CARLOS RAMIREZ | Finance PhD Candidate

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    Welcome to my website. I am on the job market this year and I will be available for interviews at the 2016 AFA/AEA/ASSA meetings in San Francisco, CA.

Contact Information

    Tepper School of Business
    Carnegie Mellon University
    5000 Forbes Avenue, Pittsburgh, PA.
    Office: 315-C, GSIA.
    e-mail: carlosrc@cmu.edu

Background

    • Joined Tepper PhD Program 2010
    • Young Research Fellow, Center for Applied Economics, Universidad de Chile, 2009-2010
    • MS Economics, Universidad de Chile, 2008
    • Industrial Engineer, Universidad de Chile, 2008

Research Interests

    • Networks in Financial Economics
    • Financial Intermediation
    • Asset Pricing

Work in Progress

    • Interfirm Relationships and Asset Prices
    • (Job Market Paper)
      I study asset pricing in large economies where persistent interfirm relationships generate interdependencies among firms' cash-flows. These relationships give rise to large networked economies where aggregate fluctuations arise from the propagation of negative idiosyncratic shocks to individual firms. I derive closed form expressions for the market return, the risk-free rate, the price of risk and firms' stock prices and quantities of risk in an array of different network topologies. In such network topologies, the distributions of aggregate output and consumption growth are reshaped by network connectivity. Changes in network connectivity are then priced sources of systematic risk. Within my model, network connectivity is defined as the extent to which shocks affecting one firm that is chosen at random propagate to others. Different parameterizations of my baseline model yield dynamics that are consistent with long-run risks and rare disasters models. In a calibrated model: well-connected firms command higher risk premium than less connected firms; firm-level return volatilities follow a factor structure; and firms' stock prices covary excessively, making profitable trading strategies based on momentum.
      Presented at: LBS (2015 TADC), INFORMS 2015 (Networks and Contagion Risk Session).

    • Interfirm Relationships and the Idiosyncratic Volatility Anomaly
    • I study the asset pricing implications of persistent interfirm relationships in an Epstein-Zin-Weil representative investor economy. I assume interfirm relationships have a dual nature. On the one hand, they potentially allow a firm to improve both its growth opportunities and its resilience to negative idiosyncratic productivity shocks. On the other hand, they may increase a firm's exposure to negative productivity shocks affecting a firm's partners. In a calibrated model, well-connected firms exhibit less idiosyncratic return volatility than less connected firms (where idiosyncratic return volatility is measured relative to the Fama and French (1993) model). Well-connected firms, however, have greater exposure to systematic risk than less connected firms and thus they command higher risk premium. This finding helps explain investors' high demand for stocks with high idiosyncratic return volatility and thus their low expected returns, providing a plausible rationale to the idiosyncratic return volatility anomaly of Ang et al. (2006). Moreover, in the calibrated model: (a) both total return volatility and idiosyncratic return volatility follow a factor structure; and (b) stock returns covary more strongly than firms' dividends.
      Presented at: Carnegie Mellon.

Working Papers

    • Basket Securities in Segmented Markets
    • I study the design and welfare implications of basket securities issued in markets with limited investor participation. Profit-maximizing issuers exploit investors inability to trade freely across different markets and choose which market to specialize in. I show that when the issuer is a monopoly, the equilibrium may not be constrained efficient. Increasing competition among issuers increases the variety of baskets issued, but does not always improve investors welfare. Although competition increases the variety of baskets issued, many of these baskets are redundant in the sense that coordination among issuers could improve investors risk sharing opportunities. The equilibrium basket structure depends on institutional features of a market such as depth and gains from trade.
      Presented at: Universidad de Chile, LBS (2013 TADC), 2013 Northern Finance Association, 2014 Midwest Finance Association, 2014 Eastern Finance Association, 2014 European Finance Association (Doctoral Tutorial)

    • Imperfect Information Transmission from Banks to Investors: Real Implications
    • with Nicolás Figueroa (Universidad Católica de Chile) and Oksana Leukhina (University of Washington)
      We develop a general equilibrium model to study the interplay of information transmission in secondary loan markets and screening effort at loan issuance. Originating banks are able to identify repaying borrowers at a cost, but they cannot credibly transmit such information to investors. As a consequence, banks may choose to employ credit ratings to convey their private information in secondary loan markets. The price differential on assets with high and low ratings emerges then as the main determinant of screening effort. We find that rising collateral values and increasing asset complexity help explaining the following pre 2008 financial crisis observations: (1) decrease in screening standards, (2) intensified rating shopping, (3) rating inflation, and (4) the decline in the differential between yields on assets with low and high ratings. Surprisingly, we find regulatory policies, such as mandatory rating and mandatory rating disclosure, to be counterproductive since both policies may exacerbate resource misallocation.
      Presented at: Universidad de Chile*, Universidad Católica de Chile*, University of Washington*, 2013 Midwest Macro Meetings*, Federal Reserve Bank of Atlanta*, 2014 Midwest Economics Association, 2014 North American Summer Meeting of the Econometric Society* (* presented by coauthors)

Updated: June, 2015