I am an Assistant Professor in the Department of Economics at the University of Rochester. I obtained my Ph.D. in Economics from New York University in 2021. During 2021-22, I was a Postdoctoral Fellow in the International Economics Section at Princeton University.  During 2022-23, I worked as a Research Economist in the World Bank Research Department, Macroeconomics and Growth Team. 

My research interests are in International Economics and Macro-finance.  Here is a link to my CV [Link].

Publications

Information Frictions, Reputation, and Sovereign Spreads [Journal of Political Economy], with Juan Morelli.  [Link] 

Abstract: We formulate a reputational model in which the type of government is time varying and private information. Agents adjust their beliefs about the government's type (i.e., reputation) using noisy signals about its policies. We consider a debt repayment setting in which reputation influences the market's perceived probability of default, affecting sovereign spreads. We focus on the 2007-12 Argentine episode of inflation misreport to quantify how markets price reputation. We find that the misreports significantly increased Argentina's sovereign spreads. We use those estimates to discipline our model and show that reputation can have long-lasting effects on a government's borrowing costs.

Working Papers

Inelastic Demand Meets Optimal Supply of Risky Sovereign Bonds [Link], with Lorenzo Pandolfi, Sergio Schmukler, German Villegas Bauer, and Tomas Williams

We present evidence of inelastic demand in the market for risky sovereign bonds and examine its interplay with government policies. Our methodology combines bond-level evidence with a structural model featuring endogenous bond issuances and default risk. Empirically, we exploit monthly changes in the composition of a major bond index to identify flow shocks that shift the available bond supply and are unrelated to country fundamentals. We find that a 1 percentage point reduction in the available supply increases bond prices by 33 basis points. Although exogenous, these shocks might influence government policies and expected bond payoffs. We identify a structural demand elasticity by feeding the estimated price reactions into a sovereign debt model that allows us to isolate endogenous government responses. We find that these responses account for a third of the estimated price reactions. By penalizing additional borrowing, inelastic demand acts as a commitment device that reduces default risk.

Geographical Diversification in Banking: A Structural Evaluation  [Link], with Juan Morelli and Venky Venkateswaran.

We study the effects of diversification and competition in banking, using a rich yet tractable spatial model of deposit-taking. Market-specific risk in deposit demand increases the effective cost for banks, making geographical diversification valuable. Despite its complexity, the model lends itself to a transparent calibration strategy using micro data on deposits flows and rates. The calibrated model points to significant benefits -- through reduced risk premia in deposit spreads -- from the geographical expansion and consolidation in the banking industry over the last three decades. This is especially true for the smallest/poorest markets. Markups, on the other hand, have changed only modestly. The model also implies that these changes have made the banking system more exposed to aggregate shocks (e.g. to loan returns). Finally, we evaluate the equilibrium effects of replacing all `local' banks with larger ones. The model predicts that this will significantly lower spreads in some markets, but leave markups more or less unchanged. 

External Crises and Investment Adjustments: A Heterogeneous-Firm Perspective [Link], with Caitlin Hegarty, Pablo Ottonello, and Diego Perez.

We study the role of firm heterogeneity for investment dynamics in open economies. Using firm-level data from a panel of emerging markets, we document that increases in the global risk premium are followed by heterogeneous investment dynamics, with contractions for risky firms and expansions for risk-free firms. By developing a quantitative heterogeneous-firm open economy model, we show that these cross-sectional empirical patterns can be explained by the presence of indirect channels that mitigate the negative response to external shocks. We use the model to assess macroeconomic transmission during external crises and sudden stops. Our findings suggest that exchange rate depreciations play a stabilizing role during external crises for most firms in the economy, which helps them attenuate their adjustments through more favorable prices.

The Asymmetric Pass-Through of Sovereign Risk [new draft coming soon]

Abstract: This paper studies the macroeconomic effects of corporate risk during a sovereign debt crisis. I consider a heterogeneous-firms model with endogenous default in which domestic banks are exposed to sovereign and corporate risk. The model features a doom loop between banks' net worth and corporate risk that depends on the transmission of sovereign risk to firms. I use Italian data to estimate this transmission and describe important heterogeneous effects across firms. I use those estimates to discipline the model and find that through its effect on banks' net worth, corporate risk amplifies the drop in output by more than 25%.

Financial Innovation and Liquidity Premia in Sovereign Markets: The Case of GDP-Linked Bonds. [Link]

Abstract: Issuances of state-contingent sovereign bonds have been limited both in quantity and frequency. One of the reasons argued in the literature is that these bonds would carry a sizable liquidity premium given the smaller size of their market. This paper quantifies how this liquidity premium erodes the potential benefits associated with the introduction of a new type of debt instrument: GDP-linked bonds. I incorporate search frictions into a standard incomplete-markets model with limited commitment and exogenous costs of default. I assume free entry of dealers together with an increasing-returns-to-scale matching technology so that the liquidity of GDP-linked debt is related to the size of its secondary market. I show that as long as the amount outstanding of GDP-linked bonds is small, search frictions are more severe for investors because only a few dealers enter the market. Larger search frictions lead to higher bid-ask spreads and to a larger liquidity premium at issuance, increasing the financing costs of the government. As a result, welfare gains are reduced by more than 50%, especially when the amount issued is small.