JULIANE BEGENAU [email protected] http://www.people.hbs.edu/jbegenau Harvard Business School Baker Library 365 Boston, MA 02163 Phone: 617-496-0600

EMPLOYMENT 2014 –

Harvard Business School, Assistant Professor of Finance Teaching assignments: 2014: Finance 1, MBA Required Curriculum

OTHER AFFILIATIONS 2016 –

National Bureau of Economic Research, US, Faculty Research Fellow Economic Fluctuations & Growth

EDUCATION 2014

Ph.D. in Economics, Stanford University

2002 – 2008

Diplom in Economics, Humboldt University, Berlin, (Germany)

2004 – 2005

Exchange Student, Ecole Normale Supérieure (ENS), Cachan, (France)

RESEARCH INTERESTS Macroeconomics, Financial Economics, Banking RESEARCH PAPERS Financial Regulation in a Quantitative Model of the Modern Banking System (joint with Tim Landvoigt), WFA Award for the Best Paper on Financial Institutions How does the shadow banking system respond to changes in the capital regulation of commercial banks? This paper builds a quantitative general equilibrium model with commercial banks and shadow banks to study the unintended consequences of capital requirements. A key feature of our model are defaultable bank liabilities that provide liquidity services to households. The quality of the liquidity services provided by bank liabilities depends on their safety in case of default. Commercial bank debt is fully insured and thus provides full liquidity. However, commercial banks do not internalize the social costs of higher leverage in the form of greater bankruptcy losses (moral hazard), and are subject to a regulatory capital requirement. In contrast, shadow bank liabilities are subject to runs and credit risk and thus typically less liquid compared to commercial banks. Shadow banks endogenously limit their leverage as they internalize its costs. Tightening the commercial banks' capital requirement from the status quo leads to safer commercial banks and more shadow banking activity in the economy. While the safety of the financial system increases, it

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provides less liquidity. Calibrating the model to data from the Financial Accounts of the U.S., the optimal capital requirement is around 20%. Capital Requirements, Risk Choice, and Liquidity Provision in a Business Cycle Model), R&R JFE This paper develops a quantitative dynamic general equilibrium model in which households' preferences for safe and liquid assets constitute a violation of Modigliani and Miller. I show that the scarcity of these coveted assets created by increased bank capital requirements can reduce overall bank funding costs and increase bank lending. I quantify this mechanism in a two-sector business cycle model featuring a banking sector that provides liquidity and has excessive risk-taking incentives. Under reasonable parametrizations, the marginal benefit of higher capital requirements related to this channel significantly exceeds the marginal cost, indicating that US capital requirements have been sub-optimally low. Firm Financing over the Business Cycle (joint with Juliana Salomao) In the data, large public firms substitute between debt- and equity financing over the business cycle whereas small firms' financing policy is pro-cyclical for debt and equity. This paper proposes a mechanism that explains these cyclical patterns. Small firms grow faster and need therefore more funds compared to large firms. During times with high aggregate productivity, they quickly exhaust their endogenous debt limit and must turn to equity financing. In contrast, large firms are close to their efficient scale and want to payout to shareholders. Good times lower the probability of default, decreasing the costs of debt financing for large firms so that debt is used to payout to shareholders. We embed this mechanism in a quantitative firm industry model with endogenous firm dynamics and explore how macroeconomic shocks get amplified. Firm Selection and Corporate Cash Holdings (joint with Berardino Palazzo) We show that a change in the composition of firms at IPO is responsible for the secular increase in average cash holdings of public U.S. firms. While the typical public U.S. firm experiences a decline in the cash-to--asset ratio over time, firms go public with progressively higher cash balances. This selection effect, mostly driven by R&D--intensive firms, reverses the negative within--firm time trend. We use a simple firm industry model with endogenous entry to illustrate how not accounting for selection may lead to incorrect inference about the causes of the secular increase in cash holdings and cash flow volatility. Banks’ Risk Exposure (joint with Monika Piazzesi and Martin Schneider), R&R Econometrica This paper studies US banks’ exposure to interest rate and default risk. We exploit the factor structure in interest rates to represent many bank positions as portfolios in a small number of bonds. This approach makes exposures comparable across banks and across the business segments of an individual bank. We also propose a strategy to estimate exposure due to interest rate derivatives from regulatory data on notional and fair values together with the history of interest rates. Remapping the Flow of Funds (joint with Monika Piazzesi and Martin Schneider) (2012), Chapter in NBER book Risk Topography: Systemic Risk and Macro Modeling, Markus K. Brunnermeier and Arvind Krishnamurthy, editors This article argues that quantitative analysis of credit market positions would benefit tremendously if the additional information about the structure of payment streams were more readily available. Most available data on credit market positions, such as the Flow of Funds Accounts report accounting measures such as book value or fair value. In contrast, most economic analysis views asset positions as random payment streams that are valued by state prices. The latter view typically requires additional information, in

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particular the maturity or next repricing date of the instrument, the promised interest rate, call or prepayment provisions, and the credit rating of the borrower. Lessons from the Financial Flows of the Great Recession (joint with Saki Bigio and Jeremy Majerovitz) We investigate the financial flows recorded in the United States during 2007-2009. First, we study the empirical consistency of the fire-sale hypothesis, the idea that bank lending was crowded out by the absorption of shadow-bank assets. This hypothesis is inconsistent. Data suggests that banks mostly intermediated the purchase of shadow-bank assets by the Fed, but did not use their lending capacity. Second, we study the consistency of the net-worth shock hypothesis. Again, the data reveals an inconsistency: bank book-equity losses were offset by equity issuances. Market-value losses, which in turn, provide a more precise diagonosis of a bank's health, were catastrophic. Although market leverage increased dramatically for many banks, these banks delevered very slowly. Whereas before the crisis, a bank would have tried to liquidate assets to delever, post-crisis the same bank relied on equity issuances. We present a model with strategic leverage accounting that can reconciles these inconsistencies. WORK IN PROGRESS Inefficient Banking (joint with Erik Stafford) Monetary Policy, Funding Flows, and Financial Stability (joint with Sam Hanson and Adi Sunderam)

