I finished my Economics PhD at the University of Cambridge in summer 2024. My research interests included business cycles, risk and uncertainty, and monetary economics. Now, I work as an economic analyst in the private sector.
I was supervised by Chryssi Giannitsarou and Elisa Faraglia.
Monopolistically Skewed Business Cycles
(with Frederik Bennhoff and Timo Haber)
Abstract. We show that the cross-sectional distribution of firm growth rates changes shape over the business cycle: it is right-skewed in booms, left-skewed in recessions, and these swings are more pronounced for larger firms. We call this the size gradient of skewness. We show that one way of explaining this pattern is through a parsimonious demand-side framework in which market power maps symmetric shocks into skewed growth outcomes. Stronger market power implies more concave responses and thus greater skewness. Countercyclical variance — or equivalently heterogeneous exposures to aggregate impulses — then generates the procyclical, size-dependent skewness we observe. Consistent with this mechanism, impulse responses to aggregate shocks show that growth and skewness move in tandem, with the skewness response concentrated among large firms. The results imply that large firms amplify cyclical asymmetry through market power, and that outcome-based policies risk responding to distributional patterns that reflect propagation rather than the shocks themselves.
Pricing the Left Tail: Consumption Skewness and Expected Returns
(with Chris Hyland)
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')
Abstract. Downside risk to aggregate consumption growth predicts equity returns. We estimate the conditional distribution of U.S. consumption growth using quantile regressions with machine learning variable selection, and summarize downside risk by Kelley skewness, the asymmetry between the upside and downside of the distribution. A one-unit decrease in Kelley skewness, corresponding to a more left-skewed conditional distribution, forecasts 12-month excess returns roughly 16 percentage points higher, with an out-of-sample R-squared of 7.8%. Symmetric risk measures such as variance and dispersion have no comparable predictive power. In the cross section, consumption skewness betas explain about 91% of return variation across size, book-to-market, and industry portfolios. In local-projection impulse responses, financial-uncertainty shocks and adverse investment-specific technology news produce the largest deteriorations in Kelley skewness, and both operate through asymmetric movements in the lower tail rather than parallel shifts in the distribution. Monetary-policy surprises have state-dependent effects on Kelley skewness: easing improves the lower tail of expected consumption growth when downside risk is already elevated.
The Causal Effects of Monetary Policy: New Insights from Text Analysis
(with Adrian Ochs)
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.
Forecasting Macro with Finance (with Kilian Bachmair)