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.
@article{fnar,title={Firm Networks and Asset Returns},journal={Forthcoming, Review of Financial Studies},month=jun,year={2024},url={https://drive.google.com/file/d/1TIFOIvhr8kMWpEcQFeo0QlAZR77gPDYU/view?usp=sharing},author={Ramírez, Carlos A.},dimensions={true}}
EL
On the Anatomy of Cyberattacks
Jin-Wook Chang , Kartik Jayachandran , Carlos A. Ramírez , and Ali Tintera
Using detailed information on cyberattacks and establishments in the United States, we study whether and how an establishment’s characteristics can alter the likelihood of cyberattacks. We find that larger establishments and establishments of publicly traded companies are more likely targets.
@article{cyber,title={On the Anatomy of Cyberattacks},journal={Economics Letters},volume={238},month=apr,year={2024},doi={https://doi.org/10.1016/j.econlet.2024.111676},url={https://www.sciencedirect.com/science/article/pii/S0165176524001599},author={Chang, Jin-Wook and Jayachandran, Kartik and Ramírez, Carlos A. and Tintera, Ali},dimensions={true}}
2021
FEDS
The Dynamics of the U.S. Overnight Triparty Repo Market
Mark E. Paddrik , Carlos A. Ramírez , and Matthew J. McCormick
Using supervisory transaction-level data, this note provides an overview of the pricing and clearing process of overnight triparty repos. We present novel facts about how this segment behaves, emphasizing the role that participants, collateral, and trading relationships play in its pricing and clearing process.
@article{fed-notes-overnight-repo,title={The Dynamics of the U.S. Overnight Triparty Repo Market},journal={FEDS Notes},month=aug,year={2021},doi={https://doi.org/10.17016/2380-7172.2948},url={https://www.federalreserve.gov/econres/notes/feds-notes/the-dynamics-of-the-us-overnight-triparty-repo-market-20210802.html},author={Paddrik, Mark E. and Ramírez, Carlos A. and McCormick, Matthew J.},dimensions={true}}
JME
Imperfect information transmission from banks to investors: Macroeconomic implications
Nicolás Figueroa , Oksana Leukhina , and Carlos A. Ramírez
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.
@article{jme-macro,title={Imperfect information transmission from banks to investors: Macroeconomic implications},journal={Journal of Monetary Economics},volume={118},pages={87-98},month=mar,year={2021},issn={0304-3932},doi={https://doi.org/10.1016/j.jmoneco.2019.12.002},url={https://www.sciencedirect.com/science/article/pii/S0304393219302156},author={Figueroa, Nicolás and Leukhina, Oksana and Ramírez, Carlos A.},keywords={Credit misallocation, Screening effort, Information asymmetry, Information production, Strategic rating, Rating agencies, Mandatory rating, Mandatory ratings disclosure},dimensions={true}}