CARLOS RAMIREZ | Finance PhD Student                                                                                      Home           Vita

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

    • Financial Networks
    • Financial Intermediation
    • Market Microstructure
    • Asset Pricing

Work in Progress

    • Inter-Firm Linkages and Asset Prices

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. Finally, the model allows to compute implied measures of effective segmentation investors face when investing across different market segments.
      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 Nicolas Figueroa (Universidad Catolica de Chile) and Oksana Leukhina (University of Washington)
      Markets for securitized products experienced dramatic growth in the economic expansion leading up to the 2008 financial crisis. Several empirical papers suggest that securitization directly contributed to laxer screening standards, but our theoretical understanding of the real implications of these markets remains limited. We develop a general equilibrium model which allows us to study the interaction 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. Banks may choose then to employ ratings to convey that 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-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, both exacerbating resource mis-allocation.
      Presented at: Universidad de Chile*, Universidad Catolica de Chile*, University of Washington*, 2013 Midwest Macro Meetings*, Federal Reserve Bank of Atlanta*, 2014 Midwest Economics Association (* presented by coauthors)
    • Market Liquidity, Business Cycles and Information Acquisition
    • I analyze how market liquidity and business cycles affect the incentives of investors to gather information about securities in financial markets. I study a dynamic version of the Grossman and Stiglitz (1980) model where private information is long lived. I show that under mild conditions illiquid markets are more prone to generate the concentration of private information among few investors. Furthermore, among illiquid markets, the concentration of private information tends to increase during economic upturns. This analysis may help a government to both design trading regulations as well as identify which (and when) markets need more attention provided their tendency to concentrate private information among few investors.

Links

    Networks in Economics and Finance Meetings at Tepper Website

Updated: March, 2014