Academic Positions
Johns Hopkins Carey Business School | Baltimore, MD
- Associate Professor (without tenure) | 2024-Present
- Assistant Professor | 2017-2024
Federal Reserve Bank of St. Louis | St. Louis, MO
Education
New York University Stern School of Business | New York, NY
- Ph.D. in Finance | 2011-2017
University of Virginia | Charlottesville, VA
- B.A. in Economics and Mathematics | 2005-2009
Publications
[SSRN] [Journal] [Code]
How much capital should financial intermediaries hold? We propose a general equilibrium model with a financial sector that makes risky long-term loans to firms, funded by deposits from savers. Government guarantees create a role for bank capital regulation. The model captures the sharp and persistent drop in macro-economic aggregates and credit provision as well as the sharp change in credit spreads observed during financial crises. Policies requiring intermediaries to hold more capital reduce financial fragility, reduce the size of the financial and non-financial sectors, and lower intermediary profits. They redistribute wealth from savers to the owners of banks and non-financial firms. Pre-crisis capital requirements are close to optimal. Counter-cyclical capital requirements increase welfare.
Presentations:
- Michigan Ross, Ann Arbor, MI, Nov 2019
- McGill Desautels, Montreal, Quebec, Aug 2019
- Computing in Economics and Finance, New York, NY, Jun 2017
- Macro Finance Society IX Workshop, Chicago, IL, May 2017
- Econometric Society North American Summer Meeting, Philadelphia, PA, Jun 2016
[SSRN] [Journal] [Code]
We provide strong evidence of a countercyclical sensitivity of the stock market to major macroeconomic announcements. The most notable cyclical variation takes place within expansions: sensitivity is largest early in an expansion and essentially zero late in an expansion. By exploiting the comovement pattern between stocks and bonds around announcements, we show that the stock market sensitivity is large when the cash flow component of news is least offset by news about future risk-free rates. Observed fluctuations in stock sensitivities can be attributed to shifting perceptions of monetary policy responsiveness.
[SSRN] [Journal]
We develop a new model of the mortgage market that emphasizes the role of the financial sector and the government. Risk tolerant savers act as intermediaries between risk averse depositors and impatient borrowers. Both borrowers and intermediaries can default. The government provides both mortgage guarantees and deposit insurance. Underpriced government mortgage guarantees lead to more and riskier mortgage originations and higher financial sector leverage. Mortgage crises occasionally turn into financial crises and government bailouts due to the fragility of the intermediaries’ balance sheets. Foreclosure crises beget fiscal uncertainty, further disrupting the optimal allocation of risk in the economy. Increasing the price of the mortgage guarantee “crowds in” the private sector, reduces financial fragility, leads to fewer but safer mortgages, lowers house prices, and raises mortgage and risk-free interest rates. Due to a more robust financial sector and less fiscal uncertainty, consumption smoothing improves and foreclosure rates fall. While borrowers are nearly indifferent to a world with or without mortgage guarantees, savers are substantially better off. While aggregate welfare increases, so does wealth inequality.
[SSRN] [Journal] [Code]
The covid-19 crisis has led to a sharp deterioration in firm and bank balance sheets. The government has responded with a massive intervention in corporate credit markets. We study equilibrium dynamics of macroeconomic quantities and prices, and how they are affected by this policy response. The interventions prevent a much deeper crisis by reducing corporate bankruptcies by about half and short-circuiting the doom loop between corporate and financial sector fragility. The additional fiscal cost is zero since programme spending replaces what would otherwise have been spent on financial sector bailouts. An alternative intervention that targets aid to firms at risk of bankruptcy prevents more bankruptcies at much lower fiscal cost, but only enjoys marginally higher welfare. Finally, we study longer-run consequences for firm leverage and intermediary health when pandemics become the new normal.
