Research

Publications

Did QE Lead Banks to Relax their Lending Standards? Evidence from the Federal Reserve’s LSAPs (accepted, Journal of Banking and Finance)
with Robert Kurtzman and Stephan Luck
Banks more affected by the first and third round of quantitative easing relaxed their lending standards relative to other banks.
Working paper version

 

Revisiting the Narrative Approach of Estimating Fiscal Multipliers with Shafik Hebous
Scandinavian Journal of Economics, 2018, vol.120(2), pp. 331-653
Using narrative tax shocks as (weak) instruments shows that uncertainty about the magnitude of tax multipliers is much higher than the literature suggests.
Working paper version

 

Fiscal consolidations and bank balance sheets with Jacopo Cimadomo and Sebastian Hauptmeier
Journal of International Money and Finance, 2014, vol. 45, pp. 74-90
Following fiscal consolidations, banks increase holdings of government bonds, thereby improving their capital ratios.
Working paper version

 

Estimating the Effects of Coordinated Fiscal Actions in the Euro Area with Shafik Hebous
European Economic Review, 2013, vol. 58, pp. 110-121
Due to spillovers, the effects of coordinated fiscal policy across countries are larger than the effects of domestic fiscal policy.
Working paper version

Working Papers

Employment Effects of Unconventional Monetary Policy: Evidence from QE (R&R Journal of Financial Economics)
with Stephan Luck
Employment in counties with stronger presence of banks more affected by QE grew more than employment in counties with weaker presence of such banks. This can be traced to credit supply effects in the mortgage and commercial & industrial lending markets.

 

Tree-based conditional portfolio sorts: The relation between past and future stock returns (R&R Review of Financial Studies)
with Benjamin Moritz
We introduce a regression tree approach to predict cross-sectional stock returns from many predictors. A trading strategy based on our method has an information ratio about twice as high as the information ratio from a standard Fama-MacBeth approach.
Best Paper Award – Annual Meeting 2015 of the German Finance Association (Deutsche Gesellschaft für Finanzwirtschaft)

 

Publication Bias and the Cross-Section of Stock Returns
with Andrew Y. Chen
In a sample of around 150 replicated cross-sectional stock return predictors, publication bias adjusted returns are only 13% smaller than in-sample returns. Among predictors that can survive journal review, a low t-stat hurdle of 1.8 controls for multiple testing using statistics recommended by Harvey, Liu, and Zhu (2015).

 

The “Privatization” of Municipal Debt
with Ivan Ivanov
Municipal goverments have been increasing their reliance on private bank loans with relatively little disclosure requirements. These loans have high effective debt priority relative to municipal bonds and they are more likely to be used by local governments that experienced adverse income shocks.

 

Can Government Demand Stimulate Private Investment? Evidence from U.S. Federal Procurement
with Shafik Hebous
After winning a government contract, firms increase capital investment by 7-10 cents per dollar of contract volume. Effects are stronger for firms that are financially constrained.

 

Cross-Border Effects of Fiscal Consolidations: Estimates Based on Narrative Records
with Shafik Hebous
Foreign fiscal consolidations have a negative impact on domestic output. The transmission occurs via trade and not via an interest rate or an exchange rate channel.