(202) 452-3169 


Networks, Asset Pricing, Systemic Risk, Financial Intermediation.


"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. 

"Basket Securities in Segmented Markets"
This paper studies the design and welfare implications of basket securities issued by profit-maximizing intermediaries who exploit investors' inability to trade freely across different markets. I find that increasing competition among intermediaries increases the variety of baskets issued, but does not always improve investors' welfare. The equilibrium basket structure depends on institutional features of a market such as depth and gains from trade.


"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)

The information in this website represents the view of the author, and should not be interpreted as reflecting the views of the Board of Governors of the Federal Reserve System or other members of its staff.