I can predict the movement of heavenly bodies, but not the madness of crowds.

-- Isaac Newton

Working Papers

“Measuring Dynamic Transmission using Pass-Through Impulse Response Functions”

Abstract: An impulse response function (IRF) captures the net dynamic effect of a shock, but offers no insight regarding the composition of the effect. Instead, the quantification of shock transmission channels is commonly done using structural parameter counterfactual exercises. In this paper, I formulate the concept of a pass-through IRF (PT-IRF) and propose it as a reduced-form alternative to measuring transmission channel dynamics. In essence, a PT-IRF quantifies the propagation of a shock through the Granger causality of a specified set of endogenous media within a dynamical system. I present convenient parametric and semi-parametric methods of conducting inference on PT-IRFs, and discuss their practical advantages over alternative methods of transmission channel quantification. I also demonstrate the empirical flexibility of PT-IRFs by applying them to study the transmission of oil price shocks to inflation and output via monetary policy, and monetary policy shocks to output via credit supply. Finally, I present two example cases in which PT-IRFs have a direct structural interpretation.

“Commercial Bank Heterogeneity and the Transmission of Monetary Policy Through Bank Lending” [Kleinsorge Research Award (University of Oregon)]

Abstract: The commercial banking sector in the United States comprises numerous small, local (community) banks primarily focused on small business lending, alongside a smaller group of large, geographically-diversified (non-community) banks that cater to larger borrowers. I study how heterogeneity in lending practices across these two types of banks influences the transmission of monetary policy to the real economy. Using the novel pass-through impulse response function (PT-IRF) introduced in Nikolaishvili (2023), I quantify the contributions of community versus noncommunity bank lending to the dynamic effect of a monetary policy shock on output. My findings show that noncommunity bank lending amplifies the contractionary effects of a monetary tightening in the short run, whereas community bank lending has a stronger amplificatory contribution in the medium run. These results suggest that a continued decline in the relative presence of community banks may lead to a subsequent decline in the persistence of monetary transmission. Furthermore, the adverse impact of a monetary tightening on spending must linger more heavily among small businesses and agricultural producers in remote rural areas, since these borrower segments tend to heavily rely on community bank lending as a source of funds. In short, I show that the composition of the commercial banking sector affects the timing and distributional impact of monetary policy transmission through heterogeneity in lending practices.

“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” [Best Field Paper / PhD Research Paper (University of Oregon)]

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

“Estimating Large Bayesian Hierarchical Dynamic Factor Models”

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

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

Other Works & Publications

[3] “Mass Reproducibility and Replicability: A New Hope” (with Abel Brodeur, Derek Mikola, Nikolai Cook, and many others) IZA Discussion Paper (2024)

[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).