I have developed a research portfolio at the intersection of industrial organization and finance. I use structural econometrics and reduced-form causal analysis to examine financial market frictions and their regulation. In complementary research, I have explored the use of machine learning for causal inference and, in work currently in progress, as a tool to elicit investors beliefs from text data.
Peer Reviewed Publications
Auction-Based Tests of Inventory Control and Private Information in a Centralized Interdealer FX Market (Accepted for publication at the Journal of Financial Markets), with Mauricio Villamizar-Villegas
Motives and Consequences of Libor Strategic Reporting: How Much Can We Learn from Banks' Self-Reported Borrowing Rates?, Review of Economic Studies, Vol, 91(6), 2024.
Maximizing Shareholder Welfare: A Normative Examination of Hart and Zingales’ Corporate Governance Model, Journal of Business Ethics, 2024, with Santiago Mejía.
Representations and Identities for Homogeneous Technologies, The B.E. Journal of Theoretical Economics, Berkeley Electronic Press, vol. 9(1), 2009, with Miguel Espinosa and Hernán Vallejo.
Invited, Non-Peer Reviewed Publications
An empirical test of auction efficiency: evidence from MBS auctions of the Federal Reserve, China Finance Review International, 2024 (forthcoming), with Ali Hortacsu and Zhaogang Song.
Working Papers
Quantifying Private Information about Fundamentals in Treasury Auctions (Revise and resubmit at RAND Journal of Economics) with Santiago Tellez and Camilo Gómez
Did CECL improve banks’ loan loss provisions and earnings quality during the COVID-19 pandemic?, with Pierre J. Liang and Lavender Yang
Effects of Capital Requirements on Banks' Balance Sheets: Causal Evidence from Restrictions on Trust-Preferred Securities, with Pierre J. Liang and Lavender Yang
Synthetic Regression Discontinuity: Estimating Treatment Effects Using Machine Learning, with Jörn Boehnke
An Empirical Analysis of Funding Costs Spillovers in the EURO-zone with Application to Systemic Risk, with Ali Hortaçsu and Jakub Kastl.
Other Work
Importancia de las rigideces nominales y reales en Colombia: Un enfoque de equilibrio general dinámico y estocástico, Ensayos Sobre Política Económica, Banco de la República, 2011, with Andrés González and Diego Rodríguez.
Title in English: “Importance of Real and Nominal Rigidities in Colombia: A Dynamic Stochastic General Equilibrium Approach”
Método numérico para la calibración de un modelo DSGE, Revista Desarrollo y Sociedad, Universidad de los Andes – CEDE. (68), 2011, with Andrés González, Juan D. Prada, Diego Rodríguez, Luis E. Rojas.
Title in English: “Numerical Method for the Calibration of a DSGE Model”