Research

Peer-Reviewed Publications

“Pricing Protest: The Response of Financial Markets to Social Unrest”, with Philip Barrett, Mariia Bondar, Mali Chivakul, and Deniz Igan, forthcoming, Review of Finance.

Social unrest on average leads to a 1.4 percentage point drop in cumulative abnormal returns in two weeks. Stronger institutions are associated with a smaller adverse impact, reflecting their ability to provide a more reliable way to reconcile conflicting views and dampen uncertainty after unrest.

Featured in:

        Finance and Development

   IMF Blog

Reuters

World Economic Forum

Small and Vulnerable: Small Firm Productivity in the Great Productivity Slowdown, with Do Lee, Journal of Financial Economics, 2023.

The TFP growth of European micro, small, and medium-sized firms (SMEs) diverged from large firms after the global financial crisis. This SME productivity gap is larger for firms with more severe credit supply shocks. 

The Spread of Deposit Insurance and the Global Rise in Bank Asset Risk since the 1970s, with Charles W. Calomiris, Journal of Financial Intermediation, 2022. NBER Working Paper No. 24936, 2018.

Winner of the 2022 Journal of Financial Intermediation Best Paper Award.

[Data] [Online Appendix]

A analysis of a new cross-country dataset on deposit insurance shows greater deposit insurance generosity robustly produces greater bank asset risk

Featured in:

NBER Research

Credit and Fiscal Multipliers in China: Evidence from a political economy based estimation, with Lev Ratnovski and Pi-Han Tsai, Journal of International Money and Finance, 2021.

The on-budget fiscal multiplier is 1.0 and credit multiplier is 0.2 in China during 2000–2019.

Featured in:

Central Banking

The Dynamics of Non-Performing Loans during Banking Crises: A New Database with Post-COVID-19 Implications, with Anil Ari and Lev Ratnovski, Journal of Banking and Finance, 2021.

[Data] [Online Appendix]

A analysis of a new dataset on the dynamics of NPLs during banking crises since 1990 points to challenges from legacy NPLs and NPLs in the post-COVID-19 era.

Featured in:

     NBER International Finance and Macroeconomics Catalogue of Data Sources

Yale School of Management: News in Systemic Risk

     ECB speech

VoxEU

Financial Information and Macroeconomic Forecasts, with Romain Ranciere, International Journal of Forecasting, 35, pp 1160-1174, 2019.

Financial variables have considerable predictive power for macroeconomic variables.

Does Balance Sheet Strength Drive Investment Cycle? Evidence from Pre- and Post-Crisis Cyprus, with Yinqiu Lu, Cyprus Economic Policy Review, Volume 12, No. 1, pp 3-27 (lead article), 2018.

Corporate indebtedness impedes investment and contributes to the boom-bust cycle in Cyprus.

Wide media coverage: Cyprus Business Mail, Cyprus Profile, Cyprus News Agency, CyprusNews.eu, Kathimerini, News in Cyprus, Phileleftheros, Politics, Sigma, Stockwatch

The Tax-Adjusted Q Model with Intangible Assets: Theory and Evidence from Temporary Investment Tax Incentives, with Estelle P. Dauchy, Southern Economic Journal, Volume 83, Issue 4, 2017.

A q model accounting for intangible assets suggests an investment elasticity to tax incentives larger than a conventional model. 

    [Online Appendix]

Publications in Books and Special Issues

The Economics of Social Unrest, with Philip Barrett, Finance and Development, August 2021.

Social Repercussions of Pandemics, with Philip Barrett, Covid Economics, Issue 68, 2021.

COVID's Long Shadow: Social Repercussions of Pandemics”, with Philip Barrett and Nan Li, IMF Research Perspective, Volume 23, Issue 2, Fall/Winter 2020.

Tracking the Economic Impact of COVID-19 and Mitigation Policies in Europe and the United States”, with Deniz Igan, Nicola Pierri, and Andrea F Presbitero, Covid Economics, Issue 36, 2020.

Featured in:

IMF Research Perspective

The Spread of Deposit Insurance and the Global Rise in Bank Asset Risk since the 1970s”, with Charles W. Calomiris, Research Briefs in Economic Policy, Number 114, January 2019.

Policy Publications

Macroprudential Policy Effects: Evidence and Open Questions, with Nina Biljanovska, R. G Gelos, Deniz O Igan, Maria Soledad Martinez Peria, Erlend Nier, Fabian Valencia, IMF Departmental Paper, 2023/002.

