Economist: Board of Governors of the Federal Reserve System, CV

Please Note: The views expressed are solely the responsibility of the authors and should not be interpreted as reflecting the views of the Board of Governors of the Federal Reserve System or of anyone else associated with the Federal Reserve System.

Macro Papers:

Misallocation Costs of Digging Deeper into the Central Bank Toolkit (with David Zeke)

Revise and Resubmit, Review of Economic Dynamics

Abstract: Central bank large-scale asset purchases, particularly the purchase of corporate bonds of non-financial firms, can induce a misallocation of resources through their heterogeneous effect on firms cost of capital. First, we analytically demonstrate the mechanism in a static model. We then evaluate the misallocation of resources induced by corporate bond buys and the associated output losses in a calibrated heterogeneous firm New Keynesian DSGE model. The calibrated model suggests misallocation effects from corporate bond buys can be large enough to make them less effective than government bond buys, which is not the case without accounting for misallocation effects.

The Economy-Wide Gains from Resolving Debt Overhang (with David Zeke)

Abstract: This paper develops a heterogeneous firm general equilibrium model with endogenous innovation and default to assess policies related to leverage and debt overhang. We estimate key model parameters and find that near default, debt overhang induces nonlinearities in firm innovation decisions leading to slower growth from incumbent firms. However, debt overhang induces firms to take on less leverage ex ante and partially offsets inefficiencies stemming from the monopoly markup and taxation's effect on entry. In the context of these tradeoffs, the general equilibrium gains from resolving debt overhang are negative, with implications for assessing the gains from corporate tax policies.

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Accounting For Productivity Dispersion over the Business Cycle (with David Zeke)

Abstract: This paper presents accounting decompositions of changes in aggregate labor and capital productivity. Our simplest decomposition breaks changes in an aggregate productivity ratio into two components: A mean component, which captures common changes to firm factor productivity ratios, and a dispersion component, which captures changes in the variance and higher order moments of their distribution. In standard models with heterogeneous firms and frictions to firm input decisions, the dispersion component is a function of changes in the second and higher moments of the log of marginal revenue factor productivities and reflects changes in the extent of distortions to firm factor input allocations across firms. We apply our decomposition to public firm data from the United States and Japan. We find that the mean component is responsible for most of the variation in aggregate productivity over the business cycle, while the dispersion component plays a modest role.

Empirical Corporate Finance and Banking Papers:

How do Capital Requirements Affect Loan Rates? Evidence from High Volatility Commercial Real Estate (with David Glancy)

Abstract: We study how bank loan rates responded to a 50% increase in capital requirements for a subcategory of construction lending, High Volatility Commercial Real Estate (HVCRE). To identify this effect, we exploit variation in the loan terms determining whether a loan is classified as HVCRE and the time that a treated loan would be subject to the increased capital requirements. We estimate that the HVCRE rule increases loan rates by 35 basis points for HVCRE loans, indicating that a one percentage point increase in required capital raises loan rates by about 8.8 basis points.

Did QE Lead Banks to Relax their Bank Lending Standards? Evidence from the Federal Reserve's LSAPs (with Stephan Luck and Tom Zimmermann)

Journal of Banking and Finance, Forthcoming

Abstract: Using confidential loan officer survey data on lending standards and internal risk ratings on loans, we document an effect of large-scale asset purchase programs (LSAPs) on lending standards and risk-taking. We exploit cross-sectional variation in banks’ holdings of mortgage-backed securities to show that the first and third round of quantitative easing (QE1 and QE3) significantly lowered lending standards and increased loan risk characteristics. The magnitude of the effects is about the same in QE1 and QE3, and is comparable to the effect of a one percentage point decrease in the Fed funds target rate during times of conventional monetary policy.

Work in Behavioral Economics:

"Poker Player Behavior After Big Wins and Big Losses'' (with Gary Smith and Michael Levere). Management Science. 55.9 (2009): p1547-1555.

Please Note: The views expressed are solely the responsibility of the authors and should not be interpreted as reflecting the views of the Board of Governors of the Federal Reserve System or of anyone else associated with the Federal Reserve System.