Research

Working Papers

Monetary Policy in the Presence of Tail Risks (JMP)

Presentations: LSE Macro PhD Workshop, St Andrews Workshop in Macroeconomics

This paper develops a New-Keynesian macro-finance model in which higher-order uncertainty directly affects asset prices, the natural rate, and optimal policy.

A Macro-Finance Model of Credit Spreads

with Theofanis Papamichalis, Dimitrios P. Tsomocos, and Nikolaos Romanidis

Presentation: SAET 2025

This paper shows that fluctuations in corporate credit spreads are driven primarily by the time-varying risk-bearing capacity of financial intermediaries rather than firm fundamentals. We develop a continuous-time heterogeneous-agent model that resolves the credit-spread puzzle, highlights the non-neutrality of default, and characterizes the welfare trade-offs of default penalties.

Our Deficit, Your Problem: Fiscal Sustainability and Exchange Rates

with Tobias Kawalec

Presentations: Austrian National Bank; University of Konstanz; LSE Macro PhD Workshop

We develop and estimate an open-economy present-value framework showing that debt fluctuations reflect both surplus revisions and discount-rate news tied to global yields and exchange-rate expectations. A two-country model demonstrates how fiscal shocks in a hegemon propagate internationally through exchange rates and real interest rates, generating fiscal contagion.

The Inequality Multiplier: Market Inelasticity and the Persistence of Wealth Inequality

with Aditya Khemka

Presentations: Bank of England Macro Brown Bag; Asian Finance Association, Taipei; Trans-Atlantic Doctoral Conference, London Business School; Rethinking Economic Theory Conference, Athens

Winner of Best Doctoral Paper at Saïd Business School, 2024

We show that rising income inequality, interacting with inelastic asset markets, generates a self-reinforcing “inequality multiplier” through asset price revaluation. A calibrated general equilibrium model matches U.S. trends in equity prices, debt, and wealth concentration, linking financial market structure to persistent wealth inequality.

Publications

Multilayer Networks For Text Analysis With Multiple Data Types

with Yuanming Tao, Lamiae Azizi, Martin Gerlach, Tiago P. Peixoto, and Eduardo G. Altmann

Winner of Best Thesis at University of Sydney Mathematics Department

We propose a multilayer network framework using stochastic block models to jointly analyze text, metadata, and hyperlinks within a unified probabilistic structure. The approach improves topic detection and link prediction across diverse large-scale document datasets.

Work in progress

Demographic Trends and the Market Price of Risk

with Tim Willems

We develop a continuous-time model in which demographic aging alters the composition of income used to finance consumption, raising consumption volatility and the market price of risk. The mechanism provides a demographic explanation for secular movements in risk premia and the risk-free rate.

Pricing the Left Tail: Downside Consumption Risk and the Equity Premium

with Niklas Schmitz

We propose a novel approach to flexibly estimate the conditional distribution of aggregate consumption growth. We document that Kelly skewness of consumption growth is priced in the cross-section and time series of equity returns.

Financial Stability Implications of Central Bank Digital Currencies: A Solution in Search of a Problem?

Winner of Best Doctoral Paper at Saïd Business School, 2023

I construct a general equilibrium model to study how a retail CBDC affects monetary transmission and financial stability. While increased banking competition improves liquidity, deposit disintermediation raises funding costs and can reduce welfare under aggregate uncertainty.

Convenience Yields as Fiscal Space