Welcome to my website. I am a PhD Candidate in Economics at New York University.
Fields: Macroeconomics, Financial Economics, Monetary Policy, Banking, and Financial Intermediation.
Methods: Empirical methods with micro-data, macro-data, machine learning (neural networks, data visualization, etc), and Computational Economics, specializing in the use of discrete and continuous-time methods.
I am on the 2021-2022 job market and available for interviews during the (virtual) 2022 EEA and ASSA meetings.
Job Market Paper
This paper shows that heterogeneity in bank capitalization rates plays a crucial role in the transmission of monetary policy to bank lending. First, I offer new empirical evidence on the dependence of bank lending responses to monetary policy shocks on their capitalization rates. Highly-capitalized banks reduce their lending more after a monetary tightening, even after controlling for bank liquidity, size, and market power in the deposit market. I also document that highly capitalized banks have a riskier portfolio, as measured by loan charge-off rates, and default rates on their loans increase relatively more after a tightening in monetary policy. I then construct a dynamic macroeconomic model that rationalizes the empirical evidence through the interaction of heterogeneous recovery technologies of banks facing a risk-weighted capital constraint. In particular, after an increase in the policy rate, the model predicts that loan rates and default probabilities increase in both sectors. Higher-capitalized banks with a riskier portfolio are more sensitive because the risk-weighted capital constraint affects them more, so they contract lending more. In a counterfactual analysis, I find higher capital requirements amplify the effects of monetary policy.
Other Research Projects
"Financial Frictions, Risk Premia, and Wealth Inequality"
This paper analyzes the relation between risk premia, financial frictions, and wealth inequality in a continuous-time heterogenous agent economy. I study how the spread between the borrowing and lending rates, as well as the return on risky assets, affect wealth inequality. First, I build a model with heterogeneous agents subject to an idiosyncratic shock (labor and investment) where households have access to a risky asset and a safe asset, and I solve the model numerically. I find that an increase in the risk premium generates an increase in the wealth inequality measure (Gini coefficient). Second, I build a model with heterogeneous households subject to an idiosyncratic shock (death probability), who face a bliss point in consumption and have access to a risky asset and a safe asset. This model allows me to obtain a closed-form solution for the policy functions, which I use to find that risky assets’ portfolio share depends on the risk premium and household wealth; and that consumption is a fixed proportion of wealth, but also depends on the risk premium of the risky asset. Third, I build a model with three agents (a representative firm, a representative bank and heterogeneous households) with an aggregate shock to capture general equilibrium effects and make the financial intermediary play a greater role in the financial market, so it can affect the interest rate, the risk premium, wealth accumulation and wealth inequality. I conclude that an increase in risk return generates an increase in the equilibrium interest rate and greater inequality; and an increase in the spread generates a decrease in the equilibrium interest rate and lower inequality.
Useful codes and contributed examples
Toolbox for GDSGE: A Toolbox for Solving DSGE Models with Global Methods
Contributed example for Kiyotaki and Moore (1997): Credit Cycles