Working Papers

Current working papers

"A Static Capital Buffer Is Hard to Beat" with Matthew Canzoneri, Behzad Diba, and Arsenii Mishin, March 2026 — conditionally accepted at American Economic Journal: Macroeconomics. This paper was previously circulated with the title "Optimal Dynamic Capital Requirements and Implementable Capital Buffer Rules."


"Cyclical Fluctuations, Financial Frictions, and Productivity Differences across Firms" with Jinill Kim and Arsenii Mishin, June 27, 2026.

Figure: Credit-to-GDP ratio and GDP prediction

There is a tenuous predictive relationship between the ratio of nonfinancial credit to GDP and GDP two years ahead. Setting bank capital requirements following a simple rule based on the credit-to-GDP ratio is not a good idea in our model even if the model encapsulates a predictive relationship in line with the observed data.

A Static Capital Requirement is Hard to Beat

with Matt Canzoneri, Behzad Diba and Arsenii Mishin — latest version March 2023 — conditionally accepted at American Economic Journal: Macroeconomics

Rules that respond to cyclical conditions fail to prevent excessive risk taking, whereas a static capital buffer performs nearly as well as the Ramsey rule.

Paper Presentation ⧉ Replication codes
Figure 1: TFP dispersion, 1987–2021

TFP dispersion across firms rises sharply during recessions. The 90th–10th percentile spread within industries widens in each of the four recessions in the sample, consistent with the model's prediction that credit rationing intensifies when aggregate conditions deteriorate.

Cyclical Fluctuations, Financial Frictions, and Productivity Differences across Firms

with Jinill Kim and Arsenii Mishin — June 27, 2026

Within narrowly defined industries, the most productive firms produce far more than the least productive from the same inputs, and this dispersion widens in downturns. We build a tractable model in which financial frictions—adverse selection and moral hazard—make firms sort endogenously into lenders, strategic defaulters, and producers. As credit conditions vary, the resulting misallocation gives aggregate total factor productivity (TFP) an endogenous component that accounts for about 30 percent of the variance of TFP at business-cycle frequencies, a third of it from strategic default. We show that our tractable model can match key features of the observed distribution of productivity across firms and its co-movement with output growth and credit conditions in the data.

Paper Appendix Slides

Older but not forgotten

"Can macro variables used in stress testing forecast the performance of banks?" with Michelle Welch, 2012.


"Oil Efficiency, Demand, and Prices: a Tale of Ups and Downs" with Martin Bodenstein, 2011.