening gaps in the relative frequency of low-income individuals with (a) lower ownership of real estate, (b) higher credit card debt balances, (c) no health insurance, (d) poorer health conditions, (e) lower educational attainment, (f) higher real estate rental, as well as (g) higher frequency of property crimes. Using micro-level data, when available, we also document causal linkages between current inflation gaps and future widening inequality.
We analyze the term structure of Treasury liquidity premium (LP). Through a model
where illiquidity shocks are alleviated by holding Treasuries, we show that LP term
structure is shaped by expectations of future market liquidity, liquidity term premium, and Treasury supply. As predicted, the LP term structure is downward-sloping
in recessions but upward-sloping in booms, and forward LP predicts future LP and
market liquidity. Furthermore, LP is quantitatively important for monetary policy
pass-through: LP dampens the pass-through of interest rate policy yet strengthens
the pass-through of quantitative easings. We also use LP to infer the term structure
of Treasury safety premium.
We propose a new class of no-arbitrage term structure models with stochastic volatility. This class of models allow for tractable pricing of bonds. We show how standard affine term structure models are unable to capture violations of the expectations hypothesis due to predictable forecast errors. In contrast, the almost-affine class is consistent with both historical variation in volatility and the observed violations of the expectation hypothesis.