My primary fields of interest are: empirical macroeconomics; international economics; finance; and machine learning.
Analysis of Upstream, Downstream & Common Firm Shocks Using a Large Factor-Augmented Vector Autoregressive Approach with Julieta Yung. (2025) Journal of Applied Econometrics, Volume 40, Issue 2, Pages 111–130, https://doi.org/10.1002/jae.3100.
Abstract: We evaluate the roles of upstream (supplier-to-user), downstream (user-to-supplier), and common factor shock transmission across firms by deriving interfirm networks and common factors from US equities over 1989–2017. We overcome the econometric challenges of estimating the large factor-augmented vector autoregressive (FAVAR) system by developing two alternative approaches: one prioritizing computational efficiency and the other providing the full posterior distribution of all model parameters and factors. We find that (i) common factors drive an increasing variance share of returns, (ii) supplier shocks are more evident in equity price movements than downstream exposures, and (iii) removing the impact of common factors is increasingly important for revealing interfirm connections. Published Paper; Final Working Paper & Appendix; FDIC Center for Financial Research Working Paper; Globalization Institute Working Paper Draft.
The Double-Edged Sword of Global Integration: Robustness, Fragility & Contagion in the International Firm Network with Julieta Yung. (2021) Journal of Applied Econometrics, Volume 36, Issue 6, Pages 760–783, https://doi.org/10.1002/jae.2839.
Abstract: Increased global integration of firm, production, and financial networks has the potential to benefit growth but also amplify the transmission of crises. We test whether higher global connectedness is associated with robust (beneficial) or fragile (harmful) behavior using networks derived from firm equity returns across all industries (1991–2016). More globally connected firms are less likely to be in distress, with higher profit, revenue, and equity price growth; however, they are more exposed to direct contagion from distressed neighboring firms. Our analysis reveals the centrality of finance, increased globalization, and greater potential for crises to spread globally when they do occur. Published Paper; Final Working Paper & Appendix; Globalization Institute Working Paper Draft
Wages and Human Capital in Finance: International Evidence, 1970-2011 with Hamid Boustanifar & Ariell Reshef. (2018) Review of Finance, Volume 22, Issue 2, Pages 699-745, https://doi.org/10.1093/rof/rfx011.
Finalist for the Pagano-Zechner award for best paper published in the Review of Finance.
Abstract: We study the allocation and compensation of human capital in the finance industry in a set of developed economies in 1970-2011. Finance relative wages generally increase - but not in all countries, and to varying degrees. Trading-related activities account for 50% of the increases, despite accounting for only 13% of finance employment, on average. Financial deregulation is the most important factor driving up wages in finance; it has a larger effect in environments where informational rents and socially inefficient risk taking are likely to be prevalent. Differential investment in information and communication technology does not have causal explanatory power. High finance wages attract skilled international immigration to finance, raising concerns for "brain drain." Published Paper; Online Appendix; Final Working Paper; Globalization Institute Working Paper Draft.
Exposure to International Crises: Trade vs. Financial Contagion
Abstract: I identify new patterns in countries' outcomes over the 2007-2014 period based on proximity through distance, trade, and finance to the US subprime mortgage and Eurozone debt crisis areas. To understand the causes of the cross-country variation, I develop an open economy model with two transmission channels that can be shocked separately: international trade and finance. The model is the first to include a government and heterogeneous firms that can default independently of one another and has a novel endogenous cost of sovereign default. I calibrate the model to the average experiences of countries near to and far from the crisis areas. Using these calibrations, disturbances on the order of those observed during the late 2000s are separately applied to each channel to study transmission. The results suggest credit disruption as the primary contagion driver, rather than the trade channel. Given the substantial degree of financial contagion, I run a series of counterfactuals studying the efficacy of capital controls and find that they would be a useful tool for preventing similarly severe contagion in the future, so long as there is not capital immobility to the degree that the local sovereign can default without suffering capital flight. Current Draft; Online Appendix; Solution Fortran Code; Globalization Institute Working Paper Draft; ESRB Working Paper Draft.
Structural Model of the Global Currency Network with Domenico Giannone.