Campbell Harvey
| Campbell Harvey | |
|---|---|
| Born | June 23, 1958 |
| Nationality | Canada |
| Institution | Duke University's Fuqua School of Business |
| Field | Financial economics |
| Alma mater |
University of Chicago University of Toronto |
| Influences |
Eugene Fama Merton Miller |
| Contributions | Time-varying Risk Premia, Emerging Markets Finance |
| Awards | James R Vertin Award from CFA Institute, 2007; Graham and Dodd Award from CFA Institute, 2007; Jensen Prize from Journal of Financial Economics, 2006 and 2002; and Batterymarch Fellowship, 1993-1994 |
| Information at IDEAS / RePEc | |
Campbell Russell “Cam” Harvey (born June 23, 1958) is a Canadian economist, known for his work on asset allocation with changing risk and risk premiums and emerging markets finance. He is currently the J. Paul Sticht Professor of International Business at Duke University’s Fuqua School of Business in Durham, NC, as well as a research associate with the National Bureau of Economic Research in Cambridge, MA. He is also a research associate with the Institute of International Integration Studies at Trinity College in Dublin and a visiting researcher at University of Oxford.
He earned his undergraduate degree in economics and political science from Trinity College at the University of Toronto in 1981 and his MBA from York University in Toronto in 1983. His doctoral work was carried out at the Booth School of Business at the University of Chicago. His doctoral supervisors were Eugene Fama, Merton Miller, Robert Stambaugh, Wayne Ferson, Shmuel Kandel, and Lars Hansen.
His Ph.D. thesis explored the concept that the term structure of interest rates (difference between long-term interest rates and short-term rates) could predict the US business cycle. His thesis was published in the Journal of Financial Economics in 1988. That work was subsequently expanded and published in the Financial Analysts Journal in 1989.
Harvey’s thesis showed that information in the term structure of interest rates was linked to future growth of the economy. When short-term rates were higher than long-term rates (an inverted yield curve), recessions followed. In the time since his thesis was published, the yield curve has inverted three times—in 1989, 2000, and 2006—correctly predicting the three recessions of 1990–1991, 2001, and 2007–2009.
Given the idea that the business cycle is to some degree predictable, Harvey argued in his 1991 paper with Wayne Ferson in the Journal of Political Economy that both risk exposures and risk premia should vary predictably through the business cycle. Harvey’s research in both the 1989 Journal of Financial Economics and in the 1991 Journal of Finance documented the predictability of asset returns.
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