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About Me

I am a PhD candidate in economics at UC Davis. I am interested in understanding how financial intermediaries work, and how they interact with the real economy. My adviser is Prof. Martine Quinzii.

In a previous life I was a professional software engineer. Here's my old resume. One of the places I (very briefly) worked at was here.

CV

Research

The financial crisis of 2007-2009 demonstrated that financial intermediaries play a critical, if not yet well-understood, role in the economy. When economists want to understand a phenomenon, they turn to their models; many of our workhorse economic models, however, are not well suited for analyzing banks and other intermediaries. For example, the standard general equilibrium model has no role for banks; the standard representative agent macro model has no role for quantities of debt. My research seeks to improve the theoretical basis of our knowledge about what intermediaries do and how they affect the rest of the economy. (see more in my research statement).

Job Market Paper: "Maturity Mismatch and Fractional-Reserve Banking" pdf ⋅ code

In this paper, we present a dynamic model of a banking firm based on inventory management of stochastic cash flows. The bank takes deposits and makes loans, which may have different maturities. The model provides a parsimonious explanation of dividend payouts, maturity mismatch, quantities of credit, and bankruptcy; mismatch arises non-strategically, from profit maximization. Numerical experiments show that maturity mismatch can be optimal if the level of uncertainty in withdrawals is not too high. Uncertainty of both loan repayments and withdrawals can result in a bank that optimally fails in finite time.

Working paper: "A Rational, Decentralized Ponzi Scheme" pdf

We present a model of an industry with a dynamic, monopoly financial firm and an OLG population of depositors. The firm is a special case of the banking firm in Carpio (2011): it is a bank without a lending business, i.e. a Ponzi scheme. The firm offers an interest rate on deposits; depositors are forward-looking and take the interest rate and bank risk as given, and choose how much to save using simple mean-variance preferences. Interest rates, financial risk, and quantities of credit are endogenous. We solve the model numerically through value function iteration. Numerical experiments show that an equilibrium with nonzero savings can exist if depositor risk aversion and population growth uncertainty is not too high; bank failure may occur optimally in finite time.

Software

The code used for my job market paper is on GitHub.

Teaching

Winter 2010: ECN 131 - Public Finance (Instructor: L. Jay Helms)
Fall 2008: ECN 151a - Economics of Labor Markets (Instructor: Janine Wilson)
Spring 2008: ECN 160a - International Microeconomics (Instructor: Farshid Mojaver)
Winter 2008: ECN 111a - Economic History of the United States (Instructor: Janine Wilson)
Fall 2007: ECN 162 - International Economic Relations (Instructor: Robert Mogull)
Summer Session II 2007: ECN 101 - Intermediate Macroeconomic Theory (Instructor: Chun Wang)
Spring 2007: ECN 1B - Principles of Macroeconomics (Instructor: Robert Mogull)
Winter 2007: ECN 1B - Principles of Macroeconomics (Instructor: Masako Miyanishi)
Fall 2006: ECN 1A - Principles of Microeconomics