Working Papers
ESG Spillovers, with Shangchen Li, Hongxun Ruan and Sheridan Titman. (09/2023)
We study the co-management of ESG and non-ESG active equity funds and suggest the existence of cross-fund subsidization.
On ESG Investing: Heterogeneous Preferences, Information and Asset Prices, with Itay Goldstein, Alexandr Kopytov, and Lin Shen. (04/2022)
We study how ESG investing reshapes asset prices and the financial market in an REE framework.
Tokenomics: Optimal Monetary and Fee Policies, with Urban Jermann. (09/2023)
We document key properties of crypto monetary policies based 2000+ tokens, and derive optimal monetary and fee policies for issuers with different levels of commitment.
Capital Regulation with Non-Maturing Deposits, with Urban Jermann. (4/2023)
Endogenous maturity of bank deposits has major effects for optimal capital regulation
Bank Heterogeneity and Financial Stability, with Itay Goldstein, Alexandr Kopytov, and Lin Shen. (12/2023)
Reducing correlation in run risks across banks can stabilize all of them.
An Invisible Oncologist: Health Implications of Financing Frictions, with Alexandr Kopytov, and Tong Liu. (11/2022)
Alleviating financing frictions can harm longevity by encouraging a portfolio shift from liquid assets to home equity.
Make America Great: Long-Run Impacts of Short-Run Public Investment, with Alexandr Kopytov. (10/2018)
We document S-shaped dynamics of the US economy in the 1960s associated with the construction of the Interstate Highway System. However, our analyses cast doubt on the efficiency of a large public investment in the post-Great Recession era.
Publications
Dynamic Banking with Non-Maturing Deposits, with Urban Jermann. Journal of Economic Theory, 2023, Volume 209, 105644
A model for the endogenous maturity of bank deposits.
Time Inconsistency and Financial Covenants. Management Science, 2024, 70 (1): 335-371
A dynamic model for long-term debt and covenants
2019 WFA Cubist Systematic Strategies Ph.D. Candidate Award
Corporate Debt Choice and Bank Capital Regulation. Journal of Economic Dynamics & Control, 2022, Volume 144, 104506
Tightening capital requirements leads to a short-run boom but long-run shrinkage in non-bank market.
Selected in Progress
A Macroeconomic Model of Bank Runs, with Alexandr Kopytov