Research

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

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:

Monetary Policy Transmission through the Exchange Rate Factor Structure (SSRN)
Joint with Fabricius Somogyi, Erik Loualiche, and Colin Ward
Revise and Resubmit: Journal of Financial Economics

Abstract: We show that US monetary policy is transmitted internationally through the factor structure of exchange rates. Following an unexpected easing, investment funds sell safe and buy risky currencies. Global US banks, similarly, tilt their distribution of foreign loan origination toward currencies of greater systematic currency risk. The effects of monetary policy on currency flows and loans persist for several months and feed into the leverage and real investment decisions of firms and, in particular, those that operate using a high-risk currency. We argue that currencies’ factor exposures are a lens through which we can understand the international transmission of US monetary policy.


Does Fintech Lending Lower Financing Costs? Evidence From An Emerging Market (SSRN)
Joint with Jose Renato Haas Ornelas

Abstract: We show that Peer-to-Peer (P2P) lenders are a relevant competitor to traditional banks in the Brazilian concentrated banking market. Once firms borrow from P2Ps, we observe their subsequent bank loan to find that the interest rate decreases compared to very similar non-P2P clients. In Brazilian oligopolistic municipalities, large banks decrease their lending rates and increase credit availability after P2P entry. Our conceptual framework unveils how the small presence of P2P player can trigger a price reaction from an incumbent bank. Our results are especially important for financial regulators in emerging economies featuring high banking market concentration.