Shane McMiken

Research Statement

1. Deposit Runs and Non-fundamental Risk: A Quantitative Analysis

Abstract: This paper develops a quantitative framework to assess whether bank failures stem from fundamental insolvency or self-fulfilling deposit runs. I build a dynamic banking model in which intermediaries endogenously choose the maturity of their asset portfolios while facing non-fundamental risk: the probability that depositors coordinate on a run equilibrium when the bank is in a vulnerable state. When the perceived likelihood of a run increases, banks respond by shortening the maturity of their assets to insure against future withdrawals, trading off interest rate exposure for liquidity resilience. Using imputed asset portfolios, I show that banks significantly reduced the maturity of their assets during the savings and loan crisis of the 1980s and again during the 2023 regional banking crisis, consistent with a contemporaneous rise in non-fundamental risk.

Presented at: BC Dissertation Workshop Seminar (2024, 2025),  BC Macro Lunch Seminar (2025)

2. Volatility and Systemic Financial Crises 

Abstract: Uncertainty shocks deliver a source of fundamentally driven systemic banking crises. A literature on financial cycles has shown an expansion in the bank lending often presages a systemic crisis by making the financial sector more fragile. I show an increase in realised volatility exacerbates fragility making the financial sector more susceptible to a crisis. Under conditions of elevated volatility which characterize crisis years, the probability of a systemic crisis increases by a factor of 12.07 times, compared to non-crisis years. In a dynamic model featuring self-fulfilling debt crises heightened uncertainty increases the probability of banker’s expected insolvency at fire-sale prices and leading to an increase in the likelihood of a run by liability holders.

Presented at: BC Dissertation Workshop Seminar (2023, 2024),  BC Macro Lunch Seminar (2023)

3. Capitalizing Human Capital (with Titan Alon, Menaka Hampole, and Adam Jørring)

Abstract: This paper examines the consequences of a steepening life-cycle income profile for human capital investments, portfolio choice, and wealth inequality. Using household surveys spanning seven decades, we document three facts: (1) the life-cycle income profile has steepened for college graduates but not for high school graduates; (2) college grads increasingly delay investments in real assets that require large down payments—such as real estate or business investments—instead favoring financial assets such as stocks and investments in human capital; and (3) intergenerational inequality is rising, driven by non-financial wealth. We develop a dynamic overlapping generations model with endogenous human capital investment and life-cycle portfolio choice that accounts for our findings and use it to study the implications for intergenerational mobility and the distribution of wealth

Presented at: BC Macro Lunch Seminar (2023), BC Carrol School of Management (2023*) 

4. Fiscal Policy in A Multisector Heterogeneous Agent Economy (with Tobias Müller)

Abstract: We introduce a multisector New Keynesian model with heterogeneous households, segmented sectoral labor markets and a production network to study the transmission channels of sector-specific government expenditures on the economy. The model features an intersectoral Keynesian cross from which we derive a MPC-augmented network multiplier. We formulate analytically how the network structure determines spillover and cascade effects via intersectoral linkages and sectoral spending propensities. We argue that the interaction of the Keynesian spending multiplier and the network multiplier displays a novel mechanism which is important for the understanding of the propagation of sectoral demand shocks. Sector-specific fiscal policy is particularly strong when a large fraction of high-MPC households is employed in labor-intensive and downstream sectors. Using household balance sheet data, we show that there are substantial and persistent divergences in household portfolios and in the proportion of hand-to-mouth households between sectors. When calibrating our model to the U.S. economy, we find sizable differences in sectoral government spending multipliers and distributional effects.

Presented at: BC Macro Lunch Seminar (2023, 2024*), BC & BU Green Line Macro Meeting (2023), European Central Bank (2023*, 2024*), 17th RGS Doctoral Conference in Economics (2024*),  Eastern Economic Association (2024*), Society for Nonlinear Dynamics and Econometrics (2024*), EUI (2024*), Goethe-Universtät Frankfurt (2024*), Society for Economic Dynamics (2024*), Tor Vergata (2024*)

5. International Asset Demand Shocks and Testing for Exchange Rate Disconnect

Abstract: I study the responses of macroeconomic aggregates to an international asset demand shock. The identified shock produces volatile exchange rate dynamics and fluctuations in consumption, investment and output where it explains 33%, 49% and 53% of the 5 year forecast error variance, respectively, when estimated using USA and EU data from 1996 to 2021. I interpret the volatility of macro aggregates to the shock as inconsistent with Itskhoki and Mukhin (2021)’s theory of exchange rate disconnect which claims such a shock should be unrelated to macroeconomic variables aside from the exchange rate to explain exchange rate puzzles. In particular, I find the result is driven by the correlation between shifts in home (EU) household’s demand for dollar denominated bonds and USA and EU productivity. This paper’s empirical findings are evidence for the relationship between financial shocks and the supply side of the economy.

Presented at: BC Dissertation Workshop Seminar (2021)

Presented by coauthor (*)

Summary of Teaching Evaluations

Teaching Statement

Teaching Experience

As instructor

Boston College  Econometrics Lab (2021, 2022), Financial Economics (2024 online and asyncronous), Machine Learning for Economics (2024), Macroeconomic Theory (2025)

As teaching assistant

Harvard Summer School 2023, 2024, 2025: Principles of Macroeconomics (Prof. Tanseli Savaser)

Boston College 2023: Economics of Inequality (Prof. Geoffrey Sanzenbacher)

Australian National University 2017: Behavioral Economics (Prof. Simon Grant)

Awards: Donald J White Teaching Excellence Award, Boston College

First Year Macroeconomics Taught by Susanto Basu

Second Year Macroeconomics Taught by Ryan Chahrour and Robert Ulbricht

Disclaimer: These notes are based on Lectures given by various professors of Boston College, as well as textbooks used in the classes. However, they did not participate in the writing or compiling of these notes, thus, all errors and opinions are my own.