Assistant Professor at Zicklin School of Business, Baruch College, CUNY 2018 -
PhD Stanford University 2018
MA New Economic School 2011, MA Higher School of Economics 2010, BA Higher School of Economics 2008
137 East 22nd Street, Office 408, New York, NY 10010
My research interests are Macroeconomics, Financial Economics, and Real Estate. I study the role of financial frictions, uncertainty, and heterogeneity for financial markets and for the real economy. I use quantitative models with incomplete markets and heterogeneous agents, and discipline these models with micro data.
Housing Bust and Policy in the Great Recession: the role of Unemployment and Moving Shocks [Paper] [Slides] Revise and Resubmit, Journal of Banking and Finance
I study the recent U.S. housing bust in a quantitative lifecycle model using panel data from the Survey of Consumer Finances. The model accounts for the large and long-lasting impact of unemployment on future earnings documented in recent empirical work. To match the distribution of movers, I estimate moving shocks from survey data on non-financial reasons for moving. Movers are younger, have lower wealth and less secure jobs, hence more sensitive to unemployment and credit conditions. Moving shocks amplify the quantitative importance of labor and credit channels that explain the observed decline in house prices and the rise in foreclosures. A targeted mortgage subsidy similar to HAMP stabilizes prices and reduces foreclosures, while the Homebuyer Tax Credit is less effective.
This paper studies a labor search model with agents who are averse to ambiguity (Knightian uncertainty). Shocks to confidence about future productivity are modeled as changes in ambiguity. Using the Survey of Professional Forecasters data, I find that confidence shocks help explain the equity premium and the stock market volatility, including their term structure. Ambiguity amplifies the response of the economy to productivity shocks, helping the model produce more realistic dynamics of unemployment, vacancies, tightness, stock prices, and returns. Returns in the model are predictable with price-dividend ratios; both returns and dividends are predictable with unemployment, like in the data. Two extensions consider shocks to bargaining power and to separation rate and find similar implications of ambiguity about these shocks.
This paper proposes a simple perturbation approach for dynamic models with agents who differ in their perception of exogenous shocks. The method characterizes linear dynamics around a steady state when that steady state differs from any individual agent's long-run expectation. It applies when agents agree to disagree, as well as when they differ in aversion to Knightian uncertainty and hence behave as if they hold different worst-case beliefs. It thus provides a simple way to study the effects of uncertainty on behavior in linear models. Our leading example looks at precautionary savings, asset premia, and gains from insurance in a borrower-lender model with agents who differ in uncertainty aversion.
To match the observed patterns of trade policy over the business cycle, I study a menu-auction model of trade policy in which financial frictions give rise to unemployment. Firms face idiosyncratic liquidity shocks that force some of them into bankruptcy. Tariffs raise profits providing liquidity to overcome the shocks. Both equilibrium and optimal tariffs are hump-shaped in the size of the shocks: if shocks are small, tariffs rise (as compared to the no shock case) to save employment; if shocks are large, tariffs fall to sweep away inefficient firms. The optimal policy also helps less affected industries create more jobs for the unemployed from other industries. The response to a crisis depends on the political regime: as compared to democracies, autocracies give more protection to industries that generate more profits and are at higher risk. The results also hold in a two-country extension of the model.
Work in progress
We study how rising tuitions and various student loan policies affect households' decisions about housing, consumption, and saving for retirement.
The Macroeconomic Effects of Working-from-Home (with Christos Makridis)
This paper quantitatively investigates the macroeconomic effects of working-from-home (WFH) over the business cycle.
Idiosyncratic, uninsurable labor income risk primarily in the form of unemployment risk plays a large role in macro models with asset pricing. We study a heterogeneous-agents labor search model with portfolio choice that links labor and asset markets. Unemployment risk gives rise to high equity premium mostly because the job finding rate is correlated with productivity. Additionally, there is the feedback from asset pricing to job creation: high equity premium lowers incentives to post vacancies, which in turn lowers the job finding rate and gives rise to an even higher premium.
I teach Real Estate Finance and Investment (RES 3200)
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