PUBLICATIONS
The International Spillover Effects of US Monetary Policy Uncertainty (with
Aeimit Lakdawala and
Matthew Schaffer) [
Working Paper] [
Code] [
Online Appendix]
Journal of International Economics, Vol 133, 103525, November 2021
WORKING PAPERS
Monetary Policy and Firm Heterogeneity: The Role of Leverage Since the Financial Crisis (with
Aeimit Lakdawala) [
PDF] [
Appendix]
Currently Under Review
Abstract: We show that the role of leverage in explaining firm-level responses to monetary policy changed around the financial crisis of 2007-09. Stock prices of firms with high leverage were less responsive to monetary policy shocks in the pre-crisis period but have become more responsive since the crisis. Using expected volatility measures from firm-level options, we further document that financial markets have been aware of this change. The use of unconventional monetary policy tools by the Federal Reserve since the crisis played an important role in driving our results; but, we also find evidence for changing transmission of conventional tools.
Financial Consolidation, Corporate Finance and Firm Investment in the Business Cycle (with
Sotirios Kokas and
Raoul Minetti) [
PDF]
Currently Under Review
Abstract: We study the influence of financial consolidation on the cyclical behavior of firms’ financing and investment. Using matched US firm-bank data, we find that bank consolidation raises the procyclicality of equity issuance and liquidity accumulation for small and medium-sized publicly traded firms, heightening investment sensitivity to shocks. In a model calibrated to US data, after bank consolidation the weakening in firms’ bargaining power enhances precautionary liquidity accumulation and equity issuance following positive productivity shocks, increasing investment procyclicality. The model suggests that bank consolidation contributed to a switch in smaller US firms’ equity issuance and liquidity accumulation from countercyclical to procyclical.
Firm-Level Uncertainty and the Transmission of Monetary Policy (with
Aeimit Lakdawala) [
PDF]
Currently Under Review
Abstract: We show that firms which face higher uncertainty adjust their investment less in response to monetary policy shocks. We find corroborating evidence of this differential effect from firm-level stock returns on FOMC announcement days. Our results are explained by a real options or “wait-and-see” channel whereby higher uncertainty dampens the response to changes in business conditions. Consistent with this mechanism the dampening effect is stronger for firms that face higher reversibility costs of investment.
Monetary Policy and Firm-Level Uncertainty (with
Aeimit Lakdawala) [
PDF]
Abstract: Uncertainty at the firm-level falls on FOMC announcement days with substantial variation both across firms and over time. We find that this movement is not related to surprises about the expected path of the policy rate but rather to forward guidance driven changes in uncertainty around the expected path. The effect of this monetary policy uncertainty is attenuated for firms that have higher growth opportunities (as measured by Tobin’s Q).
PROJECTS IN PROGRESS
Wage Rigidity and the Transmission of Monetary Policy
Fiscal-Monetary Interaction and Inequality (with
Giacomo Romanini)
Global banks and macroeconomic stability: Liquidity, control, and monitoring (with Ralph De Haas, Marco Di Pietro and Raoul Minetti)
CONFERENCE PRESENTATIONS
The Society for Economic Measurement - August 2022 (Calgary, Canada)
International Association for Applied Econometrics - June 2022 (London, UK)
Computing in Economics and Finance - June 2022 (Dallas, TX)
I-85 Macroeconomics Workshop - April 2022 (Columbia, SC)
Southern Economic Association Meetings - November 2021 (Houston, TX)
Rotterdam School of Management's Corporate Finance Day - October 2021
RCEA Money, Macro and Finance Conference - July 2021
Workshop on Empirical Monetary Economics - December 2019 (Paris, France)
Midwest Macroeconomics Meetings - November 2019 (East Lansing, Michigan)
Computing in Economics and Finance - June 2019 (Ottawa, Canada)