TEACHING EXPERIENCE 20142011, 2013 2012 2010 2010

Finance 1, MBA Required Curriculum, Harvard Business School Teaching Assistant, Prof. Martin Schneider, Graduate Macro, Stanford Teaching Assistant, Prof. Pablo Kurlat, Undergraduate Macro, Stanford Teaching Assistant, Prof. John Taylor, Graduate Macro, Stanford Teaching Assistant, Prof. Monika Piazzesi, Graduate Macro, Stanford

SCHOLARSHIPS, HONORS AND AWARDS 2016 2013-2014 2013 2012-2013 2011 2010 2008-2009 2008-2009 2004-2005

WFA Award for the Best Paper on Financial Institutions for “Financial Regulation in a Quantitative Model of the Modern Banking System” MFM dissertation grant from the Alfred P. Sloan Foundation, University of Chicago B.F. Haley and E.S. Shaw Fellowship, (stipend and tuition), Stanford University Kohlhagen Fellowship, (stipend and tuition), Stanford University Financial Support by the Hoover Institution George P. Schultz Scholar, Stanford University Barbara Finberg Fellowship, (stipend and tuition), Stanford University DAAD Scholarship Erasmus Fellowship, European Community

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PROFESSIONAL ACTIVITIES Referee

American Economic Review, American Economic Journal: Macroeconomics, American Economic Journal: Economic Policy, Econometrica, Journal of Banking and Finance, Journal of Finance, Journal of Financial Economics, Journal of Monetary Economics, Journal of Political Economy, Management Science, Quarterly Journal of Economics, Review of Economic Dynamic, Review of Economic Studies, Review of Financial Studies

Conference Program

ASSA 2017 SED session

PRESENTATIONS (i ncluding scheduled, *co-author) 2017

ASSA Meetings (AFA, SED)

2016

AFA, Econometric Society*, MFM 2016 Winter meeting, Utah Winter Finance Conference, Mid Western Finance Association*, Stanford Junior Finance Conference, Northwestern (Kellogg), Federal Reserve Bank of New York, NYU junior macro-finance conference, Swiss Finance Institute, Texas Finance Festival*, Bundesbank*, Western Finance Association, Banque de France, Society of Economic Dynamics (Toulouse) NBER SI*, Yale Junior Conference, San Francisco FED, Berkeley (Haas), University of Wisconsin-Madison, U-Penn’s Conference on Credit and the Macroeconomy

2015

University of Pennsylvania (Wharton), UBC Winter Conference, MFM meeting, Boston University, Federal Reserve (Board), London Business School, Stockholm IIES, European Central Bank, NY Fed/NYU Conference, Georgia State, Goethe University Frankfurt, Barcelona GSE Summer Forum, Society of Economic Dynamics Warsaw, NBER SI, 6th Banco de Portugal Conference on Financial Intermediation, Summer Finance Conference - IDC Herzliya, CITE Conference, EEA, Tepper/LAEF Conference, Federal Reserve Bank of Boston, German Economist Christmas Meeting at LMU

2014

Bentley University, Bocconi University, Columbia Business School, Duke University (Fuqua School of Business), European University Institute, Federal Reserve Bank of Boston, Federal Reserve Bank of New York, Federal Reserve Bank of Richmond, Federal Reserve Bank of St. Louis, Harvard Business School, Cornell’s Johnson School of Management, New York University (Stern), Northwestern University, Society of Economic Dynamics Toronto*, University of California Berkeley (Haas), University of California Los Angeles (Anderson), University of Chicago, University of Minnesota (Carlson), University of Southern California (Marshall School of Business)

DISCUSSIONS     

Rampini, Viswanathan, Vuillemey: “Risk management in financial institutions”, 2016 (Wharton Liquidity and Crises) Barattieri, Moretti, Quadrini: “Bank Interconnectivity and Leverage”, 2016 (NBER EFEL SI) Elenev, Landvoigt, Van Nieuwerburgh: “Phasing out the GSEs”, 2016 (WFA) Fueki, Huertgen, Walker: “Zero-Risk Weights and Capital Misallocation”, 2016 (Deutsche Bundesbank) Christiano and Ikeda: “Bank Leverage over the Business cycle”, 2016 (AEA Meetings SF)

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Ippolito, Ozdagli, Perez: “The Transmission of Monetary Policy through Bank Lending: The Floating Rate Channel”, 2015 (conference on “Monetary Policy Implementation and Transmission in the PostCrisis Period”, Federal Reserve Board) Bocola and Dovis: “Indeterminacy in Sovereign Debt Markets: A Quantitative Analysis”, 2015 (MIT Sloan Junior Finance Faculty Conference) Drechsler, Savov, Schnabl: “The Deposit Channel of Monetary Policy”, 2015 (NBER CF SI) Glenn Schepens: ‘Taxes and Bank Capital Structure”, 2015 (AFA) Charles Boissel: “Can Big Players Affect Aggregate Lending Fluctuations - Evidence From Banks’ Acquisitions”, 2014 (Carefin Conference)

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