Faculty Profile

Andreas Fagereng

Associate Professor - Department of Finance

Biography


Publications

Fagereng, Andreas; Guiso, Luigi & Pistaferri, Luigi (2018)

Portfolio Choices, Firm Shocks and Uninsurable Wage Risk

The Review of Economic Studies, 85(1), s. 437- 474. Doi: 10.1093/restud/rdx023

Assessing the importance of uninsurable wage risk for individual financial choices faces two challenges. First, the identification of the marginal effect requires a measure of at least one component of risk that cannot be diversified or avoided. Moreover, measures of uninsurable wage risk must vary over time to eliminate unobserved heterogeneity. Secondly, evaluating the economic significance of risk requires knowledge of the size of all the wage risk actually faced. Existing estimates are problematic because measures of wage risk fail to satisfy the “non-avoidability” requirement. This creates a downward bias, which is at the root of the small estimated effect of wage risk on portfolio choices. To tackle this problem we match panel data of workers and firms and use the variability in the profitability of the firm that is passed over to workers to obtain a measure of uninsurable risk. Using this measure to instrument total variability in individual earnings, we find that the marginal effect of uninsurable wage risk is much larger than estimates that ignore endogeneity. We bound the economic impact of risk and find that its overall effect is contained, not because its marginal effect is small but because its size is small. And the size of uninsurable wage risk is small because firms provide substantial wage insurance.

Fagereng, Andreas; Gottlieb, Charles & Guiso, Luigi (2017)

Asset Market Participation and Portfolio Choice over the Life-Cycle

Journal of Finance Doi: 10.1111/jofi.12484

Using error‐free data on life‐cycle portfolio allocations of a large sample of Norwegian households, we document a double adjustment as households age: a rebalancing of the portfolio composition away from stocks as they approach retirement and stock market exit after retirement. When structurally estimating an extended life‐cycle model, the parameter combination that best fits the data is one with a relatively large risk aversion, a small per‐period participation cost, and a yearly probability of a large stock market loss in line with the frequency of stock market crashes in Norway. This paper reexamines empirically the life‐cycle behavior of investors' portfolios, establishing novel features of the joint profiles of investors' participation in the stock market and the portfolio share invested in stocks. We estimate the parameters of a standard life‐cycle portfolio model with uninsurable labor income, extended to incorporate costly participation and a small probability of a stock market crash, and show that it can capture these features.

Fagereng, Andreas & Halvorsen, Elin (2017)

Imputing consumption from Norwegian income and wealth registry data

Journal of Economic and Social Measurement Doi: 10.3233/JEM-170438

Fagereng, Andreas; Guiso, Luigi & Pistaferri, Luigi (2017)

Firm-Related Risk and Precautionary Saving Response

The American Economic Review Doi: 10.1257/aer.p20171093

Basten, Christoph; Fagereng, Andreas & Telle, Kjetil Elias (2016)

Saving and Portfolio Allocation Before and After Job Loss

Journal of Money, Credit and Banking Doi: 10.1111/jmcb.12301

Fagereng, Andreas; Guiso, Luigi, Malacrino, Davide & Pistaferri, Luigi (2016)

Heterogeneity in Returns to Wealth and the Measurement of Wealth Inequality

The American Economic Review Doi: 10.1257/aer.p20161022

Basten, Christoph; Fagereng, Andreas & Telle, Kjetil Elias (2014)

Cash-on-Hand and the Duration of Job Search: Quasi-experimental evidence from Norway

Economic Journal Doi: 10.1111/ecoj.12135

Boug, Pål & Fagereng, Andreas (2010)

Exchange rate volatility and export performance: A cointegrated VAR approach

Applied Economics, 42(7), s. 851- 864. Doi: 10.1080/00036840802600491

During the last decades Norwegian exporters have–despite various forms of exchange rate targeting–faced a rather volatile exchange rate which may have influenced their behaviour. Recently, the shift to inflation targeting and a freely floating exchange rate has brought about an even more volatile exchange rate. We examine the causal link between export performance and exchange rate volatility across different monetary policy regimes within the cointegrated Vector Autoregression (VAR) framework using the implied conditional variance from a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model as a measure of volatility. Although treating the volatility measure as either a stationary or a nonstationary variable in the VAR, we are not able to find any evidence suggesting that export performance has been significantly affected by exchange rate uncertainty. We find, however, that volatility changes proxied by blip dummies related to the monetary policy change from a fixed to a managed floating exchange rate and the Asian financial crises during the 1990s enter significantly in a dynamic model for export growth–in which the level of relative prices and world market demand together with the level of exports constitute a significant cointegration relationship. A forecasting exercise on the dynamic model rejects the hypothesis that increased exchange rate volatility in the wake of inflation targeting in the monetary policy has had a significant impact on export performance.

