I am a PhD candidate in the Department of Economics and the Bendheim Center for Finance at Princeton University.
I am on the job market and will be available for interviews at the European Job Market in Rotterdam in December 2019 and at the ASSA Annual Meeting in San Diego in January 2020.
You can find my CV here.
Research areas | Finance, Macroeconomics, Monetary Economics
Contact | email@example.com
JOB MARKET PAPER
Low Rates and Bank Loan Supply: Theory and Evidence from Japan | Download
Joint with Cynthia Balloch
What are the long-run consequences of low nominal interest rates for credit supply? In this paper we (1) provide panel evidence from Japan of the adverse effects of low rates on long-run bank profitability and loan supply, (2) propose a quantitative macroeconomic model with heterogeneous banks that rationalizes our key empirical findings, and (3) discipline the model using our panel evidence to estimate the aggregate impact on credit supply. Our empirical evidence exploits the differential exposure of banks to nominal rates through their historical liability structure. We show that exposed banks face relatively higher costs of funding, have lower profitability, and decrease loan supply as low rates unfold. In the model, loans are undersupplied in equilibrium due to financial frictions. Market power in deposits helps mitigate these frictions, but is sensitive to nominal rates due to competition from money. This force is stronger for banks with more ex-ante market power, generating heterogeneity that we use to discipline the model. We find that low rates resulted in significantly lower loan growth in Japan. We explore in counterfactuals two commonly discussed policies: tiering bank reserves and taxing cash. Although tiering has a limited effect, both policies alleviate the negative effects of low rates on credit supply.
The Reversal Interest Rate | Download | R&R, American Economic Review
Joint with Markus Brunnermeier
The reversal interest rate is the rate at which accommodative monetary policy reverses and becomes contractionary for lending. Its determinants are 1) banks’ fixed-income holdings, 2) the strictness of capital constraints, 3) the degree of pass-through to deposit rates, and 4) the initial capitalization of banks. Quantitative easing increases the reversal interest rate and should only be employed after interest rate cuts are exhausted. Over time the reversal interest rate creeps up since asset revaluation fades out as fixed-income holdings mature while net interest income stays low. We calibrate a New Keynesian model that embeds our banking frictions.
Aggregation in Heterogeneous-Firm Models: A Sufficient Statistics Approach | Download
Joint with Christian Wolf
When does the distribution of capital across firms matter for aggregate investment dynamics? We show that the real and financial micro frictions popular in the recent heterogeneous-firm literature invariably shape investment demand in partial equilibrium, but become irrelevant in general equilibrium if investment is sufficiently price-elastic. Previous work disagrees on the importance of micro frictions precisely because of implicit disagreement on this price elasticity. We find that quasi-experimental micro evidence on the response of firm investment to tax changes implies price elasticities that are orders of magnitude below those found in structural models with strong general equilibrium smoothing. To illustrate our results we show that, in heterogeneous-firm models with data-consistent dampened price elasticities, firm-level real and financial frictions also shape the cyclical behavior of aggregate investment.
WORK IN PROGRESS
Reinsurance Markets and the Price of Catastrophic Risk
I study the market for catastrophic weather-related risks. I show that a concentrated market can deliver better outcomes than a perfectly competitive market amid the presence of financial frictions affecting the capacity of reinsurers to take on risk. I use detailed insurance and reinsurance data from Florida to estimate the model, and also discuss the role of public reinsurance.
Monetary Policy Transmission through Banks in the United States
Joint with Christian Wolf
We show that shocks to the federal funds rate transmit imperfectly to retail bank products households use to borrow or save at short and medium-term horizons. We show in a heterogeneous-households model that this dampens monetary policy, albeit less so than in a representative agent model.