Research

Working Papers

The Risk Channel of Unconventional Monetary Policy (R&R Review of Financial Studies)
Model of unconventional monetary policy (UMP) with heterogeneity in investor’s risk tolerance and limited portfolio reallocation. Framework allows to study impact of UMP on risk premium, volatility, growth, and financial stability.


(joint with Felipe Iachan and Chao Zi)

Endogenous idiosyncratic uncertainty and under-diversification lead to underinvestment and excessive aggregate risk taking. Risk externalities can be measured using asset-pricing data and have implications for optimal financial regulation.


(joint with Robert M. Townsend)
Quantitative model of entrepreneurship under limited idiosyncratic insurance. Relaxing risk constraints reduces the risk premium, boosts investment, increases inequality in the short-run and reduces it in the long-run, generating a financial Kuznets curve.

Monetary model with rare disasters and private debt. Tractable framework capturing the impact of monetary shocks on asset prices and the real economy. Risk and heterogeneity are major drivers of the output response to monetary policy.

Optimal policy when fiscal policy can be used to stimulate the economy or pay off debt and reduce sovereign spreads. Spending should not be used as a stimulus tool. Fiscal consolidation is optimal, as planner raises and front-load taxes.

Work in progress
A Competitive Search Theory of Asset Pricing
(joint with Juan Passadore and Mahyar Kargar) 

Heterogeneity, Trading Frictions, and Asset Prices
(joint with Juan Passadore and Wei Cui)