Fagereng, Andreas; Holm, Martin Blomhoff & Natvik, Gisle James (2017)

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Dagens næringsliv [Kronikk]

Fagereng, Andreas (1)

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Dagens næringsliv [Kronikk]

Fagereng, Andreas; Holm, Martin Blomhoff, Moll, Benjamin & Natvik, Gisle James (2019)

Saving Behavior Across the Wealth Distribution

[Academic lecture]. Annual Congress of the European Economic Association.

Fagereng, Andreas; Holm, Martin Blomhoff, Moll, Benjamin & Natvik, Gisle James (2019)

Saving Behavior Across the Wealth Distribution: The Importance of Capital Gains

[Academic lecture]. Konferanse: New Consumption Data, Universitetet i København.

Fagereng, Andreas; Guiso, Luigi, Malacrino, Davide & Pistaferri, Luigi (2019)

Heterogeneity and Persistence in Returns to Wealth

[Report]. Statistics Norway.

We provide a systematic analysis of the properties of individual returns to wealth using twelve years of population data from Norway’s administrative tax records. We document a number of novel results. First, individuals earn markedly different average returns on their net worth (a standard deviation of 8.6%) and on its components. Second, heterogeneity in returns does not arise merely from differences in the allocation of wealth between safe and risky assets: returns are heterogeneous even within narrow asset classes. Third, returns are positively correlated with wealth: moving from the 10th to the 90th percentile of the net worth distribution increases the return by 18 percentage points (and 10 percentage points if looking at net-of-tax returns). Fourth, individual wealth returns exhibit substantial persistence over time. We argue that while this persistence partly arises from stable differences in risk exposure and assets scale, it also reflects heterogeneity in sophistication and financial information, as well as entrepreneurial talent. Finally, wealth returns are correlated across generations. We discuss the implications of these findings for several strands of the wealth inequality debate.

Fagereng, Andreas; Natvik, Gisle James, Holm, Martin Blomhoff & Moll, Benjamin (2019)

Saving Behavior Across the Wealth Distribution

[Academic lecture]. American Economic Association: Annual Meeting.

Fagereng, Andreas; Natvik, Gisle James, Holm, Martin Blomhoff & Moll, Benjamin (2019)

Saving Behavior Across the Wealth Distribution: The Importance of Capital Gains

[Academic lecture]. NBER Summer Institute, EF&G Research Meeting.

Fagereng, Andreas; Guiso, Luigi, Malacrino, Davide & Pistaferri, Luigi (2018)

Heterogeneity and Persistence in Returns to Wealth

[Report]. IMF.

Fagereng, Andreas; Holm, Martin Blomhoff & Natvik, Gisle James (2018)

MPC Heterogeneity and Household Balance Sheets

[Academic lecture]. Workshop on New Consumption Data.

Natvik, Gisle James; Holm, Martin Blomhoff & Fagereng, Andreas (2017)

MPC heterogeneity and household balance sheets

[Academic lecture]. Santa Clare University research seminar.

Holm, Martin Blomhoff; Natvik, Gisle James & Fagereng, Andreas (2017)

MPC heterogeneity and household balance sheets

[Academic lecture]. The New Macroeconomics of Aggregate Fluctuations and Stabilisation Policy.

Natvik, Gisle James; Holm, Martin Blomhoff & Fagereng, Andreas (2017)

MPC heterogeneity and household balance sheets

[Academic lecture]. CEPR Workshop on Household Finance, Spring 2017.

Holm, Martin Blomhoff; Fagereng, Andreas & Natvik, Gisle James (2017)

MPC Heterogeneity and Household Balance Sheets

[Academic lecture]. Annual Meeting of the European Economic Association.

Holm, Martin Blomhoff; Fagereng, Andreas & Natvik, Gisle James (2017)

MPC Heterogeneity and Household Balance Sheets

[Academic lecture]. Society of Economic Dynamics Annual Meeting.

Holm, Martin Blomhoff; Fagereng, Andreas & Natvik, Gisle James (2017)

MPC Heterogeneity and Household Balance Sheets

[Academic lecture]. NBER Summer Institute.

Holm, Martin Blomhoff; Fagereng, Andreas & Natvik, Gisle James (2016)

MPC Heterogeneity and Household Balance Sheets

[Academic lecture]. Annual Conference of the International Association of Applied Econometrics.

Holm, Martin Blomhoff; Natvik, Gisle James & Fagereng, Andreas (2016)

MPC Heterogeneity and Household Balance Sheets

[Academic lecture]. Econometric Society European Winter Meeting.

Fagereng, Andreas; Mogstad, Magne & Rønning, Marte (2015)

Why do wealthy parents have wealthy children?

[Report]. Statistics Norway. Research Department..

Academic Degrees
Year Academic Department Degree
2012 European University Institute PhD
2007 University of Oslo MSc in Economics
Work Experience
Year Employer Job Title
2018 - 2019 Statistics Norway Head of research
2012 - 2017 Statistics Norway Senior researcher