Real Consequences of Shocks to Intermediaries Supplying Corporate Hedging Instruments
Dissertation Committee: Robert Engle (Co-chair), Philipp Schnabl (Co-chair), Ralph Koijen, Alexi Savov, and Joel Hasbrouck
Presentations
NBER IFM Meeting, IMF Macro-Financial Research Conference, WEAI-IBEFA Conference, HEC Paris-CEPR Conference, EFA, Bank of Korea, Australasian Finance and Banking Conference, International Risk Management Conference, Korea University, HKUST, Vanderbilt Owen, Yale SOM, Federal Reserve Bank of New York, Federal Reserve Board, Stockholm School of Economics, Federal Reserve Bank of Chicago, Warwick Business School, U of SC Darla Moore, Oxford Said, Imperial College London, HKU, Federal Reserve Board (Pre-Job Market Conference), SoFiE Seminar (
Video), NYU Stern
I show that shocks to financial intermediaries that supply hedging instruments to corporations have real effects. I exploit a quasi-natural experiment in South Korea in 2010, where regulations required banks to hold enough capital for taking positions in foreign exchange derivatives (FXD). Using the variation in exposure to this regulation across banks, I find that the regulation caused a reduction in the supply of FXD, leading to a significant decline in exports for firms that held derivatives contracts with more exposed banks. These results indicate the crucial role of intermediaries in allocating risks through the provision of derivatives and establish a causal relationship between financial hedging and real economic outcomes.
CRISK: Measuring the Climate Risk Exposure of the Financial System
Co-authors: Robert Engle and Richard Berner
Presentations
AEA, Paris December Finance Meeting, UN PRI Academic Network Week, OFR Climate Implications for Financial Stability Conference, CEBRA, EFA, International Journal of Central Banking Conference, Cornell University ESG Investing Research Conference, Banco de Portugal Conference on Financial Intermediation, OCC Symposium, ESRB Workshop, NY Fed-Columbia University Conference, University of Oklahoma Energy and Climate Finance Research Conference, Federal Reserve Board, Banque de France Workshop, ESSEC-Amundi Chair Webinar, Federal Reserve Bank of Richmond, Australasian Finance and Banking Conference*, (EC)^2 Conference, European Central Bank, MIT GCFP Conference, Central Bank of Chile Workshop, Federal Reserve Stress Testing Research Conference, Federal Reserve Bank of New York, IFABS Oxford Conference, Green Swan Conference*, EBA EAIA Seminar*, 2nd Annual Volatility and Risk Institute Conference (
Video)
(* presented by co-author)
Deviations from the Law of One Price across Economies
Co-author: Jaehoon (Kyle) Jung
Presentations
Australasian Finance and Banking Conference, Columbia GSB Finance Ph.D. Seminar, NYU Stern
Climate Stress Testing
Co-authors: Viral Acharya, Robert Engle, Richard Berner, Johannes Stroebel, Xuran Zeng, and Yihao Zhao
Prepared for the Annual Review of Financial Economics