Extend-and-Pretend in the U.S. CRE Market
Co-author: Saketh Prazad, October 2024
Paper · BibTeX
FT [1][2][3] · Bloomberg [1][Odd Lots] [Business Week] · CoStar · Reuters
WFA 2026 · SFS Cavalcade 2025 · NBER Financial Market Risks 2025 · FIRS 2025 · Mitsui Symposium 2025 · 2026 Bank of Italy-Bocconi-EIEF-CEPR Conference
Abstract: We show that banks “extended-and-pretended” their impaired CRE mortgages in the post-pandemic period to avoid writing off their capital, leading to credit misallocation and a buildup of financial fragility. We detect this behavior using loan-level supervisory data on maturity extensions, bank assessment of credit risk, and realized defaults for loans to property owners and REITs. Extend-and-pretend crowds out new credit provision, leading to a 4.8–5.3% drop in CRE mortgage origination since 2022:Q1 and fuels the amount of CRE mortgages maturing in the near term. As of 2023:Q4, this “maturity wall” represents 27% of bank capital.
Stakeholders’ Aversion to Inequality and Bank Lending to Minorities
Co-author: Hanh Le, February 2026
AFA 2025 · 2024 Santiago Finance Workshop · 2024 UNC Solutions for Reducing Wealth Inequality
Paper · BibTeX · Liberty Street
Abstract: We document large and persistent cross-sectional differences in banks’ propensity to lend to minorities based on bank stakeholders’ aversion to inequality. Using mortgage application data from the Home Mortgage Disclosure Act, we show that banks with more inequality-averse stakeholders are more likely to approve applications in high-minority relative to low-minority areas and, within census tracts, from non-white borrowers relative to white borrowers. These differences (i) are not driven by applicant selection or loan officer assignment, (ii) coincide with stakeholder alignment, reflected in depositor retention and disclosure of initiatives for underserved communities, and (iii) do not predict worse ex-post loan performance.
Losses from Natural Disasters: County-Level Data on Damages, Injuries, and Fatalities
Co-author: Martin Hiti, July 2025
Paper · BibTeX · Liberty Street
Project website: newyorkfed.org/research/policy/natural-disaster-losses
Abstract: We introduce the first comprehensive publicly available dataset on county-level damages, injuries, and fatalities from natural disasters in the U.S. and present a few facts on the economic and human costs of extreme climate events. Our source is the National Oceanic and Atmospheric Administration’s Storm Events Database, which reports losses for geographic areas largely defined based on meteorological science. We map these areas to counties using geographic tools together with the spatial distribution of population, housing stock, and economic activity. Our estimates are particularly accurate for severe disasters. The Losses from Natural Disasters dataset is regularly updated at https://newyorkfed.org/research/policy/natural-disaster-losses.
How do supply shocks to inflation generalize? Evidence from the pandemic era in Europe
Co-authors: Viral Acharya, Tim Eisert, Christian Eufinger, July 2025
Revision requested at the Review of Financial Studies
AFA 2026 · EFA 2024 · WFA 2024 · 2024 Yale Supply Chain Workshop · 2023 CEPR Paris Symposium
Paper · BibTeX · FT · VoxEU
Abstract: We document how the interaction of supply chain pressures, elevated household inflation expectations, and firm pricing power contributed to the pandemic-era surge in consumer price inflation in the euro area. Initially, supply chain disruptions raised inflation, particularly in manufacturing through a cost-push channel, while also elevating inflation expectations. In turn, higher inflation expectations appear to have lowered the price elasticity of consumer demand and strengthened firms’ pricing power, enabling even firms in service sectors, that were initially unaffected by supply constraints, to raise markups. Through this expectations mechanism, localized inflation in sectors sensitive to supply-side shocks generalized into broad-based inflation.
Understanding the Pricing of Carbon Emissions: New Evidence from the Stock Market
Co-authors: Emilio Osambela, Matthew Pritsker, November 2025
EFA 2025 · NBER SI EFEL 2025
Paper · BibTeX
Abstract: Are carbon emissions priced in equity markets? The literature is split, with different approaches yielding conflicting results. Our stylized model shows that, if emissions are priced, stock returns depend on expected emissions and on the product of the innovation in emissions and the price-dividend ratio. Building on this insight, we derive and test new predictions that (i) reconcile seemingly divergent results in the literature and (ii) show that emissions are priced in equity markets, though the magnitude of such pricing is highly sensitive to the inclusion of a few “super emitters.”
Navigating Geoeconomic Risk: Evidence from U.S. Mutual Funds
Co-authors: Lina Han, Marco Macchiavelli, April 2026
2025 Kroner Center for Financial Research Research Grant
2025 Carey Finance Conference
Paper · BibTeX
Abstract: How do investors perceive and navigate the emerging geoeconomic risk? We identify firm-level geoeconomic risk using supply-chain links to Chinese firms targeted by U.S. export controls. Affected U.S. suppliers experience negative abnormal returns around policy announcements. These shocks further propagate to mutual funds through portfolio holdings, raising volatility and lowering performance. Fund managers respond by reducing exposure to China-linked exporters, increasing portfolio concentration, and buying more lottery-like stocks. A long–short portfolio based on geoeconomic risk exposure earns positive and significant future returns, suggesting investors demand compensation for bearing the high geoeconomic risk.