Presentations:
- Bank of Portugal, Virtual, Nov 2020
- IMF Annual Research Conference, Virtual, Nov 2020
- Melbourne, Virtual, Aug 2020
[SSRN] [Journal]
This paper investigates the direct and spillover effects on mobility caused by the staggered adoption of Stay-at-Home orders (SHOs) implemented by U.S. counties to contain the spread of COVID-19. We find that mobility in neighboring counties declines by a third to a half as much as in the counties that first implement the SHOs. Further, these spillovers are concentrated in counties that share media markets with treated counties. Using directional mobility data, we find that declines in internal mobility in the neighbor counties account for a much larger proportion of the overall decline in mobility than decreases in traffic originating in the treated county and headed to the neighbor. Together, these results provide strong evidence that SHOs operate through information sharing and voluntary social distancing. Based on our estimates and a simple model of staggered SHO adoption, we construct counterfactual scenarios that separate the impact of policy coordination from that of adoption timing. We demonstrate that staggered implementation of SHO policies can yield mobility reductions that are larger than coordinated but delayed SHO policy adoption.
Working Papers
[SSRN]
This paper investigates the financial stability consequences of banks’ interest rate risk exposure and uninsured deposit funding share. We develop a model incorporating insured and uninsured deposits, interest rate-sensitive securities, and credit-risky loans to understand how banks respond to interest rate risk and the potential for deposit runs. The model delivers the concentration of uninsured deposits in larger banks and examines how banks’ portfolio- and funding choices impact financial stability. We study the effects of recent Federal Reserve rate hikes on banks and analyze micro-prudential policy tools to enhance the banking sector’s resilience. Higher liquidity requirements that target uninsured deposits are effective at curbing run risk of large banks, but cause misallocation in the lending market. Size-dependent capital requirements are equally effective at mitigating run risk, with minimal unintended consequences.
[SSRN]
We propose a novel time-series econometric framework to forecast U.S. Presidential election outcomes in real time by combining polling data, economic fundamentals, and political prediction market prices. Our model estimates the joint dynamics of voter preferences across states. Applying our approach to the 2024 Presidential Election, we find a two-factor structure driving the vast majority of the variation in voter preferences. We identify electorally similar state clusters without relying on historical data or demographic models of voter behavior. Our simulations quantify the correlations between state-level election outcomes. Failing to take the correlations into account can bias the forecasted win probability for a given candidate by several percentage points. We find Pennsylvania to be the most pivotal state in the 2024 election, followed by Nevada. Our results provide insights for election observers, candidates, and traders.
[SSRN]
Mortgage structure matters not only for monetary policy transmission, but also for financial stability. In an adjustable-rate mortgage (ARM) regime, interest rate rises cause higher default rates due to increases in mortgage payments. In a fixed-rate mortgage (FRM) regime, households are protected, but banks are potentially more exposed to rate rises. To evaluate these competing mechanisms under different mortgage regimes, we build a quantitative model with flexible mortgage contract structures, borrowers, and an intermediary sector. Our approach captures borrowers’ endogenous default decisions and intermediaries’ equilibrium pricing effects on mortgage rates and risk premia, reflecting the interaction between interest rate and credit risks, and intermediary net worth. We find that financial stability risks are “U-shaped” in mortgage structure: while ARM payments are more sensitive to interest rates, defaults happen in states when intermediary net worth is high, resulting in lower risk premia in constrained states of the world compared to the benchmark FRM economy. As a result, an intermediate mortgage fixation length minimizes the volatility of intermediary net worth and improves the sharing of aggregate risks. Our findings have implications for mortgage design, macroprudential, and monetary policy.
Presentations:
- American Real Estate and Urban Economics Association National Conference, Washington, DC, May 2024
- CUNY Baruch, New York, NY, Dec 2024
[SSRN]
We study sources and implications of undiversified portfolios in a production-based asset pricing model with financial frictions. Households take concentrated positions in a single firm exposed to idiosyncratic shocks because managerial effort requires equity stakes, and because investors gain private benefits from concentrated holdings. Matching data on returns and portfolios, we find that the marginal investor optimally holds 45% of their portfolio in a single firm, incentivizing managerial effort that accounts for 4% of aggregate output. Investors derive control benefits equivalent to 3% points of excess return, rationalizing low observed returns on undiversified holdings in the data. A counterfactual world of full diversification would feature higher risk free rates, lower risk premiums on fully diversified and concentrated assets, less capital accumulation, yet higher consumption and welfare. Exposure to undiversified firm risk can explain approximately 40% of the level and 20% of the volatility of the equity premium. A targeted subsidy that decreases diversification improves welfare by increasing managerial effort and reducing financial frictions.
