SAKI BIGIO. Assistant Professor Finance and Economics Division Columbia Business School. www2.gsb.columbia.edu/faculty/sbigio

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1 June 16, 2014 SAKI BIGIO Assistant Professor Finance and Economics Division Columbia Business School www2.gsb.columbia.edu/faculty/sbigio Broadway - Uris Hall 814 New York, NY (office) (mobile) Academic Employment Assistant Professor, Finance and Economics Division, Columbia Business School (2012-Present) Education Ph.D., Economics, New York University ( ) B.A., Economics, Universidad del Pacifico ( ) Nationality Peru, Poland, U.S. Permanent Resident (in progress) Research Fields Primary: Macroeconomics Secondary: Finance and Banking Teaching Experience Spring 2014 Spring 2013 Fall 2011 Spring 2011 Fall 2010 Summer 2008 Global Economic Environment I (EMBA), Columbia Business School, Global Economic Environment I (MBA), Columbia Business School, Money and Banking (Undergraduate), New York University, Teaching Fellow for Professor Aditi Thapar Advanced Macroeconomics (Undergraduate), New York University, Teaching Fellow for Professor Gianluca Violante Macroeconomics I-II (Graduate), New York University, Teaching Fellow for Professors John Leahy and Lars Ljungqvist Topics in the Global Economy (Undergraduate), New York University, Research Experience and Other Employment 2012 Research Assistant for Professor Thomas J. Sargent 2009 Research Assistant for Professor Boyan Jovanovic 2008 Research Assistant for Professor Thomas J. Sargent CV SAKI BIGIO 1

2 Central Bank of Peru, DSGE-Modeling Unit Publications Bigio, Saki (2010), Learning Under Fear of Floating Journal of Economic Dynamics and Control, Volume 34, Issue 10, October 2010, Pages Bigio, Saki and Eduardo Zilberman (2010), Optimal Self-employment Income Tax Enforcement Journal of Public Economics, Volume 95, Issues 9 10, October 2011, Pages Working Papers Financial Risk Capacity (Job Market Paper) Endogenous Liquidity and the Business Cycle (under revision for the American Economic Review) Liquidity Shocks and the Business Cycle: What Next? Banks, Liquidity Management and Monetary Policy (with Javier Bianchi) Liquidity Shocks and the Business Cycle: What Next? (under revision for the Review of Economic Dynamics) Equilibrium Ponzi Schemes (with Cecilia Parlatore) Financial Frictions in Production Networks (with Jennifer La'O) Honors, Scholarships, and Fellowships Peter B. Kenan Fellow Princeton University Excellence in Refereeing Award 2013 (AER) Cowles Foundation Yale University Becker Friedman Institute University of Chicago The Review of Economic Studies Tour C.V. Starr Center Fellow New York University McCracken Fellow New York University 2009 Outstanding Referee Award (JEDC) 2008 Best Third Year Paper Award, (joint with Eduardo Zilberman) 2005 Central Bank of Peru Research Award, 2 nd Prize Grants 2014 Fondation Banque de France (US$ ) Banks, Liquidity Management and Monetary Policy (with J. Bianchi) Professional Activities Seminars and Conferences: NBER Summer Institute (Boston 2014), Central Bank of Chile (Santiago, 2014), 49th Annual Conference (Western Finance Association, Monterey Bay, 2014), 3rd Rome Junior Conference on Macroeconomics (EIEF, Rome, 2014), Safe Assets and the Macroeconomy Conference (London Business School, 2014), Goethe University (Frankfurt, 2014), European Central Bank (Frankfurt, 2014), Banco Central de Reserva del Peru CV SAKI BIGIO 2

