Why is dollar debt cheaper? Evidence from Peru [Publisher’s link], with V. Ivashina and J. Salomao, June 2023, Journal of Financial Economics (Editor's choice)
Working Papers:
Performance Capital Flows in DC Pensions [SSRN, #33693 NBER WP], with V. Ivashina and J. Salomao
Abstract: Using novel data on retirement accounts for nearly 10 million individuals in Chile and Peru, we show that pension manager switching behavior is sensitive to performance and has increased over time. This pattern holds even within the same risk-return product category. We argue that this performance sensitivity creates pressure on defined contribution (DC) plan managers, influencing their incentives and portfolio choices. In particular, we show that a quasi-exogenous increase in outflows leads managers to shift toward higher-yielding bond holdings, conditional on the plan’s risk profile.
Presentations: AFA, Boston Fed, Carlson School of Management, Gerzensee ESSFM, NBER-PeRCent Conference, SED, Virginia Tech
(Unobserved) Heterogeneity in the bank lending channel: Accounting for bank-firm interactions and specialization [SSRN], with A. Villacorta and L. Villacorta
Abstract: The transmission of bank credit supply shocks hinges on unobserved interactions between banks and firms, reflecting lending specialization. Using bank-firm credit data, we develop a framework that estimates heterogeneous effects of credit shocks across firm types, where firm-type is unobserved. We document significant heterogeneity in transmission across estimated firm types, with types predicted by firm characteristics and bank specialization. Accounting for such heterogeneity and the bank-firm network structure is essential for understanding the bank lending channel and its real effects. We uncover a novel bank-firm matching channel by which credit shocks are amplified through bank-firm networks.
Presentations: AEFIN, Barcelona GSE Summer Forum, CEF, CEMFI, Central Bank of Chile, 5th Conference in Financial Stability - Bank of Spain, SBS, Princeton, PUC Chile, SED Barcelona, SED Winter, San Francisco Fed, SFS Cavalcade, Texas Monetary Conference, U Minnesota, UC Santa Cruz, U Pacifico, USC Marshall Macrofinance Group, 28th International Panel Data Conference
Dissertation Projects:
Behind Dollar Savings in Mutual Funds: Are Shifting Sands Threatening Financial Stability? [SSRN]
Work in Progress:
Labor Market Power and Financial Frictions, with J. Martinez