Publications
[1] “Treatment Effects and Informative Missingness with an Application to Bank Recapitalization Programs,”
American Economic Review (Papers and Proceedings), 104, 5, 212-17, 2014. (Online Appendix)
[2] “Determining the Proper Specification for Endogenous Covariates in Discrete Data Settings,”
Advances in Econometrics, 34, 223-247, 2014.
[3] “Sample Selection and Treatment Effect Estimation of Lender of Last Resort Policies,”
Journal of Business and Economic Statistics, 34, 2, 197-212, 2016.
[4] “The Impact of Estimation Uncertainty on Covariate Effects in Nonlinear Models,” with Ivan Jeliazkov,
Statistical Papers, 59, 3, 1031-1042, 2018.
[5] “Analysis of Stigma and Bank Credit Provision,”
Journal of Money, Credit and Banking, 51, 1, 163-194, 2019.
[6] “The Quality of Banks at Stigmatized Lending Facilities,” with Sriya Anbil,
AEA Papers and Proceedings, 109, 506-510, 2019.
MEDIA: CardRates.com
[7] “Estimation and Applications of Quantile Regression for Binary Longitudinal Data,” with Arshad Rahman,
Advances in Econometrics, 40B, 157-191, 2019.
[8] “Liquidity from Two Lending Facilities,” with Sriya Anbil,
Journal of Financial Intermediation, 48, 100884, 2021.
MEDIA: AEA Video Interview
[9] “Bank Regulation, Network Topology, and Systemic Risk: Evidence from the Great Depression,” with Sanjiv Das and Kris Mitchener,
Journal of Money, Credit and Banking, 54, 5, 1261-1312, 2022.
AWARD: Winner of the WFA's Award for the Best Paper on Financial Institutions (Sponsored by Elsevier, Western Finance Association, 2019). Photo
MEDIA: VoxEU Article
NBER Working Paper
Previously titled "Systemic Risk and the Great Depression"
[10] “Digitization and Data Frames for Card Index Records,” with Someswar Amujala and Sanjiv Das,
Explorations in Economic History, forthcoming, 2022.
CODE: GitHub
MEDIA: CMC Article
Working Papers
“Likelihood Specification in Simultaneous Equation Models for Discrete data,” with Ivan Jeliazkov.
“Stock Volatility and the War Puzzle,” with Marc Weidenmier and Gustavo Cortes, NBER Working paper 29837.
- ABSTRACT:
- In a critique on the foundations of a large and diverse literature in economics, we obtain the likelihood function of simultaneous equation models
for discrete data as the invariant distribution of a suitably defined Markov process. Our formulation provides a well-defined reduced form of the model and
dispenses with controversial recursivity requirements and the need to augment the data generating process with ad hoc indeterminacy rules. We demonstrate
that the likelihood is unique, proper, coherent, complete, and theoretically grounded in conditional distribution modeling -- a framework that has yet to
be popularized in economics. We briefly examine extensions, relevant links, and computational issues, and present an application to a lender-of-last-resort
program in banking during the Great Depression.
- In a critique on the foundations of a large and diverse literature in economics, we obtain the likelihood function of simultaneous equation models
“Stock Volatility and the War Puzzle,” with Marc Weidenmier and Gustavo Cortes, NBER Working paper 29837.
- ABSTRACT
- U.S. stock volatility is 33 percent lower during wartime and periods of conflict. This is true even for World Wars I and II, which would seemingly increase uncertainty. In a seminal paper, Schwert (1989) identified the “war puzzle” as one of the most surprising facts from two centuries of stock volatility data. We propose an explanation for the puzzle: the profits of firms become easier to forecast during wartime due to massive government spending. We test this hypothesis using newly-constructed data on more than 100 years of defense spending. The aggregate analysis finds that defense spending reduces stock volatility. The sector level regressions show that defense spending predicts lower stock volatility for firms that produce military goods. Finally, an event-study demonstrates that earnings forecasts of defense firms by equity analysts become significantly less disperse after 9/11 and the invasions of Afghanistan (2001) and Iraq (2003).
- MEDIA: New York Times | Financial Times | MarketWatch | The Telegraph | The Australian | Money Control | The Age | National Affairs | Marginal Revolution
- SUMMARY: NBER Digest
Work in Progress
“A Nested Choice Model of Correspondent Banking Relationships,” with Tanisha Sheth.
“FDR's Bank Holiday: A Controlled Burn or Government Overreach,” with Matthew Jaremski and Gary Richardson.
“A Flexible Bayesian Quantile Regression Analysis of Residential Rental Rates,” with Ivan Jeliazkov, Shubham Karnawat, and Arshad Rahman.
“Specification of Systemic Risk and Acquisitions,” with Sanjiv Das and Kris Mitchener.
“Modeling Through Conditional Distributions,” with Ivan Jeliazkov.
“FDR's Bank Holiday: A Controlled Burn or Government Overreach,” with Matthew Jaremski and Gary Richardson.
“A Flexible Bayesian Quantile Regression Analysis of Residential Rental Rates,” with Ivan Jeliazkov, Shubham Karnawat, and Arshad Rahman.
“Specification of Systemic Risk and Acquisitions,” with Sanjiv Das and Kris Mitchener.
“Modeling Through Conditional Distributions,” with Ivan Jeliazkov.