3 (Lima, 2014), Conference on the Monetary and Fiscal History of Latin America (Becker Friedman Institute, University of Chicago, 2014), Conference on Business Cycles and Macroeconomic Policies (Northwestern, SAIF, Shanghai, 2014), 18th Call for Proposals (Banque de France, Paris, 2014). Macroeconomic Externalities Conference (INET-IMF, Washington, D.C., 2013), Macro-Finance Society (NYU New York, 2014), Review of Economic Dynamic Special Issue Conference (Federal Reserve Bank of St. Louis, 2013), 5th Annual Conference on Money, Banking and Asset Markets (Wisconsin School of Business, Madison, 2013), University of Maryland (College Park, 2013), Macro Financial Modeling and Macroeconomic Fragility Conference (BFI, University of Chicago, 2013), Yale University (New Haven, 2013), Brown University (Providence, 2013), University of Oslo (Norway, 2013), BI Norwegian Business School (Norway, 2013), Riskbank (Sweden, 2013), Summer Workshop on Money, Banking, Payments and Finance (Federal Reserve Bank, Chicago, 2013), 2nd Annual Summer Workshop in International Economics and Finance (Brandeis University, Massachusetts, 2013), NBER EF&G Research Meeting (Cambridge, 2012), Annual Meeting of the Society for Economic Dynamics (Seoul, 2013), Bank of Japan (Tokyo, 2013), GSE Summer Forum (Barcelona, 2013), 2nd Rome Junior Conference on Macroeconomics (EIEF, Rome, 2013), 2013 Macro-Asset Pricing Conference (University of Minnesota, Minneapolis, 2013), Federal Reserve Bank of Minneapolis (Minneapolis, 2013), Federal Reserve Bank of Philadelphia (Philadelphia, 2013), University of Wisconsin (Madison, 2013). Michael Beauregard Seminar in Macroeconomics (University of Michigan, Ann Arbor, 2012), Marcel-Dagenais Seminar in Econometrics and Macroeconomics (University of Montreal, Montreal, 2012), Latin American and Caribbean Economic Association Annual Meeting (Lima, 2012), Department of Economics Recruitment Seminar (University at Albany, The State University of New York, 2012), Summer Camp in Macroeconomics (Mexico Autonomous Institute of Technology [ITAM], Mexico City, 2012), Bank of Mexico (Mexico City, 2012), Federal Reserve Bank of Chicago (Chicago, 2012), Rome Junior Conference on Macroeconomics (EIEF, Rome, 2012), 7 th Banco de Portugal Conference on Monetary Economics (Porto, 2012), The Review of Economic Studies May Meetings (Mannheim, Leicester, Rome, 2012), University Minnesota (Minneapolis, 2012), University of Chicago (Chicago, 2012), Kellogg School of Management (Evanston, 2012), Northwestern University (Evanston, 2012), Wharton School (Philadelphia, 2012), University of Pennsylvania (Philadelphia, 2012), Princeton University (Princeton, 2012), University of California, Los Angeles (Los Angeles, 2012), Stern Macro Seminar (New York, 2012), Columbia Finance Seminar (New York, 2012), Duke University (Durham, 2012), Fuqua University (Durham, 2012), Stern Macro Seminar (New York, 2012), Stern Finance Seminar (New York, 2012). Summer Workshop on Money, Banking, Payments and Finance (Federal Reserve Bank, Chicago, 2011), Universidad Torcuato Di Tella (Buenos Aires, 2011), XIII Workshop in International Economics and Finance (Universidad Torcuato Di Tella, Lima, 2011), Federal Reserve Bank of Minneapolis (Minneapolis, 2011), Rutgers University (New York, 2011), NYU-Stern Macro Lunch (New York, 2010), 10 th World Congress of the Econometric Society (Shanghai, 2010), Annual Meeting of the Society for Economic Dynamics (Montreal, 2010), NYU Student-Micro Lunch (New York, 2010), NYU Student-Macro Lunch (New York, 2010), The Role of Firms in Tax Systems (University of Michigan, Ann Arbor, 2009), 4 th Dynare Conference (Federal Reserve Bank, Boston, 2008), Universidad del Pacifico (Lima, 2009). Chicago-Argonne Summer Institute on Computational Economics (University of Chicago, Chicago, 2007),12 th International Conference on Computing in Economics and Finance (Cyprus, 2006), Central Bank of Peru (Lima, 2006), Bank of Mexico (Mexico City, 2005), 10 th Annual Meeting of the Latin American and Caribbean Economic Association Annual Meeting (Paris, 2005). Discussant: Banking, Liquidity and Runs in Infinite Horizon by Gertler and Kiyotarki (IMF-INET, 2014), Financial Shocks in Production Chains (AEA Meetings, 2013), Cost Minimizing Intervention in a Market-Based Financial System by Darmouni (AEA Meetings, 2014), Repos, Fire Sales and Optimal Policy by Carapella et al. (St. Louis FED, 2013), Sticky Leverage by Gomes, Jermann and Schmidt (BFI-MFM Meeting Cambridge 2013), Housing and Liquidity by He, Wright and Zhu (Chicago Fed, 2013), Government Policy, Credit Markets and Economic Activity, by Christiano and Ikeda (XVI Conference of the Central Bank of Chile, Santiago, 2012) CV SAKI BIGIO 3

