Tarek Hassan joined Chicago Booth as an Assistant Professor of Finance after earning his PhD from Harvard University in 2009. Building on his research at Harvard, Hassan studies international finance, economic history, and macroeconomics. His most recent work in international finance is titled “Country Size, Currency Unions, and International Asset Returns.” This paper earned him the honor of Winner of the Austrian Central Bank's 2009 Klaus Liebscher Award for best paper on European Monetary Union and Integration Issues. The Roger Martin Graduate Fellowship, a Harvard Grant, and a scholarship from the German National Academic Foundation are amongst Hassan’s other varied honors, scholarships, and fellowships.
With research experience at Harvard University, UC Berkeley, and the University of Mannheim, the breadth of Hassan’s experience also includes work placements at Dresdner Bank and the German-Arab Chamber of Commerce in Cairo. Furthermore, he has teaching experience as a fellow in areas including Trade Policy, International Finance, and Macroeconomics amongst others.
In addition to presenting at such institutions as the World Bank, MIT Sloan, Harvard Business School, and the London School of Economics, Hassan is currently a referee for the Quarterly Journal of Economics, the Review of Economics and Statistics, and the Journal of the European Economic Association. Hassan is also a research fellow of the National Bureau of Economic Research and the Centre for Economic Policy Research.
Outside of academia, Hassan is interested in German politics. This is an area which he became actively involved in during his high school and college studies.
2013 - 2014 Course Schedule
||International Macroeconomics and Finance
With Daron Acemoglu and James A. Robinson, "Social Structure and Development: A Legacy of the Holocaust in Russia," The Quarterly Journal of Economics 126(2), 895-946 (2011).
With Thomas Mertens, "Financial Risk: A Tragedy of the Commons," American Economic Review, Papers and Proceedings 101(2, 402-405) (2011).
REVISION: The Social Cost of Near-Rational Investment
We show that the stock market may fail to aggregate information even if it appears to be efficient; the resulting collapse in the dissemination of information may drastically reduce welfare. We solve a macroeconomic model in which information about fundamentals is dispersed and households make small, correlated errors around their optimal investment policies. As information aggregates in the market, these errors amplify and crowd out the information content of stock prices. When stock prices reflect less information, the perceived and the actual volatility of stock returns rise. This increase in financial risk makes holding stocks unattractive, distorts the long-run level of capital accumulation, and causes costly ( first-order) distortions in the long-run level of consumption.
REVISION: The Social Cost of Near-Rational Investment
We show that the stock market may fail to aggregate information even if it appears to be efficient and that the resulting decrease in the information content of stock prices may drastically reduce welfare. We solve a macroeconomic model in which information about fundamentals is dispersed and households make small, correlated errors around their optimal investment policies. As information aggregates in the market, these errors amplify and crowd out the information content of stock prices. When stock prices reflect less information, the volatility of stock returns rises. The increase in volatility makes holding stocks unattractive, distorts the long-run level of capital accumulation, and causes costly (first-order) distortions in the long-run level of consumption.
REVISION: Information Aggregation in a DSGE Model
We solve and quantitatively analyze a canonical noisy rational expectations model (Hellwig, 1980) within the framework of a conventional real business cycle model. Each household receives a private signal about future productivity. In equilibrium, the stock price serves to aggregate and transmit this information. We find that dispersed information about future productivity affects the quantitative properties of our real business cycle model in three dimensions. First, households' ability to learn about the future affects their consumption-savings decision. The equity premium falls and the risk-free interest rate rises when the stock price perfectly reveals innovations to future productivity. Second, when noise trader demand shocks limit the stock market's capacity to aggregate information, households hold heterogeneous expectations in equilibrium. However, for a reasonable size of noise trader demand shocks the model cannot generate the kind of disagreement observed in the data. ...
New: Forward and Spot Exchange Rates in a Multi-Currency World
We decompose the covariance of currency returns with forward premia into a cross-currency, a between-time-and-currency, and a cross-time component. The surprising result of our decomposition is that the cross-currency and cross-time-components account for almost all systematic variation in expected currency returns, while the between-time-and-currency component is statistically and economically insignificant. This finding has three surprising implications for models of currency risk premia. Fir
REVISION: Country Size, Currency Unions, and International Asset Returns
Differences in real interest rates across developed economies are puzzlingly large and persistent. I propose a simple explanation: Bonds issued in the currencies of larger economies are expensive because they insure against shocks that affect a larger fraction of the world economy. I show that differences in the size of economies indeed explain a large fraction of the cross-sectional variation in currency returns. The data also support a number of additional implications of the model: The introd
REVISION: The Economic Impact of Social Ties: Evidence from German Reunification
We use the fall of the Berlin Wall in 1989 to show that personal relationships which individuals maintain for non-economic reasons can be an important determinant of regional economic growth. We show that West German households who have social ties to East Germany in 1989 experience a persistent rise in their personal incomes after the fall of the Berlin Wall. Moreover, the presence of these households significantly affects economic performance at the regional level: it increases the returns to
REVISION: Market Sentiment: A Tragedy of the Commons
We present a model with dispersed information in which investors decide whether or to what degree they want to allow their behavior to be influenced by "market sentiment". Investors who choose to insulate their decision from market sentiment earn higher expected returns, but incur a small mental cost. We show that if information is moderately dispersed across investors, even a very small mental cost (on the order of 0.001% of consumption) may generate a significant amount of sentiment in equilib
REVISION: Social Structure and Development: A Legacy of the Holocaust in Russia
We document a statistical association between the severity of the persecution and mass murder of Jews (the Holocaust) by the Nazis during World War II and long-run economic and political outcomes within Russia. Cities that experienced the Holocaust most intensely have grown less, and both cities and administrative districts (oblasts) where the Holocaust had the largest impact have worse economic and political outcomes since the collapse of the Soviet Union. Although we cannot rule out the possib