Øster Farimagsgade 5, bygning 26, 1353 København K, 26, Building: 26.1.25
I am an associate professor at the Department of Economics in the University of Copenhagen. I hold a PhD in economics from MIT, and have been on the faculty of Universidad de San Andres (Argentina) and Universidad Adolfo Ibáñez (Chile). I held visiting positions at IIES, Study Center Gerzensee, Columbia University, and Bank of Spain. My research interests are in macroeconomics, political economy, finance and public finance. I have papers published in the Journal of Monetary Economics, European Economic Review and Review of Economic Dynamics. I have been a consultant at the IADB and have received a variety of grants and awards, including the GDN First Prize Medal in Financial Markets in 2003 and a Fulbright research grant in 2009.
Primary fields of research
Macroeconomics, Political Economy, Finance, Public Finance
Financial Frictions, Liquidity and the Business Cycle
H-index since 2010: 6
Selected working papers
"Resolution of Collateral Crises" with Sebastián Fanelli. Abstract:
Allowing for strategic default eliminates the dynamic amplification effects in collateral-driven credit constraint models by decoupling the net worth of borrowers from decreases in asset prices. However, when there are costs associated with the liquidation of a firm and the set up of a new one, borrowers will sometimes prefer not to default and keep assets used as collateral even if their market value is below the outstanding debt. This creates a wedge between the inside and outside value of assets setting the stage for bargaining over debt repayments. We study how these technological and institutional factors that determine the bargaining power of borrowers and lenders affect the amplification and persistence of aggregate shocks. We find strong amplification effects for moderate shocks, while for larger shocks debt renegotiation dampens amplification. There is more amplification, and shocks are more persistent, the higher the start-up costs of new assets. Furthermore, the presence of asymmetric information on default costs leads to "V-shaped" recoveries. These results are consistent with features of observed behavior in some macroeconomic crises.
Governance in multilateral financial institutions is based on a quota system, and decisions take place by weighted voting. I show that, while weighted voting in general is not optimal, an optimal voting rule still assigns a quota to each country. When aggregating preferences, the vote of each country must be additionally weighted according to whether that country is a net creditor or net debtor. The model predicts that a country's quota be calculated from two components. First, a weighted sum of trade flows with other members, including domestic absorption i.e. trade with oneself, with weights proportional to the probabilities of each trade partner suffering a shock. Second, the ratio of the country's GDP PPP to GDP. The model shows how the total level of resources of multilateral institutions should evolve relative to world trade.
I estimate upper and lower bounds of the effect that a Lender of Last Resort has on banks’ liquidity demand. In December 1996 Argentina’s Central Bank signed with a group of international banks a contingent credit line agreement that enhanced its ability to act as a LLR. I run difference-in-difference regressions of the effect of the announcement of the insurance contract on banks’ liquidity holdings, using ownership status and size to identify the groups of treatment and control banks. Finally I find evidence of asymmetric responses in the interbank market participation of control and treatment banks. Both findings lead to an estimated range for the effect of a LLR on banks’ liquidity holdings of between 4.7 and 6.7 percentage points.