4 Liquidity Cycles by Gunter Strobl (Wharton School of Business, 2012), Monetary Policy, Model Uncertainty and Exchange Rate Volatility by Markievicz (Cambridge University, 2009). Referee: American Economic Review, Journal of Political Economy, Review of Economic Studies, Journal of Economic Theory, Journal of Financial Economics, Review of Financial Studies, Journal of Public Economics, Journal of Economic Dynamics and Control, Review of Economic Dynamics, International Economic Review, European Economic Review. Research Papers Financial Risk Capacity (Job Market Paper) Financial crises seem particularly lengthy when banks fail to recapitalize after large losses. I explain this through a model where banks provide intermediation in markets with informational asymmetries. Large equity losses reduce a bank's capacity to bear further losses. Losing this capacity leads to reductions in intermediation and exacerbate adverse selection. Adverse selection, in turn, lowers pro ts from intermediation which explains the failure to attract equity injections or retain earnings quickly. Financial crises are infrequent events characterized by low economic growth which is overcome only as banks slowly recover by retaining earnings. The model is contrasted against data on financial crises and several policy interventions are explored. Endogenous Liquidity and the Business Cycle (under revision for the American Economic Review) I study an economy where asymmetric information in the quality of capital endogenously determines the amount of liquidity available. Liquid funds are key to relax financial constraints on investment and employment. These funds are obtained by selling or using capital as collateral. Liquidity is determined by balancing the costs of obtaining liquidity under asymmetric information against the benefits of relaxing financial constraints. Aggregate fluctuations follow increases in the dispersion of capital quality which raise the cost of obtaining liquidity. The model can generate patterns for quantities and credit conditions similar to the Great Recession. Liquidity Shocks and the Business Cycle: What Next? This paper studies the properties of an economy subject to random liquidity shocks as proposed by Kiyotaki and Moore [2008]. Liquidity shocks affect the ease with which equity can be used as to finance the downpayment of new investment projects. If these shocks are sufficiently large, they have the effects of investment specific technological shocks. We argue that, as with investment shocks, liquidity shocks face several challenges to explain business cycle fluctuations and asset prices. We explain where the weaknesses of the model lie and propose several amendments. Research In Progress Banks, Liquidity Management and Monetary Policy, (with Javier Bianchi) We develop a new framework for studying the implementation of monetary policy through the banking sector. Banks are subject to a maturity mismatch problem leading to precautionary holdings of reserves. Through various instruments, monetary policy alters tradeoffs banks face between lending, holding reserves, CV SAKI BIGIO 4

5 holding deposits and paying dividends. This translates into the real economy via effects on real interests and lending. We study how these instruments interact with shocks to the volatility in the payments system, bank losses, the demand for loans and with capital requirements. We use a calibrated version of the model to answer, quantitatively, why have banks held onto a substantial increase in reserves while not increasing lending since Equilibrium Ponzi Schemes (with Cecilia Parlatore) We construct a model in which investors are aware of a Ponzi scheme but are uncertain about for how long it has been running. Ponzi schemes may occur in equilibrium if investors believe that the fundamentals may eventually recover. Financial Frictions in Production Networks (with Jennifer La'O) We show that the input-output structure of an economy has important implications for the impact of financial frictions on aggregate activity. We first study two simple economies with different production networks: a horizontal and a vertical economy. We construct these economies so that in the absense of frictions they are allocationally equivalent. However, when firms face liquidity constraints, the two economies yield very different equilibrium properties. We find that (i) depending on the network structure the aggregate labor wedge can overstate the wedges faced by individual firms, (ii) for any allocation, the vertical economy requires greater amounts of aggregate liquidity, (iii) the vertical economy features a greater drop in output due to a tightening of constraints; we call this the liquidity multiplier, (iv) the network location of firms matter for the impact of their individual constraints on aggregate output, and (v) conventional measures of misallocation must be revised when considering complex production networks. We then solve the general model for arbitrary input-output structures as in Acemoglu et al (2012). We calibrate this model in order to match the input-output matrix of the U.S. economy and use this to explore the extent to which these interrelationships can explain the drop in output during the latest recession. We find a liquidity multiplier of around 3.8 for the U.S. economy. Furthermore, in order to generate the observed drop in output at the trough of the recession, our calibrated model would require a reduction in liquidity equal to only 1/6th the drop in liquidity required in a representative firm model. CV SAKI BIGIO 5