Research

I am currently conducting empirical research primarily in the fields of market microstructure and banking regulation. Within market microstructure, my work centers around understanding how frictions such as information asymmetry and inventory costs impact the functioning of financial markets. In the area of banking regulation, my focus is on performing credible causal analysis to assess the effects of widespread regulatory instruments, including capital requirements and accounting standards on credit losses.

Peer Reviewed Publications

Motives and Consequences of Libor Strategic Reporting: How Much Can We Learn from Banks' Self-Reported Borrowing Rates? (Accepted at Review of Economic Studies)

Maximizing Shareholder Welfare: A Normative Examination of Hart and Zingales’ Corporate Governance Model, (Accepted at Journal of Business Ethics) with Santiago Mejía. Available upon request.

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.

Working Papers

Effects of Capital Requirements on Banks' Balance Sheets: Causal Evidence from Restrictions on Trust-Preferred Securities, with Pierre J. Liang and Lavender Yang

Did CECL improve banks’ loan loss provisions and earnings quality during the COVID-19 pandemic?, with Pierre J. Liang and Lavender Yang

Quantifying Private Information about Fundamentals in Treasury Auctions, with Santiago Tellez and Camilo Gómez 

Synthetic Regression Discontinuity: Estimating Treatment Effects Using Machine Learning, with Jörn Boehnke

Auction-Based Tests of Inventory Control and Private Information in a Centralized Interdealer FX Market, with Mauricio Villamizar-Villegas

An Empirical Test of Auction Efficiency: Evidence from MBS Auctions of the Federal Reserve, with Ali Hortaçsu and Zhaogang Song.

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”