Featured in:

VoxEU

Rising Corporate Market Power: Emerging Policy Issues”, IMF Staff Discussion Notes, No. 21/01, March 15, 2021.

Social Unrest during COVID-19”, with Philip Barrett, in World Economic Outlook, “Global Prospects and Policies” October 2020 Chapter 1.

COVID-19 and Non-Performing Loans: Lessons from Past Crises”, with Anil Ari and Lev Ratnovski, ECB Research Bulletin, No. 72, June 19, 2020.

Tracking the Economic Impact of COVID-19 and Mitigation Policies in Europe and the United States”, with Deniz Igan, Nicola Pierri, and Andrea F. Presbitero, IMF Special Series on COVID-19, May 7, 2020.

Debt Maturity and the Use of Short-term Debt: Trends and Determinants”, with Paola Ganum, Lucy Liu, Leonardo Martinez and Sole Martinez Peria, IMF Departmental Paper, No.19/03, 2019.

International R&D Sourcing and Knowledge Spillovers”, in World Economic Outlook, “Is Productivity Growth Shared in a Globalized Economy?” April 2018 Chapter 4.

Toolkit to Assess the Consistency Between Real Sector and Financial Sector Forecasts”, with Paola Ganum and Pau Rabanal, IMF Technical Notes and Manuals, 17/09, 2017.

Monetary Policy in the New Normal”, IMF Staff Discussion Notes, No. 14/3, April 04, 2014.

Working Papers

Differential Effects of Macroprudential Policies, with Nina Biljanovska, IMF Working Paper No. 23/043, 2023.

“Loan Screening in Growing Markets”, with Yangfan Sun. Under review.

Social Repercussions of Pandemics, with Philip Barrett, IMF Working Paper No. 21/21, 2021. Under review.

Featured in:

The Economist

   La Vanguardia

   Project Syndicate

   Reuters

Do Lenders Make Less-Informed Investments in High-Growth Housing Markets?, with Lev Ratnovski, and Yangfan Sun, IMF Working Paper No. 21/151, 2021. 

International R&D Sourcing and Knowledge Spillovers: Evidence from OECD Countries”, with Estelle Dauchy, IMF Working Paper No. 18/51, 2018.

[Online Appendix]

Featured in:

Finance and Development, Vol.55, No.3, September 2018.

World Economic Outlook, "Is Productivity Growth Shared in a Globalized Economy?" April 2018, Chapter 4.

Fiscal Monitor, "Fiscal Policies for Innovation and Growth", April 2016, Chapter 2 

Uncertainty and Investment: The Financial Intermediary Balance Sheet Channel”, IMF Working Paper No. 15/65, 2015.

Financial Constraints, Intangible Assets, and Firm Dynamics: Theory and Evidence”, IMF Working Paper No. 14/88, 2014.

Press and Media

How Stock Markets Respond to Social Unrest”, IMF Blog, May 10, 2021.

COVID’s Long Shadow: Social Repercussions of Pandemics”, IMF Blog, February 3, 2021.

An Economy for All”, IMF Research Perspective, Volume 22, Issue 1, Spring/Summer 2020. Guest editor. Platinum winner of the MUSE Award

Inclusion in Economics: Interview with Sole Martinez Peria”, in IMF Research Perspective, Volume 22, Issue 1, Spring/Summer 2020.

COVID-19 and Non-Performing Loans: Lessons from Past Crises”, VoxEU, May 30, 2020.

The Economic Impact of Covid-19 in Europe and the US: Outbreaks and Individual Behaviour Matter a Great Deal, Non-Pharmaceutical Interventions Matter Less", VoxEU, May 11, 2020.

Can Credit Still Prop Up the Chinese Economy?”, VoxChina (中文), February 28, 2018.

Propping Up the Chinese Economy: Credit versus Fiscal Stimulus”, IMF Blog (中文), December 12, 2017.

Work in Progress

“Government Credit and Monetary Policy Transmission: Evidence from Brazil”, with Leila Aghabarari, Deniz Igan, and Bernardus Van Doornik

“Paying Bankers: Rents, Risk, and Performance”, with Laura Castillo Martinez and Deniz Igan

“Sharing the Burden: Household-Level Evidence on Fiscal Consolidation in the European Union”, with Deniz Igan and Victoria Wenxin Xie

“Are Innovative Firms Financially Constrained? Evidence from R&D Tax Incentives in OECD Countries”, with Estelle Dauchy

“How Does Corporate Income Tax Affect Bank Lending and Capital Structure?”, with Gee Hee Hong

“The Role of Market Competition in Fiscal Policy Transmission”, with Yu Shi