Working Papers

“Commercial Bank Heterogeneity and the Transmission of Monetary Policy Through Bank Lending” [Job Market Paper; Internal Award: Kleinsorge Research Award]

Abstract: I study the role of bank heterogeneity in the transmission of monetary policy to the real economy via bank lending. Using the novel pass-through impulse response function (PT-IRF) – introduced in Nikolaishvili (2023) – I quantify the respective contributions of community and noncommunity bank lending in the United States to the dynamic effect of a monetary policy shock on output. I estimate PT-IRFs using a factor-augmented vector autoregression with externally-identified monetary policy shocks and hierarchical bank lending factors based on a large panel of bank-level data. My results show that: (1) An unanticipated monetary tightening contributes negatively to output through changes in bank lending, both in the short and medium run; (2) Community and noncommunity banks differ in the extent to which their lending behavior allows for the pass-through of monetary policy shocks to output. These findings highlight the importance of the composition of the commercial banking sector in assessing the potency and timing of monetary transmission.

“Pass-Through Impulse Response Functions (PT-IRFs)” [New Draft Coming Soon]

Abstract: Impulse response functions (IRFs) offer little insight regarding the channels through which a shock propagates through a dynamical system. I formulate the concept of a pass-through impulse response function (PT-IRF), which measures the passage of a structural shock through specific sets of variables in a given system. I demonstrate the applicability of the PT-IRF by performing inference on the effect of a monetary policy shock on unemployment through various channels of the monetary transmission mechanism using a structural vector autoregression.

“Computing Temporary Equilibria using Exact Aggregation” (with David Evans) [Preparing for Submission]

Abstract: We suggest a new method of approximating temporary equilibria in heterogeneous agent models. Our approach offers a significant speedup without a notable drop in accuracy relative to established methods. We demonstrate the effectiveness of our procedure by applying it to a model with heterogeneous boundedly rational agents, and comparing its performance to that of alternative methods.

“The Evolution of Community Bank Interconnectedness” [Internal Award: Best Field Paper / PhD Research Paper]

Abstract: I find that the community banking sector in the United States has become more interconnected since the global financial crisis, which implies greater exposure to systemic risk and increased vulnerability in future financial crises. I estimate a hierarchical dynamic factor model using a Bayesian approach to extract posterior distributions of national, regional, and state-level latent drivers of quarterly fluctuations in state-average community bank return-on-equity for all 50 US states. The resulting estimates show evidence of both considerable national comovement and state-specific idiosyncrasy with no signs of significant regional comovement. Furthermore, the results show a decrease in the intensity of idiosyncratic dynamics of state-level community bank profitability since the crisis, along with an increase in national comovement across most states.


[1] “Measuring economic activity in the presence of superstar MNEs” (with Philip Economides) Economics Letters (2023)

Works in Progress

“Monetary Transmission via Expectations in DSGEs with Bounded Rationality” (with Edder Martínez Lazo)

“Inference on PT-IRFs: VARs and Local Projections”

“Estimating Large Bayesian Hierarchical Dynamic Factor Models”

Other Works & Publications

[2] “News Shocks under Financial Frictions: A Comment on Görtz et al. (2022)” (with Thomas Ash and Ethan Struby) I4R Discussion Paper Series (2023)

[1] “Using deep learning to examine the correlation between transportation planning and perceived safety of the built environment” (with Justin Hollander, Alphonsus Adu-Bredu, Minyu Situ, and Shabnam Bista) Environment and Planning B: Urban Analytics and City Science (2021)



Julia package for simulating and estimating multi-level/hierarchical dynamic factor models (HDFMs).