The views expressed herein are my own and do not represent the views of the Federal Reserve Bank of Richmond or the Federal Reserve System.

I am a financial economist at the Quantitative Supervision and Research Group (QSR), under the Supervision, Regulation and Credit Department of the Federal Reserve Bank of Richmond. My research covers the fields of banking, Bayesian analysis, macroeconomics and economic history. I am particularly interested in combining modern econometric techniques with newly digitized historic datasets to assess relevant policy questions.

Prior to joining the Richmond Fed, I have worked for more than 12 years in private consulting, academia and in bank supervision for the Central Bank of Brazil. I have solid practical experience in econometric analysis, time series models and operations research. I have earned my PhD in Economics from the University of California at Irvine in June 2021.

Research interests: Banking and Financial Economics, Macroeconomics, Bayesian Analysis, Economic History. 

Please find my CV here.

Working papers:

• Bank Leverage Limits and Risk-Taking in the Mortgage Market: evidence from post-crisis reforms (job market paper) [PDF]

As part of the Basel III framework, U.S. regulators introduced a minimum leverage ratio requirement on their largest banks, denominated Supplementary Leverage Ratio (SLR). Theoretical work on portfolio choice indicates that raising minimum bank leverage ratios can potentially induce increased risk-taking behavior. I test the hypothesis of an adjustment in risk and interest rate of mortgages originated by banks affected by the new SLR requirement, quantify the aggregate effects on credit supply and evaluate consequences to local house prices. I find that (i) banks affected by the leverage limit increase overall risk-taking on mortgages; (ii) for home loans classified as higher priced, the effect is substantially amplified, interest rates are raised in order to adjust the return for risk, and riskier loans are kept longer in the balance sheet of originating banks; (iii) the aggregate credit supply shock resulting from the adjustment is correlated with future home price increases. Overall, there is evidence of heterogeneous effects of policy, in which borrowers of higher risk are more affected. The findings carry implications for the revision of post-crisis regulatory reforms. They indicate that a raise in bank leverage limits can coexist with the expansion of credit conditions, contradicting common claims of the banking industry against this form of capital requirement. At the same time, as leverage shifts from bankers’ to borrowers’ balance sheet, households become more exposed to risk once negative income shocks materialize.

• The Credit Boom in Loans to Brokers and Stock Prices Fluctuations in the 1920s [PDF]

This paper investigates how the credit boom in brokers’ loans interacted with fluctuations in stock prices and macroeconomic variables during the 1920s. I estimate demand, supply, monetary and financial shocks in a Bayesian VAR by using a combination of sign and variance decomposition restrictions. The results indicate that monetary policy contraction was not effective to stabilize credit growth and stock prices while implying a relevant output and price level trade-off. Besides, I find that financial factors played an important role in output growth. Further, I confirm the existence of an effect of credit supply shocks in the level of stock prices.

• Capital Ratios and Bank Portfolio Allocation: a discrete-choice approach [PDF]

This paper investigates how capital ratios are related to bank portfolio allocation during periods of financial distress. Optimal portfolio adjustment strategies are treated as discrete choices by the bankers. The expected correlation between capital and each strategy, when compared to estimates from a Bayesian discrete choice model, allows me to assess the most plausible shocks driving the response of banks. I analyze the behavior of US commercial banks during the 1990s “credit crunch”, in terms of adjustments in the loans and securities portfolio. The findings suggests that the adoption of risk-based capital requirements contained in the Basel Accord was not the most important driver of the “credit crunch”, but banks were more likely recovering from negative shocks to capital, constrained by the leverage ratio requirements and reacting to the economic environment.