Welcome to my website! I am a Finance Ph.D. Candidate at Kellogg School of Management, Northwestern University. I will be available for interviews at the 2019 ASSA meetings in Atlanta.
Research Interests: Macro-Finance
Job Market Paper:
"Capital Controls and Risk Misallocation : Evidence from a Natural Experiment"
[2018 WFA Cubist Systematic Strategies PhD Candidate Award for Outstanding Research]
Foreign currency debt has led to many crises in emerging markets. However, in the past decade, firms in emerging economies have drastically increased their foreign currency borrowing, making them significantly exposed to depreciation shocks. To reduce their exposure to external shocks, central banks have increased their use of capital controls. In this paper I study whether capital controls can have the unintended consequence of inducing firms to borrow more in foreign currency. I exploit heterogeneity in the strictness of capital controls across Peruvian banks to provide novel causal evidence of the effect of capital controls on local firms' dollar borrowing from banks. Using a unique dataset that includes all foreign exchange transactions and loans given by Peruvian banks, I find that capital controls encourage firms to take more foreign currency loans. I describe a new mechanism to explain these findings, in which capital controls induce local banks to shift exchange rate exposure away from foreigners and onto domestic firms. This is worrisome as the literature shows that depreciation shocks have led to significant reductions in investment and employment for these firms.
Work in Progress:
"Monetary policy passthrough under covered interest rate violations"
Recently, various countries have experienced large persistent deviations from covered interest rate parity in their exchange rate markets. However, little is known about the effect of these deviations on monetary policy pass-through. In this paper I use a natural experiment to provide causal evidence that covered interest rate parity violations severely affect monetary policy pass-through. I show a novel channel of monetary policy pass-through under covered interest rate parity violations and its implications for firms.
Foreign currency derivative markets are among the largest markets in the world. In this paper, we assess firms’ hedging behaviour by employing a unique dataset covering the universe of FX derivative transactions in Peru over more than a decade (2005-2018). To assess firms’ hedging choices in accordance to their currency exposure, we merge transaction data on forwards and swaps with exports, imports and credit data by currency denomination at monthly frequency and at the firm level. This unique dataset allows -for the first-time- to track closely firms’ exposure to currency risk and their hedging strategy in all economic activities and over a long panel. Peru’s economy offers a great laboratory to study firms’ use of FX derivatives, as it experienced substantial currency depreciation post-Taper Tantrum and capital controls associated with CIP violations.