I am a Principal Economist in the Systemic Financial Institutions and Markets section at the Federal Reserve Board. We focus on understanding how the behavior and economics of systemically important financial institutions (SIFIs) and markets affect the stability of the financial system and the impulse that they provide to real economic activity.
I am currently involved in:
Financial Stability Board (FSB)
I analyze the implementation of the Total Loss Absorbing Capacity (TLAC) proposal. In particular, I explore the implications of TLAC for the cost of borrowing of US Global Systemically Important Banks (G-SIBs) and whether the affected banks’ decisions on when to issue debt to meet the regulatory requirements are associated with changes in long-term interest rate expectations.
Quantitative Surveillance (QS) Assessment of Financial Stability
Non-bank SIFIs, such as the insurance industry, are an important component of the financial system. In particular, insurers are tightly connected to the broader US economy, as these institutions hold about 60 percent of corporate bonds in the US (including a substantial share of bank debt). Thus, the health of the insurance sector is closely connected to liquidity in the US bond market. I develop a framework to monitor the similarities of insurers’ portfolio holdings and to parse how connected insurers are to the broader economy.
Better-integrated capital and liquidity regulatory requirements would reflect the interaction between firm solvency, funding liquidity and market liquidity. I consider how this principle might guide policy for three types of institutions: banks, dealers, and insurance companies.
Basel Committee on Banking Supervision (BCBS)
Research Task Force (RTF): A coherent framework for integrated capital and liquidity regulations. In view of the groundbreaking research of Modigliani and Miller (1958) and Merton (1974) on the value and structure of the firm, the integration of capital and liquidity requirements reflecting the integration of the assets and liabilities of a firm seems to be a sensible principle. I consider how current capital and liquidity regulations measure up against this principle.