“Expectations and Credit Slumps” (with Antonio Falato), November 2023
Why was bank lending slow to recover after the 2008 financial crisis? Using microdata and a quantitative model, we show that imperfect bank expectations played an important role.
“The Internationalization of China’s Equity Markets” (with Juan Cortina, Maria Soledad Martinez Peria, Sergio Schmukler), June 2023. IMF Economic Review, Forthcoming
We document that China’s equity market internationalization led to significant increases in financial and investment activities for domestic firms, with sizeable aggregate effects.
During the Great Recession, investment declined more among firms whose indebtedness increased. Instead of investing, they expanded their stock of safe assets. In a general equilibrium model with heterogeneous firms, I show that “borrowing to save” can simultaneously generate a sharp downturn and a slow recovery.
“The Information Driven Financial Accelerator” (with Antonio Falato), November 2020
We show that noisy information in corporate debt markets can generate boom-bust credit cycles in a quantitative business cycle model.
Work in Progress
“How Informative Are Option Prices for Aggregate Tail Risks?” (with Jeroen Dalderop)
Economists routinely turn to option prices for estimating tail risks, but the demand for options is influenced by the risk attitudes and subjective beliefs of option traders. We propose a novel way to identify the time-varying bias in aggregate tail risk forecasts.