Published Papers:
International Trade and the Risk in Bilateral Exchange Rates
(SSRN)
Joint with Ramin Hassan, Erik Loualiche, and Colin Ward
Journal of Financial Economics, 2023
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Presented at: FIRS 2022*, WFA 2022*, MFA 2022, NBER Summer Institute 2021*, North America Summer Meeting of the Econometric Society 2021*
Abstract: Exchange rate volatility falls after a trade deal, driven by a decline the systematic
component of risk. The average trade deal increases trade by 50 percent over 5 years, leading to a 30 percent decline in the systematic risk of exchange rate. We examine the connection between exchange rates and international trade in the light of an Armington model. The nature of trade networks determine the risk in exchange rates, and countries at the periphery benefit the most from lower trade barriers. We estimate our model to current data, and run a counterfactual experiment simulating a trade war between the U.S. and China. Our simulation shows a global increase in currency risk, with most of the effects concentrated amongst countries at the periphery of the global trade network.
The role of supply and demand for skills in the skill premium in Brazil
(Scielo)
(MSc Thesis) Joint with Naercio Aquino Menezes Filho
Estudos Economicos 2014
Working Papers:
Does Fintech Lending Lower Financing Costs? Evidence From An Emerging Market
(SSRN)
Joint with Jose Renato Haas Ornelas, from the Brazilian Central Bank
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2023 Best Working Paper in Finance and Banking - Banco Central do Brasil
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2022 Financial Management Association Best Paper Award in Fintech. Semifinalist
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Presented at: MFA Meeting 2023, Special PhD Presentations of the FMA Annual Meeting 2022, FMA Annual Meeting 2022, University of Sao Paulo, North America Summer Meeting of the Econometric Society 2022, XXVII Meeting of the Central Bank Researchers Network, XXII Brazilian Finance Meeting 2022, Brazilian Central Bank Research Seminar 2021, World Finance and Banking Symposium 2021, Universidade Catolica de Brasilia.
Abstract: Using proprietary data of virtually all unsecured working capital loans to small businesses in Brazil, we find that online Peer-to-Peer (P2P) lenders focus on smaller and riskier firms already served by banks. P2P clients get lower interest rates compared to traditional banks. Once they borrow from P2Ps, they find a lower rate on subsequent bank loans, indicating that banks try to recapture runaway borrowers. In response to P2P entry, incumbent banks in oligopolistic markets decrease their lending rates by 2.5 percentage points and expand credit to older firms with difficulty accessing credit. We rationalize these findings in a structural IO model of the banking sector, where banks and P2Ps have different profit functions and compete for clients with risk heterogeneity. We use the estimated model to calculate welfare gains. P2Ps significantly increase social welfare in oligopolistic markets by offering lower interest rates to riskier borrowers and forcing the banks to do the same. Welfare gains range from 10% of the local output in municipalities with only one incumbent bank to 1% in those with five banks. Our findings highlight the importance of alternative financing sources in inefficient credit markets due to banking concentration.
Work in Progress:
Monetary Policy Transmission via Currency Flows
Joint with Erik Loualiche, Fabricius Somogyi and Colin Ward