Publications
Working Papers
Scarcity, Mandates, and Liquidity: A General-Equilibrium Theory of Market Inelasticity
This paper develops a production-economy framework that links limited tradable claims on growth, rigid investor composition, and liquidity/monetary channels to market-level inelasticity. The model’s qualitative predictions highlight strong flow–price sensitivity and state-dependent elasticities, offering a clean mapping to balance-sheet wedges and flow-to-price responses at the market level.
Ambiguous Beliefs and the Dynamics of Inflation Expectations
I study how agents form and adjust expectations when beliefs are subject to ambiguity. The framework is designed to account for persistence, drift, and forecast biases in a way that can be embedded in standard macro-finance environments without committing to a specific estimation strategy here.
Information in the Implied Volatility Surface
This project examines how information is reflected across the implied-volatility surface and what features are most useful for forecasting option-implied risk. The emphasis is on stable, out-of-sample signals and transparent validation, keeping the presentation deliberately high-level pending final specification choices.
Volatility Transmission Across Markets: The Role of Policy Uncertainty
This paper explores how volatility transmits across markets and how those transmissions vary across policy environments. It provides a compact set of spillover measures and regime-aware summaries intended for macro-finance applications, with implementation details to follow in the full draft.
Projects
China Company Transformation Indicator (CCTI): Methodology Design
At IMD, I co-developed the methodological framework for the China Company Transformation Indicator, a sector-level benchmark assessing how firms in China build resilience. Our 2024 CCTI Report documents the inaugural methodology and sector rankings, providing cross-sector insights and the factor framework used to evaluate corporate transformation performance.