Position

PhD Student

Research interests

Macrofinance, Banking, Financial Frictions, Regulations 

Short Biography

• 2010-2012 MPhil in Economics at Tinbergen Institute
• 2005-2010 MA in Economics at Warsaw School of Economics

Personal Website

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Curriculum Vitae

• CV to download

Teaching activities

International Trade and Investment 

1. Shadow Banking and Traditional Bank Lending: the Role of Implicit Guarantees (JOB MARKET PAPER)

I construct a simple model to study the incentives of bank holding companies (BHCs) to involve in shadow banking activities. BHCs invest in risky projects through bank entities or sell projects for a fee, thus engaging in shadow banking. To increase the fee income, BHCs guarantee sold projects with bank proceeds. When the demand for financial assets is high, BHCs expand their own bank investments to increase the value of guarantees and to boost the off-balance intermediation. The traditional banking and the shadow banking sectors both expand, bank defaults are more frequent, and costs of deposit insurance are higher than in the absence of guarantees to shadow banking sector. For high social costs of interventions, the welfare-maximizing minimum capital requirement lies below the level optimal in the absence of shadow banking.

2. Banking Union Optimal Design under Moral Hazard,  joint with M.A. Zoican (VU University Amsterdam, Tinbergen Institute)

A banking union limits international bank default contagion, eliminating ineffcient liquidations. For particularly low short-term returns, it also stimulates interbank flows. Both effects improve welfare. An undesirable effect arises for moderate moral hazard, since the banking union encourages risk taking by systemic institutions. If banks hold opaque assets, the net welfare effect of a banking union can be negative. Restricting the banking union mandate restores incentives, improving welfare. The optimal mandate depends on moral hazard intensity and expected returns. Net creditor countries should contribute most to a joint resolution fund, less so if a banking union distorts incentives.

3. Interbank Market Structure and Bank Ownership: the Scope for Regulatory Policies. (Research project awarded the National Bank of Poland Research Grant for 2014)

I construct a financial network model where a significant share of bank assets is owned by foreign institutions, and where bank defaults spread to the system through two channels: through interbank exposures, and via fire sales of correlated assets. Foreign bank ownership attenuates the bank lending channel of monetary policy and makes the domestic banking sector sensitive to economic conditions abroad. Interbank lending weakens the bank lending channel and increases concentration in the banking sector. The structure (sparse versus dense) and the type (long-term versus liquidity) of interbank markets  matter for transmission of shocks into the financial sector. Finally, effectiveness of ex-post regulatory policies depends on the timing of interventions. Early capital injections and liquidity provision prevent fire sale effects and reduce negative effects of a system-wide shock the most.

4. Financial Frictions and the Credit Transmission Channel: Capital Requirements and Bank Capital, joint with S. van Wijnbergen (University of Amsterdam, Tinbergen Institute)

We investigate actual capital chosen by banks in presence of capital minimum requirements and ex-post penalties for violating them. The model yields excess capital that is always positive and increases during times of distress in the economy, which is in line with empirical evidence. Next, we show that in presence of ex-post violation penalties the introduction of the conservation buffer under Basel III will not contribute to lowering the pro-cyclicality of capital regulations. The countercyclical buffer proposed under Basel III is then even more desirable as it significantly attenuates fluctuations of actual capital also when the penalties are accounted for.

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