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:
Monetary Policy Transmission through the Exchange Rate Factor Structure
(SSRN)
Joint with Fabricius Somogyi, Erik Loualiche, and Colin Ward
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Presented at: 2025 IBEFA Meeting at ASSA; Workshop on Exchange Rates (NBB), Brandeis University, San Francisco Fed; 2024 FIFI Conference, Commonwealth Finance Workshop at UVA, Boston University, 2024 Northern Finance Association, Boston College, Babson College, 2024 European Finance Association, Vienna University of Economics and Business
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
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2023 Best Working Paper in Finance and Banking - Brazilian Central Bank
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2022 Semifinalist for Best Paper Award in Fintech - Financial Management Association
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Presented at: UC Irvine, University of Miami, University of Virginia, Virginia Tech, Ohio State University, Northeastern University, University of Sao Paulo, Universidade Catolica de Brasilia, MFA 2023, FMA Doctoral Student Consortium 2022, FMA 2022, NASMES 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
Abstract: We show that Peer-to-Peer (P2P) lenders are a relevant competitor to traditional banks in concentrated banking markets. Using virtually the universe of unsecured working capital loans to small businesses in Brazil, we find that smaller and riskier firms find lower interest rates at P2P platforms compared to banks. Once the firms borrow from P2Ps, they do find a lower rate on subsequent bank loans. Moreover, in oligopolistic Brazilian municipalities, large incumbent banks decrease their lending rates and expand credit to more businesses after the arrival of P2P loans. These findings are rationalized in a banking sector model that 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.