Biography

I am a Financial Economist/Quantitative Researcher, formerly in the Financial Modeling Group at BlackRock and the U.S. Securities and Exchange Commission in the Division of Economics and Risk Analysis (Office of Data Science). Currently, I am at a private credit fund. Before my current role, my research focused on building risk management and trading tools built on multifractal analysis. 

I built a suite of multifractal analysis products, including an efficient, high-dimensional Markov-switching multifractal (MSM) model, to forecast directional returns, conditional volatility, and correlations across various assets at multiple time frequencies. I employed traditional time-series methods coupled with deep-learning estimation techniques. I tested and implemented a long-memory estimator for use in forecasting relative portfolio returns, as well as constructing systematic stat-arb trading strategies built on trend-switching Hurst exponents. 

I am an avid developer. Please check out my Github page. 

I received my PhD in Economics at the University of California-Berkeley. Before finishing at Berkeley, I worked full-time at the Federal Reserve Bank of New York in the Macroeconomic and Monetary Studies Function. I completed my Bachelor of Science in Mathematics-Economics at the University of California-Los Angeles. 

Disclaimer: Material, views, and opinions found on this website do not represent official positions or policies of my current or past employers.

Variable Markup Implications of Corporate Debt Structure

Bank loans and market debt are the most vital sources of financing for public U.S. firms, yet their effect on variable (price-cost) markups is largely unknown. This paper documents the hump-shaped relationship between a firm’s variable markup, and its share of market debt in total debt financing. On average, markups rise with market debt shares, peaking at a share of 61–67% before declining. I demonstrate this novel finding with a quantitative model of firm dynamics in a monopolistically competitive economy. While firms set variable markups in a customer market, they trade off restructurable bank loans for marginally cheaper, non-restructurable market debt. Market debt contracts reduce flexibility in cash flows, increasing a firm's incentive to raise today's operating profits by setting a higher markup. The trade–off between current and future profits implies the benefits of a high markup are maximized at a market debt share beyond which markup reductions are required to attract new customers. My model replicates the hump shape while matching several key, cross-sectional and aggregate features of the data. In response to a bank credit crunch, akin to that of the 2008–09 financial crisis, my model predicts a significant shift into market debt. Simultaneously, the benefit of raising markups to offset an increased reliance on market debt grows, consistent with observed behaviors. My model accounts for almost 75% of the decline in total sales by public U.S. corporations following the credit crisis. 

(Paper, Online Appendix, Slides)

Monetary Policy Announcements and Interest Rate Uncertainty

Using Federal Reserve/FOMC scheduled and unscheduled announcements, I examine the impact of U.S. monetary policy on interest rate risk through the lens of interest rate swaptions. I construct systematic tradable strategies using OTC swaption straddles and find both statistically and economically significant negative cumulative returns resulting from long positions taken prior to an announcement, which are then unwound several trading days after said announcement. My results indicate average volatility risk exposures decline following announcements as a result of the resolution of uncertainty. I also extend my event-study analysis to the Fed's unscheduled monetary announcements occurring during the 2007-09 global financial crisis (GFC), as well as the current COVID-19 pandemic recession. My results indicate significant international spillovers of U.S. monetary policy to the European Union, Japan, and the U.K. following the onset of the COVID-19 outbreak, consistent with a "Global Financial Cycle" as coined in Miranda-Agrippino and Rey (2020).

(Preliminary Working Slides - DO NOT CITE)

International Monetary Spillovers: A High-Frequency Approach (with Ganesh Viswanath Natraj)

This paper examines the international effects of monetary policy. Much has been written on the domestic effects of the U.S. Federal Reserve's actions, but what about its effects across borders? In this paper, we document the international spillovers of major central banks policies' through their indirect effect on a set of base asset prices, by using high-frequency identification of monetary policy announcements. We implement a gross domestic product (GDP)-tracking approach to identify real spillovers of monetary policy, by mimicking real GDP news based on our asset returns around monetary announcements. This reflects news regarding real GDP growth due to monetary policy. Most importantly, this provides us a direction of causation from monetary announcements to real variables through their indirect effects on asset prices. In response to positive, domestic monetary shocks, real GDP-tracking news becomes negative for Australia, Canada, and the United States. Our methodology indicates significant spillovers of U.S. monetary policy to asset prices in periphery countries, such as Australia and Canada, with a U.S. monetary contraction leading to a decrease in both of these countries' real GDP-tracking news.

(Summary: Draft available upon request)

Equity Trading Behaviors and Macroeconomic News (with Yuriy Gorodnichenko)

Dynamic interactions between both retail and institutional investors' trading behaviors in U.S. equity markets is an interesting area of academic research generally unexplored. Existing papers present these investors mostly in isolation, ignoring both their short- and long-run effects on one another. We study the impact of institutional trades on retail trading behaviors, by looking at the dynamic responses of retail order imbalances to “impulses” in institutional order flows. Under the identifying assumption that retail investors contemporaneously respond to institutional order flows, and not vice versa, we find significant evidence linking a strong, negative response in retail behaviors to a positive impulse in institutional order flows. We also find evidence of retail investors reacting to institutional trades, following both macroeconomic news releases and U.S. FOMC announcements. This has implications for a "microstructure" monetary transmission mechanism.  

Bank Capital and Monetary Policy Shocks (with Mykyta Bilyi)

What could monetary policy shocks tell us about optimal bank capital requirements? We find news following U.S. FOMC announcements can be viewed as quasi-natural "stress-tests" impacting U.S. banks depending on their equity capital ratios. The heterogeneous response of banks’ equity returns and bond yields to surprises in interest rates reveal how financial markets favorably value excess equity capital. We show the equity return of a bank in the 75th percentile of total equity capital ratio is roughly 1/6 less sensitive to monetary policy shocks than a bank in the 25th percentile. Similarly, corporate bond yields of banks with larger equity capital ratios are better insulated against unexpected changes in the “slope,” or rate of change, of monetary policy. We conclude that higher capital requirements are viewed positively by market participants.

(Slides available upon request)

Monetary Policy Announcements and Interest Rate Uncertainty

Swaption Pricing of Macroeconomic Announcement Risks: Theory and Applications.

Monetary Policy and Multifrequency Risk: Theory and Applications

Option Pricing in a Markov-Switching Multifractal Framework

Proposed Rules on the Use of Derivatives by Registered Investment Companies and Business Development Companies and Amendments

• Conducted research providing evidence of the benefits and costs, as well as ensuing potential effects on efficiency, competition, and capital formation across financial markets, for the set of proposed rules on funds' use of derivatives. 

• Selected coverage: Bloomberg (Securities Law News), InvestmentNews.com, Financial Times, Risk.net, Wall Street Journal.

Adopted Rules on the Use of Derivatives by Registered Investment Companies and Business Development Companies and Amendments

 Selected coverage: S&P Global.

Wall Street Journal

Pro-Take: The Fed’s ‘Wage-Price Spiral’ Concerns Are Far From Over.