Presentations:
- Midwest Finance Association, Chicago, IL, Mar 2024
- American Finance Association, San Antonio, TX, Jan 2024
- European Finance Association, Amsterdam, The Netherlands, Aug 2023
- Western Finance Association, San Francisco, CA, Jun 2023
- Hong Kong University, Virtual, Apr 2023
- ITAM, Mexico City, Mexico, Oct 2023
- UVa Darden, Charlottesville, VA, Sep 2023
[SSRN]
Governments around the world have gone on a massive fiscal expansion in response to the GFC and Covid crises, increasing government debt to levels not seen in 75 years. How will this debt be repaid? What role do conventional and unconventional monetary policy play? We investigate debt sustainability in a New Keynesian model with an intermediary sector, realistic fiscal and monetary policy, endogenous convenience yields, and substantial risk premia. During a large economic crisis, increased government spending and lower tax revenue lead to a large rise in government debt and raise the risk of future tax increases. Quantitative easing (QE) contributes to lowering the debt/GDP ratio and reducing the risk of future tax increases. QE is state- and duration-dependent: while a temporary QE policy deployed in a crisis stimulates aggregate demand, permanent QE crowds out investment and lowers long-run output.
Presentations:
- American Economic Association, New Orleans, LA, Jan 2023
- Nebraska, Lincoln, NE, Sep 2022
- Financial Intermediary Research Society, Budapest, Hungary, Jun 2022
- USC Marshall, Los Angeles, CA, Apr 2022
- Tepper LAEF Advances in Macro Finance, Santa Barbara, CA, Apr 2022
- UNC Jackson Hole Winter Finance, Teton Village, WY, Jan 2022
- Carnegie Mellon Tepper, Virtual, Oct 2021
[SSRN]
I develop a quantitative model of the mortgage market operating in an economy with financial frictions and nominal rigidities. I use this model to study the effectiveness of large-scale asset purchases (LSAPs) by a central bank as a tool of monetary policy. When negative shocks hit, homeowner and financial sector balance sheets are impaired, borrowing constraints bind, asset prices and aggregate demand drop, hampering the transmission of conventional monetary policy. LSAPs boost aggregate demand in a crisis by directing additional lending to homeowners, raising house prices, and establishing expectations of future financial stability. However, legacy household debt depresses output and consumption in recovery. In the long run, a commitment to ongoing use of LSAPs in crises reduces credit and business cycle volatility and redistributes resources from borrowers and intermediaries to savers.
Presentations:
- JHU Applied Math, Baltimore, MD, Mar 2019
- JHU Econ, Baltimore, MD, Apr 2018
- CUNY Baruch, New York, NY, Nov 2017
- Penn State Smeal, State College, PA, Oct 2017
- Syracuse Whitman, Syracuse, NY, Feb 2017
- Wharton, Philadelphia, PA, Feb 2017
- UCSD Rady, La Jolla, CA, Feb 2017
- Washington University Olin, Clayton, MO, Feb 2017
- Imperial College, London, U.K., Feb 2017
- London Business School, London, U.K., Feb 2017
- Johns Hopkins Carey, Baltimore, MD, Jan 2017
Presentations:
- DC-Area Juniors, Washington, DC, May 2019
- American Real Estate and Urban Economics Association, Washington DC, May 2019
- UMBC, Catonsville, MD, Apr 2019
- UNC Junior Finance Roundtable, Chapel Hill, NC, Mar 2019
Grants and Awards
Grants
- Carey General Research Support Fund Award ($3K), 2022
- with Tzuo-Hann Law, Dongho Song, and Amir Yaron
- Carey General Research Support Fund Award ($6K), 2021
- with Luis Quintero, Alessandro Rebucci, and Emilia Simeonova
- Hopkins Business of Health Initiative Seed Grant ($20K), 2020
- with Luis Quintero, Alessandro Rebucci, and Emilia Simeonova
Awards, Honors, and Fellowships
- Marshall Blume Prize (Wharton)
- with Tim Landvoigt, Patrick Shultz, and Stijn Van Nieuwerburgh
- Faculty Excellence Award, 2020-21
