Research

Research profile: My research focuses on finance, macroeconomics and topics at the intersection of these two fields. Much of my work is data-driven and combines standard econometric methods with more novel approaches such as web-scraping and large-scale text analysis. I mostly use these techniques to measure otherwise difficult-to-observe economic concepts, and to gain insights into the causal linkages that explain the observable behavior of individuals and firms. Furthermore, while I construct and analyze much of my data at the micro/firm level, I often interpret the resulting findings in terms of their aggregate implications.

Working Papers

The Private Use of Credit Ratings: Evidence from Investment Mandates (with Ramin Baghai and Bo Becker, July 2018)

Investment mandates are a key contractual mechanism underlying delegated asset management. Mandates of fixed income funds frequently refer to credit ratings to circumscribe the investment opportunity set of fund managers. To determine whether there has been a change in the perceived value of ratings after the crisis, we examine changes in the use of credit ratings in investment mandates contained in fund prospectuses. Overall, the use of credit ratings in fixed income mandates has not declined during the 1999 to 2017 period. Fixed income markets’ extensive and continued reliance on credit ratings points to a lack of practically useful alternatives. [blog post at chicago booth school of business]

News Media and Delegated Information Choice (with Kristoffer Nimark, October 2018) Revise & Resubmit, Journal of Economic Theory

No agent has the resources to monitor all events that are potentially relevant for his decisions. Therefore, many delegate their information choice to specialized news providers that monitor the world on their behalf and report only a curated selection of events. We document empirically that, while different outlets typically emphasize different topics, major events shift the general news focus and make coverage more homogeneous. We propose a theoretical framework that formalizes this type of state-dependent editorial behavior by introducing news selection functions. We prove that (i) agents can always reduce the entropy of their posterior beliefs by delegating their information choice, (ii) state-dependent reporting conveys information not only via the contents of a story, but also via the decision of what to report, and (iii) an event that is reported by all news providers is common knowledge among agents only if it is also considered maximally newsworthy by all providers. As an application, we embed delegated news selection into a simple beauty-contest model to demonstrate how it affects actions in a setting with strategic interactions. [online appendix]

Shortages in Corporate Liquidity During Crises and Normal Times: Evidence From SEC Filings (April 2018)

During the 2008-2010 financial crisis a large number of firms experienced acute liquidity shortages and adjusted real policies such as their employment and investment decisions. Searching the texts of approximately 900,000 SEC filings from the past twenty years, we document that these reactions were very similar to the ones implemented by firms that face shortages during more normal times. However, what made the crisis unique was that many of the affected firms were large, profitable and difficult to distinguish from the median public company. As a result, many widely-used financial constraint measures lost much of their informational content during the crisis and underestimated the number of affected firms. We discuss the theoretical and empirical implications of our findings and what they say about the nature of the financial crisis.

How Do Firms Set Prices? Narrative Evidence From Corporate Filings (December 2017) Revise & Resubmit, European Economic Review

We quantify narrative evidence from archived corporate filings to construct a novel dataset on the price-setting behavior of public companies. Our approach is closely related to that of survey-based studies on price setting, but we collect data from two decades instead one specific point in time. This allows us to investigate variation over time, and to establish that qualitative information provided directly by firms is informative about the aggregate variables macroeconomists are fundamentally interested in. Our findings suggest that (i) price-setting is asymmetric and has a strong state-dependent component, (ii) real rigidities in the form of strategic pricing complementarities are very common, and (iii) an increase in the number of price changes does not necessarily reflect a decrease in price rigidity. We discuss to what extent our results can be explained by strategic reporting behavior and consider their implications in the context of widely-used price-setting models.

Using Financial Markets to Estimate the Macro Effects of Monetary Policy: An Impact-Identified FAVAR (Sveriges Riksbank Working Paper 267 , May 2013)

In this paper, I use high-frequency financial market estimates to identify the monetary policy shock in a non-recursive 133 variable FAVAR. All restrictions are imposed exclusively on impact, and only on financial market variables. Using the economy’s underlying factor structure as the link between its real and financial sides, I find that high-frequency responses contain valuable information about the behavior of lower-frequency macro variables. Even though the proposed identification scheme does not fall back on any of the standard (FA)VAR identifying assumptions, it confirms the classical finding that monetary policy has strong and significant delayed effects on real activity. I also obtain stock market responses that are compatible with the efficient market hypothesis and find that consumer prices react very little to monetary policy

Publications

Non-Profit Differentials in Crowd-Based Financing: Evidence From 50,000 Campaigns (with Sebastian Pitschner-Finn, June 2014) Economics Letters

We use data from approximately 50,000 crowdfunding projects to assess the relative funding performance of for-profit and non-profit campaigns. We find that non-profit projects are significantly more likely to reach their minimum funding goals, and that they receive more money from the average funding provider. At the same time, however, they have fewer funding providers and obtain lower total funding amounts. Our analysis shows that these results are driven by a small number of very successful for-profit projects. We argue that the findings are consistent with a simple selection mechanism in which entrepreneurs make the non-profit / for-profit decision based on expected project payoffs.

Work in Progress

  • Predicting Aggregate Economic Conditions Using Public Disclosures
  • Technological Change and Offshoring Decisions of US Companies (with Andrei Potlogea and Tom Schmitz)