ECONOMIST
FEDERAL RESERVE BOARD
(202) 452-3169 





RESEARCH INTERESTS

Networks, Asset Pricing, Systemic Risk, Financial Intermediation.



WORKING PAPERS

"Inter-firm Relationships and Asset Prices" [PDF] [Internet Appendix]  
This paper proposes a novel link between the propagation of shocks within production networks and asset prices. It develops a dynamic network model in which the propagation of firm cash-flow shocks via inter-firm relationships affects the economy's equilibrium asset prices. When calibrated to match key features of customer-supplier networks in the United States, the model generates long-run risks and implications for the cross section of asset prices and returns. 


"A Note on Basket Securities in Segmented Markets [PDF]
Basket securities are securities that bundle several assets and whose payoffs depend on those of the underlying pool of assets, such as index funds and exchange-traded funds (ETFs). I study the design and welfare implications of basket securities issued in markets with limited investor participation in which profit-maximizing intermediaries are involved in financial innovation. I show that when only one intermediary exists, the equilibrium is not constrained efficient. Increasing competition among intermediaries increases the variety of baskets issued but does not necessarily improve investors' welfare.



WORK IN PROGRESS

"Designing Resilient Financial Systems"
I study the problem of a policymaker who seeks to improve 
the resilience of a large and highly interconnected financial system during times of economic stress. I show that under some conditions the policymaker cannot improve the system resilience. However, when she is able to do so, she can significantly improve the system resilience by imposing ex-ante restrictions on a set of companies. The size of such a set depends on the uncertainty faced by the policymaker and the ease of implementing 
restrictions. 
The model provides a novel link between the uncertainty faced by the policymaker and her ability to effectively prevent systemic failures.

"Inter-firm Relationships and the Idiosyncratic Volatility Anomaly"

"An Asset Pricing Model with Uncertain Inter-firm Dependencies" with Doriana Ruffino (FRB)

"Inter-firm Relationships and Business Cycleswith Duane Seppi (Carnegie Mellon)




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