- AREUEA Homer Hoyt Doctoral Dissertation Award (best dissertation in real estate)
- Best Discussant Award, IFSID Sixth Annual Conference
- NYU Stern Center for Real Estate Finance Research Fellowship
- NYU Stern Teaching Commendation
- David M. Graifman Memorial Award, Second Year Best Paper in Finance Runner-Up
- PhD Director’s Fellowship
- U.Va. Best Undergraduate Thesis in Economics
Teaching Experience
Johns Hopkins University Carey Business School, 2017-Present
- Financial Institutions, Instructor, Masters
- Computational Finance, Instructor, Masters
New York University Stern School of Business, 2013-2017
- Debt Instruments, Instructor, Undergraduate
University of Virginia, 2009
- Anatomy of Financial Crises, Instructor, Undergraduate
Conference Discussions
- Macro Shocks and Housing Markets, by Gene Amromin and Janice Eberly
- American Economic Association Annual Meeting, San Francisco, CA, 2025
- Tech-Driven Intermediation When Banks Originate to Distribute, by Zhiguo He, Sheila Jiang, Douglas Xu
- Western Finance Association Annual Meeting, Honolulu, HI, 2024
- Inflation and Treasury Convenience, by Anna Cieslak, Carolin Pflueger, and Wenhao Li
- SFS Cavalcade, Atlanta, GA, 2024
- Monetary Policy Wedges and the Long-term Liabilities of Households and Firms, by Jules H. van Binsbergen and Marco Grotteria
- Duke-UNC Asset Pricing Conference, Durham, NC, 2024
- Bailing out (Firms’) Uninsured Deposits: A Quantitative Analysis, by N. Aaron Pancost and Roberto Robatto
- Midwest Finance Association Annual Meeting, Chicago, IL, 2024
- Running Out of Time (Deposits), by Dominik Supera
- Temple Fischer-Shain Center Research Conference, Philadelphia, PA, 2023
- Leasing as a Mitigation Channel of Capital Misallocation, by Yiming Xu, Kai Li, and Weiwei Hu
- European Finance Association, Amsterdam, The Netherlands, 2023
- Intermediary-Based Loan Pricing, by Pierre Mabille and Olivier Wang
- European Finance Association, Amsterdam, The Netherlands, 2023
- A Monetary Policy Asset Pricing Model, by Ricardo Caballero and Alp Simsek
- Western Finance Association, San Francisco, CA, 2023
- Household Debt Overhang and Human Capital Investment, by Gustavo Manso, Alejandro Rivera, Hui Wang, and Han Xia
- ASU Sonoran Winter Finance Conference, Phoenix, AZ, 2023
- Uncertainty, Risk, and Capital Growth, by Gill Segal and Ivan Shaliastovich
- USC Macrofinance Conference, Los Angeles, CA, 2022
- Pension Plan Systems and Asset Prices, by Nuno Coimbra, Francisco Gomes, Alexander Michaelides, Jialu Shen
- China International Conference in Macroeconomics, Virtual, 2022
- Monetary Policy, Segmentation, and the Term Structure, by Rohan Kekre, Moritz Lenel, and Federico Mainardi
- China International Conference in Macroeconomics, Virtual, 2022
- The Demand for Money, Near-Money, and Treasury Bonds, by Arvind Krushnamurthy and Wenhao Li
- Midwest Finance Association Annual Meeting, Chicago, IL, 2022
- Spatial Implications of Telecommuting, by Matthew Delventhal and Andrii Parkhomenko
- American Real Estate and Urban Economics Association January Meeting, Virtual, 2021
- Moral Hazard versus Liquidity in Household Bankruptcy, by Sasha Indarte
- Midwest Finance Association Annual Meeting, Virtual, 2021
- The Structure of Economic News, by Leland Bybee, Bryan Kelly, Asaf Manela, and Dacheng Xiu
- Western Finance Association Annual Meeting, Virtual, 2020
- Financial inclusion, human capital, and wealth accumulation: Evidence from the Freedman’s Savings Bank, by Luke Stein and Constantine Yannelis
- European Finance Association Annual Meeting, Carcavelos, Portugal, 2019
- The Credit Channel of Fiscal Policy Transmission, by Andrew Bird, Stephen A. Karolyi, Stefan Lewellen, and Thomas Ruchti
- University of Oregon Summer Finance Conference, Eugene, OR, 2019
- Foreseen Risks, by Joao Gomes, Marco Grotteria, and Jessica Wachter
- Financial Intermediation Research Society Annual Conference, Savannah, GA, 2019
