[Job Market Paper]
Abstract: Insights on the distributional properties of the bank lending channel (BLC) of monetary transmission are scarce and inconclusive. I study how different dimensions of bank heterogeneity influence their individual roles in the BLC, with a special focus on the distinction between community and non-community banks in the United States. I find that the bank-level responses of lending growth to monetary policy shocks are quite diffuse across both community and non-community banks, but also that the spread of community bank responses to monetary policy shocks is greater than that of non-community banks. My results also suggest that output growth is affected quite differently by shocks to community bank lending than those to non-community bank lending. Lastly, I find that community banks play a key role in influencing the real output growth of certain sectors of the U.S. economy.
(with David Evans)
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.
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.
[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.
 (with Philip Economides) Economics Letters (2023)
 (with Justin Hollander, Alphonsus Adu-Bredu, Minyu Situ, and Shabnam Bista) Environment and Planning B: Urban Analytics and City Science (2021)
Works in Progress
“Monetary Pass-Through via Inflation Expectations” (with Edder Martínez Lazo)
“Estimating Large Bayesian Hierarchical Dynamic Factor Models”
“Model Uncertainty and Agent Survival” (with David Evans)
Julia package for simulating and estimating multi-level/hierarchical dynamic factor models (HDFMs).
Julia package for estimating pass-through impulse response functions (PTIRFs).
Library of Statistical Techniques (LOST)
LOST is an open source website with the goal of making it easy to execute statistical techniques in statistical software. I am an author of multiple pages, and have written the Julia sections of others across time series methods.