I am a PhD candidate in Finance at the Rotman School of Management in the University of Toronto. I expect to go on the academic job market in 2023-24.
My interests broadly lie in empirical asset pricing and the role of information. I have recently been studying the monetary news that is embedded in macroeconomic announcements, how they shape market expectations regarding central bank policy, and its implications for financial markets.
PhD Finance, Rotman School of Management, University of Toronto
M.A. Applied Economics, Georgetown University
BSc Economics, Lahore University of Management Sciences (LUMS)
Other Work Experience
Research Assistant, International Monetary Fund (IMF), 2014 - 2018
Learning About Fed Policy From Macro Announcements: A Tale of Two FOMC Days [JOB MARKET PAPER]
Presentations: Bank of Canada and San Francisco Fed's 8th Conference on Fixed Income Markets, International Risk Management Conference, NFA PhD Poster Session, FMA
Abstract: I show that pre-FOMC drift and FOMC announcement premium are realized only on the small subset of FOMC days preceded by key macro data releases. On the other two-thirds of all FOMC days, there is neither drift nor announcement premium. These equity returns are thus not unconditionally high around FOMC statements. Instead, they predominantly reflect reactions to new information, in particular to expectations regarding the path of monetary policy that are updated on key macro announcements. More broadly, financial market movements around FOMC statements strongly differ when key macro announcements immediately precede FOMC announcements. On this subset of FOMC days, conventional monetary policy shocks are predictable with past data, the Fed information effect can be observed, the secular decline in interest rates phenomenon around FOMC statements can be seen and the security market line slopes upwards. On all other FOMC days not preceded by macro news, the Fed information effect is absent, monetary policy shocks are not as predictable, there is no decline in interest rates around FOMC statements and the security market line is flat.
Presentations: Bank of Canada Student Paper Award 2021, AFA PhD Poster
Abstract: I develop a simple methodology to measure monetary news around non-FOMC macroeconomic announcements to examine its effects on asset prices. I focus on a parsimonious set of macro announcements that are directly relevant to the setting of Fed policy. While FOMC announcements are known to have similar effects during periods of conventional and unconventional monetary policies, I show that monetary news around macro announcements affect asset prices much less in the latter period. Moreover, bond premium, volatility and the overall resolution of uncertainty decrease less on these announcements during the unconventional period too. These findings are described in an information framework to argue that the falling precision of the signal that markets receive regarding forthcoming Fed actions potentially drives the diminishing impact of monetary news on asset prices on macro announcements. Taken together, the evidence suggests unconventional monetary policies deter market's ability to anticipate Fed actions, which has implications for its transmission to asset prices.
Media Coverage: Bloomberg
R&R Journal of Money, Credit and Banking
Abstract: This paper introduces a new comprehensive database of macroprudential policies, which combines information from various sources and covers 134 countries from January 1990 to December 2016. Using these data, we first confirm that loan-targeted instruments have a significant impact on household credit, and a milder, dampening effect on consumption. Next, we exploit novel numerical information on loan-to-value (LTV) limits using a propensity-score-based method to address endogeneity concerns. The results point to economically significant and nonlinear effects, with a declining impact for larger tightening measures. Moreover, the initial LTV level appears to matter; when LTV limits are already tight, the effects of additional tightening on credit is dampened while those on consumption are strengthened.
Pre-PhD Research (at the IMF)
Abstract: Traditional measures of leverage in the financial system tend to reflect bank balance sheet data. The paper argues that these traditional, bank-centric measures should be augmented by considering pledged collateral in the financial system since pledged collateral provides a measure of an important part of nonbank funding to banks. From a policy perspective, the paper suggests that a broader view on leverage will enhance our understanding of global systemic risk.