Welcome to Dave Rapach's Homepage

David E. Rapach (rapachde@slu.edu)
John Simon Endowed Chair in Economics
Professor of Economics, John Cook School of Business
Consultant to Merrill Lynch Wealth Management, Focused Automated Equities

Fields of Specialization: Financial Economics, Asset Pricing, Dynamic Asset Allocation, Applied Time Series Econometrics, Forecasting, International Finance, Macroeconomics, Monetary Economics

Mailing Address: Department of Economics, Saint Louis University, 3674 Lindell Boulevard, St. Louis, MO 63108-3397; Telephone: 314-977-3601; Fax: 314-977-1478

Research (papers, data/program files)

Recent Activities/Highlights

I was invited to write a post on asset return forecasting for the Superforecasting in Action blog; the blog corresponds to Superforecasting: The Art and Science of Prediction, the New York Times bestselling book by Philip Tetlock and Dan Gardner

Together with Maria Arias and Charles Gascon of the St. Louis Fed, I developed monthly economic activity indices for the 50 largest US MSAs beginning in 1990; the indices are regularly updated and available on FRED; a revised version of the paper describing the indices will be available soon; the St. Louis index is featured in a November 19, 2015 St. Louis Post Dispatch story by Jim Gallagher (with a “boring” quote from yours truly)

I gave an invited presentation at the  CFA Montreal Asset Management Forum on October 8, 2015, and the slides are available here; the other presenters were Andrew Ang, Mark CarhartCraig Bodenstab, and Philip Tetlock

My investiture ceremony as the Simon Endowed Chair in Economics was on September 23, 2015, and my remarks (“Many Thanks to Many People, Keeping a Promise to Myself, and a Dedication”) are available here

Bonnie Wilson and I wrote a paper for an upcoming volume on the recent crisis at Saint Louis University that reached a fever pitch during the 2012–2013 academic year; we use economic growth theory, including insights from Acemoglu and Robinson's Why Nations Fail, to analyze the crisis

My paper, Return Predictability and Dynamic Asset Allocation: How Often Should Investors Rebalance?” (co-authored with Himanshu Almadi and Anil Suri), appears as the lead article in the Summer 2014 issue of the Journal of Portfolio Management; I did an interview with the JPM for a Practical Applications Report accompanying the article

My paper, “Forecasting the Equity Risk Premium: The Role of Technical Indicators” (co-authored with Christopher Neely, Jun Tu, and Guofu Zhou), appears in the July 2014 issue of Management Science; earlier versions of the paper are featured in a July 17, 2012 CBS MoneyWatch column by Larry Swedroe and a May 4, 2014 Business Forecasting blog post by Clive Jones

ECON 312o Intermediate Macroeconomics, Fall 2014 Materials

ECON 6520 Forecasting Macroeconomic and Financial Variables, Spring 2015 Materials

ECON 6550 Applied Optimization Methods for Financial Economics, Summer 2015 Materials

Problem Set 1