Using a confidential and comprehensive dataset, we show that the pricing of overnight Treasury tri-party repos significantly varies across market participants and depends on three factors: (1) the number of counterparties that participants often trade with, (2) the degree of trading diversification across those counterparties, and (3) the share of trading volume those counterparties account for. We also find that the pricing impact of these factors are sensitive to market conditions.
@article{treasury-repo,title={Treasury Triparty Repo Pricing},journal={Submitted},month=may,year={2025},author={Paddrik, Mark E. and Ramírez, Carlos A.},keywords={treasury, triparty repos, short-term funding, overnight repos},dimensions={true}}
2024
WP
The Anatomy of Contagion and Macroprudential Policies
Carlos A. Ramírez
Reject and Resubmit | Management Science, Apr 2024
I propose a model to highlight the relevance of basic characteristics of the structural makeup of contagion for the design of macroprudential policies. Besides characterizing optimal policies under a variety of environments, I show that failing to incorporate said characteristics can lead to inappropriate strategies for crisis prevention.
@article{acmp,title={The Anatomy of Contagion and Macroprudential Policies},journal={Reject and Resubmit | Management Science},month=apr,year={2024},url={https://drive.google.com/file/d/1FmGM23g437ISTV24UKeXxYNwAg6HKJuk/view?usp=sharing},author={Ramírez, Carlos A.},dimensions={true}}
2022
WP
Regulating Financial Networks: A Flying Blind Problem
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.
@article{flying-blind,title={Regulating Financial Networks: A Flying Blind Problem},journal={Under revision},month=mar,year={2022},url={https://drive.google.com/file/d/1u-29bQ05Yuzr5VjdOoqnug10rULaXyQD/view?usp=sharing},author={Ramírez, Carlos A.},dimensions={true}}