I am a Ph.D. candidate in Economics at the University of Minnesota and a Research Analyst at the Federal Reserve Bank of Minneapolis. My research interests lie at the intersection of macroeconomics, banking, and finance.
You can find my CV here.
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Current working papers:
With Angelo Mendes
The aftermath of sovereign default episodes for emerging and developed economies since the 1980s underscores the crucial role of the legal jurisdiction under which debt is issued. This paper provides a quantitative framework for evaluating the trade-offs between issuing domestic and foreign-law bonds from the sovereign’s perspective. While foreign-law bonds offer stronger legal protections for investors and thus command higher prices, domestic-law bonds are more easily restructured after default. We document differences in the maturity structures of both types of debt for a set of emerging market economies. Then, we disentangle the effects of differences in maturities and recovery rates in shaping the composition of the sovereign’s portfolio. The model reveals that when recovery rates are similar, the sovereign favors bonds with shorter maturities. However, when recovery rates diverge, the sovereign prefers to issue the asset with a higher recovery rate. The dominant factor hinges on the magnitude of recovery rate differences between foreign and domestic-law debt after default.
Bank Runs and Maturity Choices
With Angelo Mendes
Banks hold long-duration securities because these assets hedge fluctuations in the cash flows generated by the deposit franchise: short rates compress deposit margins, but increase long-bond prices. This hedging motive, however, exposes banks to large mark-to-market losses when rates rise and can tighten liquidity and solvency constraints, increasing vulnerability to runs of the kind observed in March 2023. Using U.S. bank data, we document a non-monotonic relationship between banks' shares of long credit-risk-free securities and marked-to-market equity values, indicating that banks with an intermediate ratio of equity to uninsured deposits hold a higher share of long bonds. We interpret this evidence through a continuous-time model in which banks optimally choose a portfolio between a short bond and a long bond and are subject to state-dependent run risk modeled as a Poisson termination shock that destroys future franchise value when the bank becomes insolvent. The resulting endogenous run hazard generates state-dependent effective risk tolerance and delivers testable implications for dividend payouts that match key patterns in the data. The model also provides a quantitative framework to evaluate interest-rate-risk policies, including capital and liquidity requirements and regulatory limits on duration exposure.
With Angelo Mendes
We study the problem of a sovereign choosing whether to disclose information to international lenders in an Eaton and Gersovitz (1981) environment. The government faces a trade-off: full disclosure ensures that debt is sold at high prices in good times but hampers new debt issuance in bad times. Conversely, non-disclosure creates an insurance opportunity through adverse selection. Under mild conditions, the unique equilibrium under no-disclosure is a pooling equilibrium that allows the sovereign to take more debt in bad times at the cost of worse prices obtained in good times. We characterize the sovereign’s optimal choice of information disclosure and show that non-disclosure is preferred when deadweight losses from defaulting are small. We relate this mechanism to the 1994-1995 Mexican Peso Crisis, when information about international reserves was temporarily withheld. Using IMF data, we link the rise in the number of conditionalities attached to IMF programs to an increase in the costs of default, which in our model shifts the optimal policy toward full disclosure.
Code:
I enjoy learning about new computational tools and exploring how they can be applied to economics and quantitative finance.
Code for my research papers and projects on GitHub.
Blog Post:
With Paulina Restrepo-Echavarría , Pablo Andrés Neumeyer
Was the COVID-19 recession one of the worst recessions on record? We place the downturn in historical perspective by comparing it with historical trends.
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