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Demand System Asset Pricing (DSAP) seeks to jointly understand asset prices, macro variables, characteristics, portfolio holdings and flows. In this post, I summarize frequently asked questions and clarify misconceptions associated with recent work in this area. This post is continuously updated.


General Comments

Comparison to the “SDF Approach”

Levels vs. Flows

Role of Market Clearing

Demand elasticity is not a structural paramete


Data FAQ

Form 13F


Comments on Specific Papers

Koijen-Yogo (JPE 2019)

A Demand System Approach to Asset Pricing

Koijen-Yogo (WP 2020)

Exchange Rates and Asset Prices in a Global Demand System