I am a 4th-year economics PhD student at the University of Cambridge. My research interests include business cycles, risk and uncertainty, and monetary economics.

I am supervised by Chryssi Giannitsarou and Elisa Faraglia.

Contact information:

Faculty of Economics, Austin Robinson Building, Sidgwick Avenue,

Cambridge, CB3 9DD 

ns751 [at] cam.ac.uk

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Granular Responses to Aggregate Shocks: An Interpretation of Skewness over the Business Cycle

Latest Version

Abstract. Skewness in the cross-sectional distribution of firms' sales growth rates is procyclical: In recessions, some firms experience particularly poor growth rate outcomes. This paper studies the role of these poor performers for aggregate fluctuations. There are two key findings. First, among the poor performers in recessions are some very large firms, which account for the vast majority of the decline in sales levels in US recessions. Second, several commonly studied aggregate shocks induce skewed responses across firms, with some of the largest firms showing strong responses to aggregate shocks. Because the firm size distribution is fat-tailed, the large and responsive firms account for a significant share of the business cycle response following aggregate shocks. The presence of large and responsive firms provides a joint explanation for procyclical skewness and for how aggregate shocks induce business cycle fluctuations: The procyclicality of cross-sectional skewness arises largely from firms' heterogeneous responses to aggregate shocks, as opposed to procyclical skewness in an idiosyncratic component of firm growth. Aggregate shocks transmit through granular responses across firms, with much of the response accounted for by firms that are both large and responsive. 

Conditional Consumption Risk and the Equity Premium

Winner of the Cambridge Finance Best Student Paper Award 2022 

Winner of the IAAE Best PhD Student Paper 2022 

Winner of the QCGBF Young Economist Prize 2022 

Latest Version (supersedes previous version 'The Downside Risk Channel of Monetary Policy')

Coverage: Faculty of Economics 

Abstract. This paper proposes a novel approach to flexibly estimate the conditional distribution of aggregate consumption growth, constructs consumption risk measures based on that distribution, and uses the risk measures to test predictions of the standard consumption-based asset pricing model. Supporting the theory, I find that skewness in the conditional consumption growth distribution is priced in equity premia. Changes in skewness indicating an increase in downside risks to future consumption growth predict an increase in future excess returns in the time series and the cross section of returns, in sample and out of sample, and for realized as well as expected returns. To study the sources of fluctuations in downside consumption risk, I estimate the effect of monetary shocks on skewness. Expansionary monetary shocks have state-dependent effects on downside risks to consumption: When downside risk is high such as in a recession, they significantly reduce risk. When downside risk is low such as in an expansion, loose monetary policy can increase downside risk.

The Causal Effects of Monetary Policy: New Insights from Text Analysis

(with Adrian Ochs)

Latest Version 

Abstract. This paper quantifies the information channel of monetary policy. The information channel occurs when the Fed and private agents have different information about the economy such that interest rate decisions can reveal information about economic conditions to the private sector. We use a stylized model to show that the information channel weakens the economic response to monetary policy, even in empirical applications using exogenous monetary shocks. This is because the private sector may not be able to identify the true size of the monetary shock in real time, therefore extracting a signal from the Fed that is correlated with the shock. The model motivates a simple decomposition approach: By controlling for the economic signal the private sector extracts from the Fed decision, we can separate the response under symmetric information from the information channel. We apply natural language processing techniques to the FOMC minutes to approximate the private sector's signal extraction problem. Based on the \cite{romer2004} shocks, we estimate that the information channel weakens the output response by 3 percentage points and the unemployment response by 0.5 percentage points in the post-Volcker period. We find no information channel for an earlier period and argue that the information channel has strengthened over time as monetary policy has become more systematic, making the interest rate a more informative signal about economic conditions.

Is the EU Money Market Fund Regulation fit for purpose? Lessons from the COVID-19 turmoil

(with Laura-Dona Capotă, Michael Grill, Luis Molestina Vivar, and Christian Weistroffer)

ECB Working Paper. Macroprudential Bulletin. SUERF Policy Brief.

Abstract. The market turmoil in March 2020 highlighted key vulnerabilities in the EU money market fund (MMF) sector. This paper assesses the effectiveness of the EU’s regulatory framework from a financial stability perspective, based on a panel analysis of EU MMFs at a daily frequency. First, we find that investment in private debt assets exposes MMFs to liquidity risk. Second, we find that low volatility net asset value (LVNAV) funds, which invest in non-public debt assets while offering a stable NAV, face higher redemptions than other fund types. The risk of breaching the regulatory NAV limit may have incentivised outflows among some LVNAV investors in March 2020. Third, MMFs with lower levels of liquidity buffers use their buffers less than other funds, suggesting low levels of buffer usability in stress periods. Our findings suggest fragility in the EU MMF sector and call for a strengthened regulatory framework of private debt MMFs. 

Ongoing work:

Forecasting Macro with Finance (with Kilian Bachmair)