Faculty Director

The Macro Finance Research Program (MFR) expands our understanding of how financial markets affect the economy as a whole and, conversely, how the macroeconomy influences financial markets. It does 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 construct models and measurements that will better support the prudent oversight of system-wide challenges to the financial system?
  • What are the best ways to incorporate broad notions of uncertainty into the analysis of economic policies for both the private and public sectors?
  • What are some meaningful approaches to addressing climate change in the presence of the associated deep uncertainties?
  • How does the credit cycle influence the business cycle, and how does the business cycle affect the credit cycle?
  • How does macroeconomic policy uncertainty impact financial markets?
  • What are the macroeconomic and financial market implications of intermediation and its impediments?

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:

  • 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
  • Yueran Ma, Associate Professor of Finance, University of Booth School of Business
  • Stefan Nagel, Professor of Finance, University of Chicago Booth School of Business
  • Carolin Pflueger, Assistant Professor, University of Chicago Harris School of Public Policy
  • 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 Conferences and Events

Upcoming Events:

Past Events:

 

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.

 

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 /

    Sandy Quarles

    Events and Operations Associate, Macro Finance Research Program
  • Scholars /

    Valentina Solano

    Senior Program Associate, Macro Finance Research Program
  • Scholars /

    Pengyu Chen

    Predoctoral Research Professional, Faculty Supervisor: Lars Peter Hansen
  • Scholars /

    Bin Cheng

    B.S. in Mathematics and B.A. in Economics from Renmin University of China; M.S. in Economics from Toulouse School of Economics, Macro Finance Research Program
  • Scholars /

    Joseph Huang

    Research Consultant, Macro Finance Research Program
  • Scholars /

    Chun Hei Hung

    Predoctoral Research Professional, Faculty Supervisor: Lars Peter Hansen
  • Scholars /

    Haomin Qin

    B.S. in Economics at Shanghai University of Finance and Economics; M.A. in Economics at University of Chicago, 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. 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.

    Sandy Quarles

    Events and Operations Associate, Macro Finance Research Program

    Sandra (Sandy) Quarles has been dedicated to the University of Chicago for more than 3 decades. Sandy is currently an Events and Operations Associate in the MFR Program. Sandy began her career in the President’s Office of Legal Counsel as a Legal Secretary and from there as a Fiscal Assistant in the Department of Radiation Oncology for more than 20 years. For over 9 years, Sandy worked as a Project Assistant in the Department of Computer Science receiving an Honorable Mention” award for her role as an organizer for large scale international conferences. In 2019, Sandy was in the spotlight for the PSD Office of Equity, Diversity, and Inclusion as someone who is “Worth Noting.” 

    In her spare time, Sandy loves spending time with family, and she is a lover of all things animal print.

    Valentina Solano

    Senior Program Associate, Macro Finance Research Program
    Valentina Solano is the Senior Program Associate for the Macro Finance Research Program (MFR), 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.

    Pengyu Chen

    Predoctoral Research Professional, Faculty Supervisor: Lars Peter Hansen

    Pengyu Chen 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 dynamic simulations. Pengyu holds an M.A. in Social Science with a concentration in Economics from the University of Chicago, M.A. in Economics from London school of Economics, BS in Mathematical economics and statistics from the University of Birmingham.

    Contact: pengyu@uchicago.edu

    Bin Cheng

    B.S. in Mathematics and B.A. in Economics from Renmin University of China; M.S. in Economics from Toulouse School of Economics, Macro Finance Research Program
    Bin Cheng 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. His interest lies in computational and behavorial economics. Bin holds a MSc in Economics from Toulouse School of Economics, BS in Mathematics and BA in Economics from Renmin University of China.

    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.

    Chun Hei Hung

    Predoctoral Research Professional, Faculty Supervisor: Lars Peter Hansen

    Chun Hei Hung 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. Chun Hei holds a B.A. in Philosophy, Politics, and Economics from the University of Oxford. Before joining MFR, he worked in the management consulting industry.

    Haomin Qin

    B.S. in Economics at Shanghai University of Finance and Economics; M.A. in Economics at University of Chicago, Macro Finance Research Program

    Haomin Qin 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. Haomin holds an M.A. in Social Science with a concentration in Economics from the University of Chicago.

    Associated Scholars

    Scholars / UChicago Scholar

    Fernando Alvarez

    Charles F. Grey Distinguished Service Professor, 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 /

    Wenxin Du

    Professor of Finance, Columbia Business School
    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 / UChicago Scholar

    Yueran Ma

    Associate Professor of Finance and Kathryn and Grant Swick Faculty Scholar, 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 Jun 22, 2023

    Carbon Prices and Forest Preservation Over Space and Time in the Brazilian Amazon

    Juliano J. Assunção, Lars Peter Hansen, Todd Munson, José A. Scheinkman
    Topics:  Energy & Environment, Financial Markets
    BFI Working Paper Jun 21, 2023

    Risk, Ambiguity, and Misspecification: Decision Theory, Robust Control, and Statistics

    Lars Peter Hansen, Thomas J. Sargent
    Topics:  Uncategorized
    BFI Working Paper May 23, 2022

    Making Decisions under Model Misspecification

    Simone Cerreia-Vioglioa, Lars Peter Hansen, Fabio Maccheronia, Massimo Marinacci
    Topics:  Uncategorized

    Associated News

    BFI News Dec 13, 2023

    Macro Finance Research Program (MFR) 2024 Summer Session for Young Scholars

    Application Process Open Now
    Topics:  Financial Markets, Monetary Policy, Technology & Innovation
    Media Mention Jun 22, 2023

    Paying Up to Save the Amazon May Be Cheaper than the Alternative

    Chicago Booth Review; Lars Peter Hansen
    Topics:  Energy & Environment, Financial Markets
    BFI News Mar 17, 2022

    Macro Finance Research Program (MFR) 2022 Summer Session for Young Scholars

    Application Process Now Closed
    Topics:  Financial Markets, Monetary Policy, Technology & Innovation