Faculty Director

One of my great teachers, Wesley C. Mitchell, impressed on me the basic reason why scholars have every incentive to pursue a value-free science, whatever their values and however strongly they may wish to spread and promote them. In order to recommend a course of action to achieve an objective, we must first know whether that course of action will in fact promote the objective. Positive scientific knowledge that enables us to predict the consequences of a possible course of action is clearly a prerequisite for the normative judgment whether that course of action is desirable. The Road to Hell is paved with good intentions, precisely because of the neglect of this rather obvious point. This point is particularly important in economics. ― Milton Friedman, Nobel Lecture, Journal of Political Economy [read more on Friedman’s views and contributions to economic sciences here.]

Description

The Macro Finance Research Program (MFR) will expand our understanding of how financial markets affect the economy as a whole and, conversely, how the macroeconomy influences financial markets. It will do so by bringing together a community of elite scholars with common ambitions to tackle these important challenges. The program operates under the auspices of the Becker Friedman Institute with generous funding support from The University of Chicago Booth School of Business.

For general program inquiries, please contact Diana Petrova, MFR Program Executive Director, at dpetrova@uchicago.edu.

Through sponsored research projects, conferences, and interactions with visiting scholars, this program focuses on these fundamental questions:

  • How do we best capture the interplay between monetary and fiscal policy?
  • How do we construct models and measurements that will better support the prudent oversight of system-wide risks to the financial system?
  • How do we provide a more coherent assessment of the financial obligations of government?
  • How does the credit cycle influence the business cycle, and how does the business cycle affect the credit cycle?
  • What broader lessons can we extract from country-specific monetary and fiscal histories?

MFR Program Advisory Committee

The MFR Program Advisory Committee oversees the research agenda of the program. Members of the committee are prominent experts in macroeconomics and finance with particular interests in exploring linkages between these fields. They have made important substantive research contributions and are well positioned to help the research agenda for the program.

  • Lars Peter Hansen, Professor, University of Chicago Departments of Economics, Statistics and the Booth School of Business, Committee Chair
  • Fernando Alvarez, Professor, University of Chicago Department of Economics
  • John Cochrane, Senior Fellow, Hoover Institution, and BFI Distinguished Research Fellow
  • Douglas Diamond, Professor, University of Chicago Booth School of Business
  • Zhiguo He, Professor, University of Chicago Booth School of Business
  • John Heaton, Professor, University of Chicago Booth School of Business
  • Anil Kashyap, Professor, University of Chicago Booth School of Business
  • Ralph Koijen, Professor, University of Chicago Booth School of Business
  • Thomas Sargent, Professor, New York University Department of Economics and BFI Distinguished Research Fellow
  • Amir Sufi, Professor, University of Chicago Booth School of Business
  • Harald Uhlig, Professor, University of Chicago Department of Economics

MFR Program Advisory Committee Featured News: 

Upcoming MFR Program Conferences and Events

Confronting Uncertainty in Climate Change Conference – April 13-15, 2022 at the University of Chicago and co-sponsored with the Institute for Mathematical and Statistical Innovation (IMSI)

Behavioral Implications of Uncertainty in Macroeconomics Capstone Conference – September 22-23, 2022 at the University of Chicago

Featured COVID-19 Research

An SEIR Infectious Disease Model with Testing and Conditional Quarantine by David Berger, Kyle Herkenhoff, Simon Mongey (Jupyter Notebook)

Uncertainty and Decision-Making During a Crisis: How to Make Policy Decisions in the COVID-19 Context? by Loïc Berger, Nicolas Berger, Valentina Bosetti, Itzhak Gilboa, Lars Peter Hansen*, Christopher Jarvis, Massimo Marinacci, Richard D. Smith

Leverage-Induced Fire Sales and Stock Market Crashes  by Jiangze Bian, Zhiguo He*, Kelly Shue, Hao Zhou

Coronavirus: Impact on Stock Prices and Growth Expectations by Niels J. Gormsen, Ralph Koijen*

The Fragility of Market Insurance by Ralph Koijen* and Motohiro Yogo

Dealing with a Liquidity Crisis: Economic and Financial Policies in China during the Coronavirus Outbreak by Zhiguo He* and Bibo Liu

*MFR Program Advisory Committee Member

 

MFR Suite

The MFR Suite provides a collection of Python modules for conducting analysis in macro-finance. In particular, it provides the model solution to the framework developed in Hansen, Khorrami, and Tourre (2018). In addition, it provides two independent modules to compute stationary density and shock elasticities (see Term Structure of Uncertainty in the Macroeconomy and Shock Elasticities and Impulse Responses).

