Research

Working Paper

(02/17) Managing Bank Run Risk: The Perils of Discretion [PDF] AFA2018
In downturns, banks tighten liquidity by cutting credit lines. Anticipating this, borrowers run to draw down credit lines in the first place, which imposes further pressure on banks. Thus liquidity rationing and credit line runs form a feedback loop that amplifies bank distress.

(01/17) Dynamic Optimal Taxation with Endogenous Skill Premia [PDF] NASM2016*
with Jason Ravit and Michael Sockin
We embed imperfect substitutability across skill levels into a dynamic Mirrlees model and uncover a novel intertemporal wage compression channel in optimal labor taxation that can rationalize redistributive programs such as the Earned Income Tax Credit.

In Preparation

(coming soon) Haircuts and Credit Risk over the Cycle [Slides] ESWC2015
Rapid tightening of haircuts exacerbated deleveraging pressures during the 07-09 crisis. I develop a dynamic general equilibrium model with heterogeneous beliefs and collateral constraints to explore the cyclicality of haircuts, risk premium, and default risks jointly.

Submitted

(02/17) Aggregate Effects of Collateral Constraints [PDF] WFA2016*, AFA2017*
with Sylvain Catherine, Thomas Chaney, David Sraer, and David Thesmar
We structurally estimate a dynamic model with heterogeneous firms and collateral constraints based on the causal effect of collateral shocks on firm-level corporate investment in the United States. Embedding this model in a general equilibrium framework further allows us to quantify the impact of financing frictions on aggregate output and welfare.

* presented by coauthors