Research
Working Papers
Journal of Financial Economics R&R (2nd round)
INFORMS Annual Meeting^, Annual Bank Conference in Development Economics^, Bank of Spain/IE Business School/St. Louis Fed Current Issues in Economics and Finance, UNPRI Academic Network Conference 2019*, AFA 2021, Conference on Financial Market Regulation 2021*, ESSEC-Amundi Chair Webinar
Investor and policymaker concerns about climate risks suggest these risks should affect the risk assessment and pricing of corporate securities, particularly for firms facing stricter regulatory enforcement. Using corporate bonds, we find support for this hypothesis. Employing a shock to expected climate regulations, we show climate regulatory risks causally affect bond credit ratings and spreads. A structural credit model indicates the increased spreads for high carbon issuers, especially those located in stricter regulatory environments, are driven by changes in firms’ asset volatilities rather than asset values, highlighting that regulatory uncertainty affects security pricing. The results have important implications for policy-making.
Journal of Financial Intermediation R&R
AREUEA-ASSA 2023, SFS Cavalcade 2022, AREUEA Virtual Seminar Series, UEA 2021, AFBC PhD Forum 2020, AFBC 2020, AREUEA-ASSA PhD Poster Session 2021, ARES Doctoral Session (accepted, but canceled due to COVID), McCombs PhD Student Symposium on Financial Market Policy Developments and Research
This paper studies the sensitivity of apartment maintenance investment to building financing frictions. Using a novel data set combining housing code violations from 45 US cities with apartment financing information, I show buildings with more mortgage debt incur more code violations. I then exploit a natural experiment effectively reducing financial resources for some New York City rent stabilized buildings. Following the shock, code violations increase for affected buildings relative to controls. This change in violations is concentrated among buildings with more mortgage debt. The results are consistent with financing constraints reducing maintenance investments, with consequences for renter quality of life.
Banca d'Italia Conference ^*, Addressing Climate Change Data Needs: The Global Debate and Central Banks’ Contribution, IBEFA-ASSA 2024^*, NY Fed/Columbia Environmental Economics and Policy Conference, Stanford Institute for Theoretical Economics (SITE) 2023*, IFABS Oxford 2023, OCC Emerging Risks in the Banking System,
Fed System Climate Meeting ^*, EFA Annual Meeting^
We find that banks’ credit exposures to transition risks are modest. We build on the estimated sectoral effects of climate transition policies from general equilibrium models. Even when we consider the strictest policies or the most adverse scenarios, exposures do not exceed 14 percent of banks’ loan portfolios. We also find that commonly used carbon emissions can explain at most 60 percent of bank exposures estimated off general equilibrium models. Moreover, we find evidence of bank management of transition risk exposures. Banks that signed the Net-Zero Alliance have reduced their exposures compared to non-signatories, mainly by cutting lending to the riskiest industries.
Other
Is Your Apartment Breaking Because Your Landlord is Broke?
New York Fed Liberty Street Economics
How Exposed Are U.S. Banks’ Loan Portfolios to Climate Transition Risks? (with Hyeyoon Jung and Joao Santos)
New York Fed Liberty Street Economics
How Exposed Are U.S. Banks’ Loan Portfolios to Climate Transition Risks? (with Oliver Zain Hannaoui, Hyeyoon Jung and Joao Santos)
New York Fed Liberty Street Economics
*indicates presented by coauthor
^indicates scheduled