Working papers
We study how high short-term interest rates affect depositor withdrawals and bank fragility. In a global games model, depositors choose between bank deposits and money market funds, while bank holds short-term and long-term assets. Higher rates raise the payoff from withdrawing and reduce long-term asset recovery values. The model delivers a critical interest rate threshold above which runs occur. Lower switching cost, weaker long-term asset returns, larger fire-sale loss, and larger long-term asset share lower the threshold and expand the run region.
Monetary Policy under Diagnostic Expectations
This paper studies optimal monetary policy in a New Keynesian economy with diagnostic expectations, where agents overreact to recent shocks. It shows that distorted expectations amplify the transmission of monetary policy shocks to inflation and output. The paper characterizes optimal policy under commitment and discretion. The results show that commitment is more valuable in a diagnostic economy, while applying a rational expectations policy rule generates meaningful welfare loss.
This paper develops a parsimonious model of investment cycles with diagnostic expectations and collateralized borrowing. It shows how overreaction to good news raises collateral valuations, expands borrowing capacity, and generates a debt-financed investment boom. The bust is driven by debt overhang. When collateral values fall, inherited repayments reduce internal funds and tighten new borrowing capacity, amplifying the decline in investment, capital, and output.
Diagnostic Forecasts of Gaussian Variables and Their Squares
This paper studies diagnostic expectations in linear Gaussian settings and shows that the standard Bordalo, P., Gennaioli, N. and Shleifer, A. (2018) forecast formula for levels does not extend to squared variables. It shows that diagnostic agents systematically overestimate future second moments. The paper also studies the welfare implications of this distortion in New Keynesian calibrations. The diagnostic correction to the standard welfare formula is positive but quantitatively small, remaining below 0.5% of benchmark welfare loss in the baseline calibration.
Optimal Inertia in the Taylor Rule
This paper studies welfare-optimal interest rate inertia in a simple New Keynesian model with persistent natural rate shocks. It derives a closed-form solution for the optimal inertia coefficient in a Taylor rule with interest-rate smoothing. The main result is that even when the central bank reacts very strongly to inflation, optimal inertia does not vanish. The paper shows that optimal inertia is lower when the Phillips curve is flat and rises as inflation becomes more responsive to the output gap.
Published papers
Fedorov D., Magzhanov T. and Kartaev P., 2025. Estimation and Forecasting of Russian Money Market Yield Curves. Russian Journal of Money and Finance, 84(2).
Pustovalova, A., Magzhanov, T. and Mirzoyan, A., 2025. Econometric Estimation of the Monetary Policy Effect on the Debt Burden at the Industry Level in Russia. Russian Journal of Money and Finance, 84(4).
Ablaev, E.Y. and Magzhanov, T.R., 2024. Fiscal Rules and Countercyclical Fiscal Policy in Russia. Studies on Russian Economic Development, 35(3).
Magzhanov, T. and Sagradyan, A., 2023. Ambiguous high scores: The All-Russian Olympiad in economics during the COVID-19 pandemic. Applied Econometrics, 70.
Research Assistance (acknowledgments):
Nicoletti A., Zhu, C. (2023). Economic Consequences of Transparency Regulation: Evidence from Bank Mortgage Lending. Journal of Accounting Research. https://doi.org/10.1111/1475-679X.12498
Maffett M., Nakhmurina A., Skinner D. J. (2022). Importing activists: Determinants and consequences of increased cross-border shareholder activism. Journal of Accounting and Economics. https://doi.org/10.1016/j.jacceco.2022.101538
Itskhoki O., Mukhin D. (2023). Sanctions and the Exchange Rate. Working Paper.