Graduate School of Business
655 Knight Way
Stanford, CA 94305b
Institutional Affiliation: Stanford University
NBER Working Papers and Publications
|May 2020||Epidemic Responses Under Uncertainty|
with Michael Barnett, Constantine Yannelis: w27289
We examine how policymakers should react to a pandemic when there is significant uncertainty regarding key parameters relating to the disease. In particular, this paper explores how optimal mitigation policies change when incorporating uncertainty regarding the Case Fatality Rate (CFR) and the Basic Reproduction Rate (R0) into a macroeconomic SIR model in a robust control framework. This paper finds that optimal policy under parameter uncertainty generates an asymmetric optimal mitigation response across different scenarios: when the disease’s severity is initially underestimated the planner increases mitigation to nearly approximate the optimal response based on the true model, and when the disease’s severity is initially overestimated the planner maintains lower mitigation as if there is...
|October 2018||Beyond the Balance Sheet Model of Banking: Implications for Bank Regulation and Monetary Policy|
with Gregor Matvos, Tomasz Piskorski, Amit Seru: w25149
Bank balance sheet lending is commonly viewed as the predominant form of lending. We document and study two margins of adjustment that are usually absent from this view using microdata in the $10 trillion U.S. residential mortgage market. We first document the limits of the shadow bank substitution margin: shadow banks substitute for traditional—deposit-taking—banks in loans which are easily sold, but are limited from activities requiring on-balance-sheet financing. We then document the balance sheet retention margin: banks switch between traditional balance sheet lending and selling loans based on their balance sheet strength, behaving more like shadow banks following negative shocks. Motivated by this evidence, we build and estimate a workhorse structural model of the financial intermedi...
|March 2017||Fintech, Regulatory Arbitrage, and the Rise of Shadow Banks|
with Gregor Matvos, Tomasz Piskorski, Amit Seru: w23288
Shadow bank market share in residential mortgage origination nearly doubled from 2007-2015, with particularly dramatic growth among online “fintech” lenders. We study how two forces, regulatory differences and technological advantages, contributed to this growth. Difference in difference tests exploiting geographical heterogeneity induced by four specific increases in regulatory burden–capital requirements, mortgage servicing rights, mortgage-related lawsuits, and the movement of supervision to Office of Comptroller and Currency following closure of the Office of Thrift Supervision--all reveal that traditional banks contracted in markets where they faced more regulatory constraints; shadow banks partially filled these gaps. Fintech lenders appear to offer a higher quality product and charg...
Published: Greg Buchak & Gregor Matvos & Tomasz Piskorski & Amit Seru, 2018. "Fintech, Regulatory Arbitrage, and the Rise of Shadow Banks," Journal of Financial Economics, . citation courtesy of