I finished my Economics PhD at the University of Cambridge in summer 2024. My research interests included business cycles, risk and uncertainty, and monetary economics. Now, I work as an Economic Analyst at Point72.
I was supervised by Chryssi Giannitsarou and Elisa Faraglia.
Monopolistically Skewed Business Cycles
(with Frederik Bennhoff and Timo Haber)
Abstract. We show that the cross-sectional distribution of firm growth rates changes shape over the business cycle: it is right-skewed in booms, left-skewed in recessions, and these swings are more pronounced for larger firms. We call this the size gradient of skewness. We show that one way of explaining this pattern is through a parsimonious demand-side framework in which market power maps symmetric shocks into skewed growth outcomes. Stronger market power implies more concave responses and thus greater skewness. Countercyclical variance — or equivalently heterogeneous exposures to aggregate impulses — then generates the procyclical, size-dependent skewness we observe. Consistent with this mechanism, impulse responses to aggregate shocks show that growth and skewness move in tandem, with the skewness response concentrated among large firms. The results imply that large firms amplify cyclical asymmetry through market power, and that outcome-based policies risk responding to distributional patterns that reflect propagation rather than the shocks themselves.
Conditional Consumption Risk and the Equity Premium
Winner of the Cambridge Finance Best Student Paper Award 2022
Winner of the IAAE Best PhD Student Paper 2022
Winner of the QCGBF Young Economist Prize 2022
Latest Version (supersedes previous version 'The Downside Risk Channel of Monetary Policy')
Coverage: Faculty of Economics
Abstract. This paper proposes a novel approach to flexibly estimate the conditional distribution of aggregate consumption growth, constructs consumption risk measures based on that distribution, and uses the risk measures to test predictions of the standard consumption-based asset pricing model. Supporting the theory, I find that skewness in the conditional consumption growth distribution is priced in equity premia. Changes in skewness indicating an increase in downside risks to future consumption growth predict an increase in future excess returns in the time series and the cross section of returns, in sample and out of sample, and for realized as well as expected returns. To study the sources of fluctuations in downside consumption risk, I estimate the effect of monetary shocks on skewness. Expansionary monetary shocks have state-dependent effects on downside risks to consumption: When downside risk is high such as in a recession, they significantly reduce risk. When downside risk is low such as in an expansion, loose monetary policy can increase downside risk.
The Causal Effects of Monetary Policy: New Insights from Text Analysis
(with Adrian Ochs)
Abstract. This paper quantifies the information channel of monetary policy. The information channel occurs when the Fed and private agents have different information about the economy such that interest rate decisions can reveal information about economic conditions to the private sector. We use a stylized model to show that the information channel weakens the economic response to monetary policy, even in empirical applications using exogenous monetary shocks. This is because the private sector may not be able to identify the true size of the monetary shock in real time, therefore extracting a signal from the Fed that is correlated with the shock. The model motivates a simple decomposition approach: By controlling for the economic signal the private sector extracts from the Fed decision, we can separate the response under symmetric information from the information channel. We apply natural language processing techniques to the FOMC minutes to approximate the private sector's signal extraction problem. Based on the \cite{romer2004} shocks, we estimate that the information channel weakens the output response by 3 percentage points and the unemployment response by 0.5 percentage points in the post-Volcker period. We find no information channel for an earlier period and argue that the information channel has strengthened over time as monetary policy has become more systematic, making the interest rate a more informative signal about economic conditions.
Is the EU Money Market Fund Regulation fit for purpose? Lessons from the COVID-19 turmoil
(with Laura-Dona Capotă, Michael Grill, Luis Molestina Vivar, and Christian Weistroffer)
ECB Working Paper. Macroprudential Bulletin. SUERF Policy Brief.
Abstract. The market turmoil in March 2020 highlighted key vulnerabilities in the EU money market fund (MMF) sector. This paper assesses the effectiveness of the EU’s regulatory framework from a financial stability perspective, based on a panel analysis of EU MMFs at a daily frequency. First, we find that investment in private debt assets exposes MMFs to liquidity risk. Second, we find that low volatility net asset value (LVNAV) funds, which invest in non-public debt assets while offering a stable NAV, face higher redemptions than other fund types. The risk of breaching the regulatory NAV limit may have incentivised outflows among some LVNAV investors in March 2020. Third, MMFs with lower levels of liquidity buffers use their buffers less than other funds, suggesting low levels of buffer usability in stress periods. Our findings suggest fragility in the EU MMF sector and call for a strengthened regulatory framework of private debt MMFs.
Forecasting Macro with Finance (with Kilian Bachmair)