Job Market Paper

1. “Credit Constraints and Bias in Hedonic Amenity Valuations.” 2021.

   I demonstrate that credit constraints bias price-based (cf. rent-based) hedonic valuations of local public amenities. Mis-measurement of the private value of local public amenities distorts welfare analysis and could cause under-investment in amenities. I introduce a method to measure this bias by applying the hedonic framework to a problem of mortgage choice in the presence of credit constraints. I use Fannie Mae pricing grids and private mortgage-insurance requirements to construct borrower-level mortgage choice menus and estimate the extent of bias among fixed-rate agency loan borrowers. I find evidence that traditional hedonic techniques understate the value of amenities by ~50pp.

Working Papers

1. “CCP Resource Management.” Draft available on request. With Nicholas Schwartz. 2025.

   Central Counterparties (CCPs) share a common function of managing counterparty credit risk. If a market participant, $m$, defaults on a cleared contract prior to settlement, the CCP fulfills $m$’s obligations, and so shields $m$’s original counterparty from default losses. Despite this common function, CCPs are highly idiosyncratic institutions. They vary in size; they vary in the footprint of their activities across securities, funding, and derivatives markets; they vary in their degree of loss mutualization and the liquidity of their resources; and they vary in the composition of their prefunded and liquid resources. This paper describes these cross-sectional differences for those global CCPs that publish CPMI-IOSCO Public Quantitative Disclosures (PQDs). It presents a simple analytical framework for understanding CCP demands for liquid and prefunded resources. The framework integrates various dimensions of CCP heterogeneity and suggests predictable cross-sectional differences.

2. “The Impact of CCP Liquidity and Capital Demands on Clearing Members Under Stress.” With Stathis Tompaidis. 2024.

   We examine the impact of liquidity and capital demands by central counterparties (CCPs) on clearing members (CMs) under stress conditions. Our methodology provides insights into potential systemic vulnerabilities and resilience in centrally cleared markets and can be used to monitor the potential impact of CCPs on their clearing members. We consider 11 major CCPs and 6 CMs that are large U.S. financial institutions. We apply various stress scenarios to both CCPs and CMs and find that, while large clearing members have sufficient resources to meet CCP demands during periods of heightened risk, the size of these demands is material and has fluctuated over time.

Publications

1. “Who Bears Climate-Related Physical Risk?” With David Wylie, Natee Amornsiripanitch, and Kevin Zhao. Accepted at JUE Insights. 2025.

   This paper combines data on residential property-level physical risk from major climate-related perils (severe convective storm, inland flood, hurricane storm surge, hurricane wind, winter storm, and wildfire) with data on local economic characteristics to establish three facts about the severity of and five facts about the demographic distribution of this class of risk in the contiguous United States. On the severity of climate-related physical risk, we find (i) severe convective storms are the leading contributor to expected damage, (ii) inland flood and hurricane-related perils drive aggregate tail risk, and (iii) the difference in risk level between the safest and the riskiest places is expected to grow by 2050. On the demographic distribution of risk, we find (i) the safest areas have the most expensive homes, (ii) levels of economic well-being are lower in risky areas, (iii) there is little relationship between local racial composition and risk level, (iv) rural areas face the highest risks, and (v) there is no evidence of lower aggregate development activity or in-migration in risky areas. These facts are an important foundation for climate risk-mitigation policymaking and academic research on how the U.S. population view and respond to this class of risk.

2. “Central clearing and trade cancellation: the case of London Metal Exchange nickel contracts on March 8, 2022” Journal of Financial Market Infrastructures. 2024.

   In March 2022, nickel prices on the London Metal Exchange (LME) nearly quadrupled in just three trading days, threatening to put several clearing members into default and exhaust the default fund at LME Clear, the exchange’s central counterparty (CCP). The LME responded in an unprecedented fashion, by cancelling eight hours of nickel market trades. Though challenged in court, its authority to do so was ultimately upheld. This paper documents the market stress and LME’s response in order to understand the implications of the trade cancellation decision for financial stability and CCP powers going forward. While LME’s trade cancellation helped to alleviate distress, its decision runs counter to the function of a CCP, which is to ensure contract performance. In upholding LME’s right to void contracts, the court’s verdict could change how CCP rule books are applied under financial distress, potentially creating scope for moral hazard or other adverse consequences.

Previous Research

1. “The Uneven Distribution of Climate Risks and Discounts.” With Kevin Zhao. 2024.

   In this brief, we document the uneven distribution of climate risk in real estate using novel data on expected losses due to climate risk at the property-level. We show that properties located in counties that are poorer, less educated, older, more rural, and that have less belief in climate change tend to have more climate risk. Next, using home sales, we document heterogeneity between counties in the size of discount per unit of climate risk. We find a smaller discount per unit of climate risk in a similar set of more exposed counties.

2. “The LTV Elasticity of Housing Demand: Evidence from Bunching in FHA Borrowing.” 2021.

   I adapt the bunching framework to measure the loan-to-value elasticity of housing demand. Unlike existing literature, my estimator can identify the effect of credit supply while remaining agnostic about how households form beliefs over future housing returns. I measure a statistically significant elasticity of demand, suggesting that households are credit constrained at the time of home purchase. The elasticity is economically small, ~14-25bp, suggesting that shocks to credit supply drove housing demand largely through the channel of household beliefs.

3. “Housing Wealth Management at Retirement.” 2019.

   I instrument retirement with programmatic Social Security eligibility thresholds and find that retirement makes a household ~12pp more likely to issue any new mortgage debt and ~3pp more likely to extract equity from a home within the following two years. The transaction costs associated with refinancing and the predictability of retirement suggest that households may save excessive funds in housing wealth relative to a rational benchmark.

4. “Decision-Making by Precedent and the Founding of American Honda (1949-1972).” With Ramon Casadesus-Masanell. 2016.

   We review archival documents and conduct a novel oral history to document that Kihachiro Kawashima, President of American Honda from 1959 to 1965, made decisions according to precedent set by his boss and mentor, chief strategist of Honda, Takeo Fujisawa. We argue that decision-making by precedent represents neither ‘deliberate’ nor ‘emergent’ strategy because it is characterized by intentions of upper-management that are neither present nor absent but fictive. We propose and define an alternative: ‘subjunctive’ strategy.