DOWNLOAD MFR SUITE

To report issues or suggest improvements for the MFR Suite team, submit feedback here.

We would like to thank project associate Joseph Huang for developing the MFR Suite and MFR research professional Han Xu for launching its second version in June of 2020. We would like to gratefully acknowledge the Macro Financial Modeling project through the generous financial support from the Alfred P. Sloan Foundation and Fidelity Investments and to thank Amy Boonstra, former MFM Executive Director, for her unconditional support. For their feedback, we thank Yu-Ting Chiang (University of Chicago), Jian Li (University of Chicago), Simon Scheidegger (HEC Lausanne), Elisabeth Proehl (University of Amsterdam), and conference participants at the 2nd MMCN, PASC18, University of Zurich, Northwestern University, and participants at the Economic Dynamics Working Group at the University of Chicago. We also would like to thank the Research Computing Center at the University of Chicago (RCC) for their guidance on high performance computing, in particular Peter Carbonetto and Hossein Pourreza. Read more about the MFR Collaboration with the RCC.

 

Previous MFR Program Conferences and Events

Advancing Macro Finance Workshop  – October 7-8, 2021 – organized by Yueran Ma, Kilian Huber and Lars Peter Hansen

16th Annual Macro Finance Society Workshop – organized by Lars Peter Hansen, Mikhail Chernov, Wenxin Du, and Niels Gormsen at the University of Chicago – October 23-24, 2020

[Virtual Conference] 2020 MFR Program Summer Session for Young Scholars – organized by MFR Program Advisory Committee Members– July 28-31, 2020

[Virtual Conference] Expectations in Macroeconomic and Financial Models – June 25-26, 2020 organized by Monika Piazzesi, Michael Woodford and Lars Peter Hansen

The Macroeconomy and Finance in China Conference – December 12-13, 2019 organized by Lars Peter Hansen and Zhiguo He and hosted by Tsinghua University School of Economics and Management in Beijing, China

2019 Cryptocurrencies and Blockchains Conference – November 22-23, 2019 organized by Eric Budish, Zhiguo He, Jacob Leshno, and Harald Uhlig at the University of Chicago

Macro Finance Society 14th Workshop – November 1-2, 2019 – MFR co-sponsoring at the University of Southern California (USC Marshall)

University of Chicago Policy Forum on the Pension Crisis: State and Local Pension Challenges – November 8, 2019 at the University of Chicago – organized by Lars Peter Hansen and James Heckman and co-sponsored by the Center for the Economics of Human Development (CEHD) 

2019 Asset Pricing Conference – October 24-25, 2019 organized by Niels Gormsen, Samuel Hartzmark and Michael Weber at the University of Chicago

2019 Housing, Household Debt, and Macroeconomics Conference – September 20, 2019 at the University of Chicago

Stanford Institute for Theoretical Economics (SITE) – July 1-2, 2019 – MFR Program co-sponsored workshop at Stanford University

University of Chicago Policy Forum: Building on the Chicago Approach to Economics – April 25, 2019 at the University of Chicago

Meeting of the Blue Collar Working Group – April 4, 2019 at the University of Chicago

Robustness in Economics and Econometrics Conference – April 5-6, 2019 at the University of Chicago (co-sponsored by BFI’s Big Data Initiative)

2019 Macro Financial Modeling (MFM) Winter Meeting – February 21-22, 2019 at the NYMEX, 300 Vesey Street, New York, NY 10282, USA

Chicago Booth Asset Pricing Conference – December 6-7, 2018 at The University of Chicago

Cryptocurrencies and Blockchains Conference – November 9-10, 2018 organized by Eric Budish, Zhiguo He, Jacob Leshno, and Harald Uhlig at the University of Chicago

MFR/IADB Monetary and Fiscal History of Latin America Conference – September 24-25, 2018 in Washington DC

2018 Monetary and Fiscal History of Latin America – August 24, 2018 in Santiago, Chile

2018 Macro Financial Modeling Summer Session for Young Scholars – June 17-21, 2018 at Cape Cod

Taxation and Fiscal Policy Conference – May 18-19, 2018 at the University of Chicago

2018 Macro Financial Modeling Winter Meeting – January 25-26, 2018 in New York City

The Latin American Fiscal History Conference  – December 11-13, 2017 at the University of Chicago

Chicago Initiative in Theory and Empirics (CITE) – August 7-9, 2017 at the University of Chicago

Fiscal and Monetary History of Latin America 2016-17 – various locations

2017 Macro Financial Modeling Summer Session for Young Scholars  – June 18-22, 2017 in Bretton Woods, NH

Government Debt: Constraints and Choices – April 21-22, 2017 at the University of Chicago