- Can Restrictions on Exotic Lending Dampen House Price Volatility? A Panel VAR Exploration, by Wayne R. Archer
- American Real Estate and Urban Economics Association January Meeting, Atlanta, GA, 2019
- Time-varying Risk Premium and Unemployment Risk Across Age Groups, by Indrajit Mitra and Yu Xu
- European Finance Association Annual Meeting, Warsaw, Poland, 2018
- Collateral Misreporting in the RMBS Market, by Sam Kruger and Gonzalo Maturana
- Midwest Finance Association Annual Meeting, San Antonio, TX, 2018
- Treasury Yield Implied Volatility and Real Activity, by Martijn Cremers, Matthias Fleckenstein, and Priyank Gandhi
- IFSID Sixth Annual Conference, Montreal, Quebec, 2017
- Tail Risk, Robust Portfolio Choice, and Asset Prices, by Xing Jin, Dan Luo, and Xudong Zeng
- European Finance Association Annual Meeting, Mannheim, Germany, 2017
- Financial Sector Origins of Economic Growth Delusion, by Frederic Malherbe and Michael McMahon
- Western Finance Association Annual Meeting, Whistler, BC, 2017
- A Quantitative Model of ‘Too Big to Fail,’ House Prices, and the Financial Crisis, by Omer Acikgoz and James Kahn
- NYC Real Estate Conference, New York, NY, 2017
Service
Professional
Refereeing
- American Economic Review
- Journal of Political Economy
- Review of Economic Studies
- Journal of Finance
- Review of Financial Studies
- Journal of Financial Economics
- Journal of Monetary Economics
- American Economic Journal: Macroeconomics
- Management Science
- Review of Economic Dynamics
- The Journal of Financial and Quantitative Analysis
- Economica
- Journal of Money, Credit and Banking
- Macroeconomic Dynamics
- The Scandinavian Journal of Economics
- Journal of Financial Services Research
- Journal of Mathematical Economics
Program Committee and Session Chair
- AREUEA National Conference
- Western Finance Association Annual Meeting
- ASSA-AREUEA Conference
- JHU Carey Finance Conference
Conference Organizer
- JHU Carey Finance Conference (2024)
- DC-Area Junior Finance Conference (2022)
Doctoral Advising
JHU Department of Economics Disserations – Graduate Board Oral Examination Committee
- Melih Firat, 2022
- Essays on the Phillips Curve and the U.S. Monetary Spillovers
- Placement: Economist, International Monetary Fund, Washington, DC
- Derin Askit, 2021
- Essays on Unconventional Monetary Policies
- Placement: Senior Associate, PricewaterhouseCoopers, Boston, MA
- Lalit Contractor, 2021
- Essays on Frictions and Inefficiency in Housing and Regional Labour Markets
- Placement: Assistant Professor, Ashoka University, Delhi, India
- Edmund Crawley, 2019
- Essays on Consumption
- Placement: Economist, Federal Reserve Board, Washington, DC
- Shujaat Khan, 2019
- Essays on Debt and Heterogeneous Agent Macroeconomics
- Placement: Economist, International Monetary Fund, Washington, DC
- Daniel Garcia, 2018
- Essays on Credit Supply and Demand in the Housing Boom and Bust
- Placement: Economist, Federal Reserve Board, Washington, DC
University
- Carey Faculty Advisory Council, 2023-Present
- Finance External Speaker Seminar Series Coordinator, 2022-2023
- Finance Internal Brownbag Seminar Series Coordinator, 2021-2022
- Tenure-Track Faculty Search Committee (Finance), 2017-2022
- Academic Ethics Board, 2018-2023
- Practice-Track Faculty Search Committee (Finance), 2021
- Strategic IT Committee, 2022-Present
- FinTech Committee, 2018
Professional Affiliations
- American Economic Association
- American Finance Association
- American Real Estate and Urban Economics Association
- Econometric Society
- European Finance Association
- Macro Finance Society
- Western Finance Association
Other Employment
- Cornerstone Research, Analyst, 2009-2011
Personal
- U.S. Citizen
- Language Proficiency: English (native), Russian (native), French (basic)
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