Welcome! I am an Assistant Professor at the Centre for Advanced Financial Research and Learning (CAFRAL)—an organization promoted by the Reserve Bank of India. My research interests are in the fields of banking, corporate finance, and macroeconomics.

Curriculum vitae

Optimal deposit insurance in a macroeconomic model with runs
November 2024
Abstract 

This paper examines the effects of deposit insurance in a quantitative macroeconomic model that incorporates the risk of deposit runs faced by banks. During systemic panic episodes, alert uninsured depositors tend to withdraw their funds from banks they perceive as vulnerable. While deposit insurance reduces banks' susceptibility to such runs, it may also weaken their risk management incentives, resulting in a U-shaped relationship between insurance coverage and the risk of bank failure. The model suggests that the welfare-maximizing level of deposit insurance coverage for the U.S. in 2008 closely aligns with the observed level. A moderate increase in coverage may be optimal in contexts of heightened depositor alertness—driven by technological or demographic factors—, greater fiscal capacity or stronger capital requirements.

Climate conscious investors, carbon disclosures, and efficiency   (w/ J. Suarez)
June 2024
Abstract 

We analyze whether carbon disclosures can substitute for carbon emission taxation when emissions generate negative externalities. In our setup, climate conscious investors adjust their funding terms based on their beliefs about firms' carbon intensities, which firms can choose to disclose at a cost. In equilibrium, the least carbon-intensive firms disclose and are financed at terms based on their carbon intensity, while non-disclosing firms are financed at more expensive pooling terms. Encouraging disclosures reduces investment and therefore emissions by non-disclosing firms, but may increase investment and emissions by newly disclosing firms, overall having ambiguous effects on total emissions and social welfare.

Interest rate risk and bank capital requirements   (w/ J. Schaefer)
Abstract 

We develop a quantitative general equilibrium model of risky banks with a bond portfolio subject to interest rate risk and consider the implications of having the unrealized capital gains or losses of such a portfolio excluded from (amortized-cost accounting) or included in (fair-value accounting) the definition of regulatory capital. We show that when the unrealized gains or losses are excluded, banks are better isolated from short-term volatility in securities returns, resulting in a smoother credit supply. However, this accounting treatment increases the probability of bank failure during prolonged periods of intense monetary policy tightening. Under our calibration, amortized-cost accounting is superior to fair-value accounting in welfare terms.