Macro Financial Modeling Winter 2017  – March 9-10, 2017 in New York City

Macro Finance Society 8th Workshop – November 3-4, 2016 at the University of Chicago

Staff

  • Scholars / UChicago Scholar

    Lars Peter Hansen

    The David Rockefeller Distinguished Service Professor in Economics and Statistics, the Kenneth C. Griffin Department of Economics and the Booth School of Business; Director of BFI's Macro Finance Research Program
  • Scholars /

    Diana Petrova

    Executive Director, Macro Finance Research Program
  • Scholars /

    Valentina Solano

    Program Associate, Macro Finance Research Program
  • Scholars / UChicago Scholar

    Yavor Kovachev

    Post-Doctoral Scholar, Macro Finance Research Program
  • Scholars /

    Zhenhuan Xie

    Research Professional, Macro Finance Research Program
  • Scholars /

    Suri Chen

    Research Professional, Macro Finance Research Program
  • Scholars /

    Samuel Zhao

    Research Professional, Macro Finance Research Program
  • Scholars /

    Joseph Huang

    Research Consultant, Macro Finance Research Program
  • Lars Peter Hansen

    The David Rockefeller Distinguished Service Professor in Economics and Statistics, the Kenneth C. Griffin Department of Economics and the Booth School of Business; Director of BFI's Macro Finance Research Program

    Lars Peter Hansen is a recipient of the 2013 Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel for his early research. He shares this honor with Eugene Fama and Robert Shiller. Hansen won the 2010 BBVA Foundation Frontiers of Knowledge Award in the Economics, Finance and Management “for making fundamental contributions to our understanding of how economic actors cope with risky and changing environments.” In 2008, Hansen was awarded the CME Group-MSRI Prize in Innovative Quantitative Applications. This award is designed to recognize individuals or groups who contribute original concepts and innovation in the use of mathematical, statistical or computational methods for the study of the behavior of markets, and more broadly of economics. Hansen is one of two scholars to receive the prestigious 2006 Nemmers Prizes in economics and mathematics, believed to be the largest monetary awards in the United States for outstanding achievements in those two disciplines. Hansen’s recognitions also include Fellow, Econometric Society, 1984; Frisch Prize Medal Co-winner, 1984; Member, American Academy of Arts and Sciences, 1993; Member, National Academy of Sciences, 1999; President, Econometric Society, 2007.

     

    Diana Petrova

    Executive Director, Macro Finance Research Program,

    Diana Petrova is the Executive Director of the MFR Program. Her role entails providing leadership by working with the MFR faculty director, Professor Lars Peter Hansen, and the MFR advisory committee to develop strategic recommendations and to execute approved plans for the development and growth of the MFR program and its intellectual ambitions. Diana has worked with Professor Lars Peter Hansen for over five years. She also manages the program’s budget, recruiting and hiring of staff, grant administration and other day-to-day research operations such as targeted MFR events, conferences and guidance of communications and marketing efforts to promote MFR research advances with broad audiences. In addition, she works to build relationships with key partners across governments, nonprofits, foundations, the private sector and other affiliated University of Chicago units. Before joining University of Chicago, she worked for Purdue University-Fort Wayne for the Chancellor until 2016 and has prior experience in investment services. She obtained her BA in Journalism from Indiana University-Bloomington in 2012.

    Valentina Solano

    Program Associate, Macro Finance Research Program,
    Valentina Solano is the Program Associate for the Macro Finance Research Program, where she plans and executes MFR events, special projects and activities, and day-to-day operational tasks. She also provides administrative support for Professor Lars Peter Hansen. Before joining the MFR Program, Valentina managed public events for a space rental program with the Arts & Public Life Initiative and was an administrative assistant for a professor in the Department of Visual Arts (DOVA). Valentina received her BA in Comparative Human Development at the University of Chicago.

    Yavor Kovachev

    Post-Doctoral Scholar, Macro Finance Research Program,

    Yavor Kovachev is a post-doctoral scholar working for the Macro Finance Research Program. His main research interests lie at the intersection of machine learning, asset pricing and continuous time finance. He holds a PhD from the Stockholm School of Economics and a MSc in financial mathematics from Uppsala University.

     

    Zhenhuan Xie

    Research Professional, Macro Finance Research Program,

    Zhenhuan Xie is a Predoctoral Research Professional in the Macro Finance Research (MFR) Program at the Becker Friedman Institute, working with Professor Lars Hansen on research projects related to macroeconomic modeling and asset pricing, which is also where his research interests lie. Zhenhuan holds an M.A. in Statistics from Columbia University, B. Eng. in Engineering Physics and B.A. in English Language from Tsinghua University.

