SENIOR ECONOMIST

FEDERAL RESERVE BOARD

carlos.ramirez@frb.gov

CV - FRB WEBSITE - SSRN- Google Scholar

RESEARCH INTERESTS

Networks, Asset Pricing, and Financial Intermediation.

WORKING PAPERS

Regulating Financial Networks: A Flying Blind Problem [PDF, Internet Appendix, March 16 2022] 

I develop a model for studying the role that uncertainty about the susceptibility of a financial network to contagion plays in the behavior of its member institutions and the design of preemptive interventions. As uncertainty affects the perception of contagion risk, it can reshape market equilibrium inefficiencies, altering the scope of welfare-improving interventions. The socially optimal level of uncertainty depends on a delicate balance between the information technologies available to policymakers and structural features of the network.


Firm Networks and Asset Returns [PDF, Online Appendix, November 29, 2023] 

Changes in the propagation of shocks along firm networks are important to understanding aggregate and cross-sectional features of stock returns. When calibrated to match key characteristics of supplier–customer networks in the United States, a model in which firms are interlinked via enduring relationships generates long-run consumption risks, high and volatile risk premiums, and a small and stable risk-free rate. The model also matches cross-sectional patterns of portfolio returns sorted by firm centrality, a feature unaccounted for by standard asset pricing models.


WORK IN PROGRESS

Treasury Triparty Repo Pricing  with  Mark E. Paddrik

JOURNAL PUBLICATIONS

Imperfect Information Transmission from Banks to Investors: Macroeconomic Implications [PDF] [Journal of Monetary Economics, Volume 118, March 2021, pages 87-98] (joint with  Oksana Leukhina and Nicolás Figueroa)  

We study the interaction between screening and information production in loan-backed asset markets wherein credit ratings are prone to error. Conventional regulatory policies can exacerbate credit misallocation by reducing the informational value of high credit ratings. We propose a tax/subsidy scheme that increases efficiency.

OTHER PUBLICATIONS

The Dynamics of the U.S. Overnight Triparty Repo Market [FED Note] (joint with  Mark E. Paddrik and Matthew J. McCormick) 

Using supervisory transaction-level data we document novel features about the U.S. overnight triparty repo market.