WORKING PAPERS
Implications of Temperature Extremes for Credit Rationing (with Emdad Islam) [JMP]
[Doctoral Student Consortium - Financial Management Association (FMA) Annual Meeting 2019 (New Orleans), Ph.D. Session - Financial Research Network (FIRN) Annual Meeting 2019 (Byron Bay), Poster Session - American Economic Association (AEA) Annual Meeting 2020 (San Diego), EDHEC - The Finance of Climate Change 2019 (Paris), UZH Young Researcher Workshop on Climate Finance 2020 (Zurich).]
Abstract: We provide novel evidence of spatial rationing of credit by banks across regions that differ in the degree of climate change, which we proxy by the likelihood of extreme temperatures. A 1 percent increase in the likelihood of extreme temperature, on average, leads to a 5 percent decrease in the loan volume to large borrowers. In a sample of small borrowers, we detect a decline in the range of 2 to 16 percent in lending volume, depending on bank size. Our empirical evidence suggests that financial intermediaries adjust their lending strategies to account for the adverse impacts that a changing climate can impose on firms across regions.
Asset Pricing with Heterogeneous Agents: A New Aggregation Approach
Abstract: This paper proposes a new heterogeneous-agent stochastic discount factor (SDF) that equals the previous period investment weighted average of agents' SDFs. For quarterly data observed at a monthly frequency, the investment weighted SDF reconciles the historical equity premium for relative risk aversion of 7. The proposed SDF fares well when tested using standard asset pricing tests like Hansen-Jagannathan volatility bounds, and JT test. The weighting methodology is the primary driver of my results.
WORK IN PROGRESS
How do Banks Deal with Climate Change Risk? (with Emdad Islam)
The Implications of Temperature Shocks for Capital Structure (with Emdad Islam)
Climate Risk and Stock Returns (with Konark Saxena)
Implications of Temperature Extremes for Credit Rationing (with Emdad Islam) [JMP]
[Doctoral Student Consortium - Financial Management Association (FMA) Annual Meeting 2019 (New Orleans), Ph.D. Session - Financial Research Network (FIRN) Annual Meeting 2019 (Byron Bay), Poster Session - American Economic Association (AEA) Annual Meeting 2020 (San Diego), EDHEC - The Finance of Climate Change 2019 (Paris), UZH Young Researcher Workshop on Climate Finance 2020 (Zurich).]
Abstract: We provide novel evidence of spatial rationing of credit by banks across regions that differ in the degree of climate change, which we proxy by the likelihood of extreme temperatures. A 1 percent increase in the likelihood of extreme temperature, on average, leads to a 5 percent decrease in the loan volume to large borrowers. In a sample of small borrowers, we detect a decline in the range of 2 to 16 percent in lending volume, depending on bank size. Our empirical evidence suggests that financial intermediaries adjust their lending strategies to account for the adverse impacts that a changing climate can impose on firms across regions.
Asset Pricing with Heterogeneous Agents: A New Aggregation Approach
Abstract: This paper proposes a new heterogeneous-agent stochastic discount factor (SDF) that equals the previous period investment weighted average of agents' SDFs. For quarterly data observed at a monthly frequency, the investment weighted SDF reconciles the historical equity premium for relative risk aversion of 7. The proposed SDF fares well when tested using standard asset pricing tests like Hansen-Jagannathan volatility bounds, and JT test. The weighting methodology is the primary driver of my results.
WORK IN PROGRESS
How do Banks Deal with Climate Change Risk? (with Emdad Islam)
The Implications of Temperature Shocks for Capital Structure (with Emdad Islam)
Climate Risk and Stock Returns (with Konark Saxena)