    Suri Chen

    Research Professional, Macro Finance Research Program,

    Suri Chen is a Predoctoral Research Professional in the Macro Finance Research (MFR) Program at the Becker Friedman Institute, working with Professor Lars Peter Hansen on research projects related to macroeconomic modeling and uncertainty related to climate change. Suri holds an M.A. in Social Science with a concentration in Economics from the University of Chicago. 

    Samuel Zhao

    Research Professional, Macro Finance Research Program,

    Samuel (Daniel) Zhao is a Research Professional in the Macro Finance Research (MFR) Program at the Becker Friedman Institute, working with Professor Lars Hansen on research projects related to macroeconomic modeling and asset pricing.

    Joseph Huang

    Research Consultant, Macro Finance Research Program,

    Joe Huang is a research consultant at the Macro Finance Research Program. He is a PhD candidate in Economics at the University of Pennsylvania. His research interests lie in macroeconomics and finance. He also has experience in computational economics. Before joining the PhD program at Penn, he worked in the asset management industry.

    Associated Scholars

    Scholars / UChicago Scholar

    Fernando Alvarez

    Saieh Family Professor in Economics and the College, the Kenneth C. Griffin Department of Economics
    Scholars / Distinguished Research Fellow

    John H. Cochrane

    Senior Fellow, Hoover Institution at Stanford University
    Scholars / UChicago Scholar

    Douglas W. Diamond

    Merton H. Miller Distinguished Service Professor of Finance, Booth School of Business
    Scholars / UChicago Scholar

    Lars Peter Hansen

    The David Rockefeller Distinguished Service Professor in Economics and Statistics, the Kenneth C. Griffin Department of Economics and the Booth School of Business; Director of BFI's Macro Finance Research Program
    Scholars / UChicago Scholar

    Zhiguo He

    Fuji Bank and Heller Professor of Finance, Booth School of Business
    Scholars / UChicago Scholar

    John C. Heaton

    Joseph L. Gidwitz Professor of Finance, Booth School of Business
    Scholars / UChicago Scholar

    Anil Kashyap

    Stevens Distinguished Service Professor of Economics and Finance, Booth School of Business
    Scholars /

    Timothy J. Kehoe

    Distinguished McKnight University Professor of Economics, University of Minnesota
    Scholars / UChicago Scholar

    Ralph Koijen

    AQR Capital Management Distinguished Service Professor of Finance and Fama Faculty Fellow, Booth School of Business
    Scholars / Distinguished Research Fellow

    Thomas J. Sargent

    William R. Berkley Professor of Economics and Business, New York University, Stern School of Business
    Scholars / UChicago Scholar

    Amir Sufi

    Bruce Lindsay Distinguished Service Professor of Economics and Public Policy, Booth School of Business
    Scholars / UChicago Scholar

    Harald Uhlig

    Bruce Allen and Barbara Ritzenthaler Professor in Economics and the College, the Kenneth C. Griffin Department of Economics

    Associated Working Papers

    BFI Working Paper Dec 14, 2021

    Money Markets, Collateral and Monetary Policy

    Fiorella De Fiore, Marie Hoerova, Harald Uhlig
    Topics:  Financial Markets, Monetary Policy, Fiscal Studies
    BFI Working Paper Sep 3, 2021

    Central Banking Challenges Posed by Uncertain Climate Change and Natural Disasters

    Lars Peter Hansen
    Topics:  Energy & Environment
    BFI Working Paper Aug 23, 2021

    Climate Change Uncertainty Spillover in the Macroeconomy

    Michael Barnett, William Brock, Lars Peter Hansen
    Topics:  Energy & Environment

    Associated News

    BFI News Jan 23, 2020

    UChicago’s Zhiguo He Testifies in US-China Economic and Security Review Commission Hearing on China’s Quest for Capital

    Zhiguo He, Fuji Bank and Heller Professor of Finance, Booth School of Business, testified to the US-China Economic and Security Review Commission, on Thursday, January 23, 2020. In the...
    Topics:  Financial Markets
    BFI News Jan 10, 2020

    2020 Macro Finance Research Program (MFR) Summer Session for Young Scholars 

    NOTICE As the global health situation involving the coronavirus (COVID-19) evolves, the MFR Program under the auspices of the Becker Friedman Institute, and with guidance from the University of Chicago’s Office of...
    Topics:  Financial Markets, Monetary Policy, Technology & Innovation
    Media Mention Dec 9, 2019

    How Should We Tackle the US Pension Crisis?

    UChicago News; Lars Peter Hansen, James Heckman
    Topics:  Employment & Wages