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Дергунов Илья Евгеньевич

Факультет экономических наук

Профиль на hse.ru ↗ тел.: +7(495) 772-95-90 | 27167
Публикаций
3
Языков
2
Наград
1
Конференций
0
Профиль Публикации (3) Курсы (8)

Профессиональные интересы

макрофинансыколичественные финансы

Должности

  • Доцент — Факультет экономических наук, Школа финансов

Био

  • · Начал работать в НИУ ВШЭ в 2022 году.
  • · Научно-педагогический стаж: 3 года.

Образование

  • 2019 · PhD: Франкфуртский университет им. И.В. Гёте
  • 2010 · Магистратура: Рейнский Боннский университет им. Фридриха Вильгельма, специальность «Экономика», квалификация «Магистр наук»
  • 2008 · Специалитет: Ульяновский государственный университет, специальность «Математические методы в экономике», квалификация «Экономист-математик»

Опыт работы

  • · 09.2022: н. вр. доцент НИУ ВШЭ
  • · 10.2019 - 06.2022: Австралийский Национальный Университет, Канберра, Австралия Постдок в области финансов
  • · 05.2014 - 09.2019: Исследовательский центр SAFE, Франкфуртский университет им. Гёте, Германия Научный сотрудник в области макро-финансов
  • · 10.2012 -04.2013: Институт промышленной математики Фраунгофера ITWM, Кайзерслаутерн, Германия Стажировка в отделе Финансовой Математики
  • · 10.2010 - 09.2011: Сибирская Угольная Энергетическая Компания (СУЭК) Экономист, Отдел Финансового Анализа

Награды и поощрения

  • · Благодарность Школы финансов НИУ ВШЭ (январь 2025)

Идентификаторы исследователя

Публикации (3)

Production and endogenous preferences

2026 в печати · ARTICLE · en

This paper proposes a two-sector production model augmented with the endogenous preference evolution mechanism. The preference evolution reflects the popularity of two sectors among investors and captures the idea that preferences for the two goods move endogenously over time. The interaction of preference evolution and market-clearing mechanism generates endogenous movements in Tobin’s Q, risk premia and wealth shares different to the standard production economy of Eberly and Wang (2011). The model also implies that wealth fluctuates across sectors due to the shifts in preferences and subsequently because of expected returns and Sharpe ratios. In the empirical tests, I calibrate the baseline model to the US data sample over 1975–2019 and verify that model predictions are supported in the data.

DOI ↗ PDF ↗

Extreme Inflation and Time-Varying Expected Consumption Growth

2023 в печати · ARTICLE · en

In a parsimonious regime switching model, we find strong evidence that expected consumption growth varies over time. Adding inflation as a second variable, we uncover two states in which expected consumption growth is low, one with high and one with negative expected inflation. Embedded in a general equilibrium asset pricing model with learning, these dynamics replicate the observed time variation in stock return volatilities and stock-bond return correlations. They also provide an alternative derivation for a measure of time-varying disaster risk suggested by Watcher [Wachter J (2013) Can time-varying risk of rare disasters explain aggregate stock market volatility? J. Finance 68(3):987–1035]. implying that both the disaster and the long-run risk paradigm can be extended toward explaining movements in the stock-bond correlation.

DOI ↗

International capital markets with interdependent preferences: Theory and empirical evidence

2023 в печати · ARTICLE · en

We propose a two-country model in which preferences change endogenously as a function of the popularity of traded goods. In equilibrium, expected returns and return volatility vary over time, agents prefer popular goods, and their portfolios are biased toward the country that produces the preferred goods. A home bias arises because home equity offers a better investment opportunity for hedging against changes in preference. The dependence of state prices on time-varying popularity reduces the cross-country correlation of consumption growth. These results do not hold when the preferences are constant. The comparison between empirical impulse response functions and those implied by the model supports our theory.

DOI ↗

Курсы (8)