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I am an Assistant Professor in Finance at Tilburg University. As of September 2023 I will be joining Imperial College London.
My research interests are in financial intermediation, political economy of finance and climate finance. I am a member of Finance Theory Group and a co-organizer of PolEconFin, an initiative aimed at connecting researchers interested in political economy of finance. I am co-organizing the CEPR conference series on the Political Economy of Finance, the next edition takes place on 20th of October (click here to for the Call for Papers, deadline: 11th of June). Email: m.a.rola-janicka@uvt.nl |
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Selected working papers
Too Levered for Pigou: Carbon Pricing, Financial Constraints and Leverage Regulation
joint with Robin Döttling, my contribution has been prepared under the Lamfalussy Fellowship Programme sponsored by the ECB
We analyze jointly optimal carbon pricing and leverage regulation in a model with financial constraints and endogenous climate-related transition and physical risks. The socially optimal emissions tax is below the Pigouvian benchmark (equal to the direct social cost of emissions) when emissions taxes amplify financial constraints, or above this benchmark if physical climate risks have a substantial impact on collateral values. Additionally introducing leverage regulation can be welfare-improving only if tax rebates are not fully pledgeable. A cap-and-trade system or abatement subsidies may dominate carbon taxes because they can be designed to have a less adverse effect on financial constraints.
Presentations: Toulouse School of Economics, Finance Theory Group Member Meeting, Humboldt University Berlin, BSE Summer Forum, Vienna Festival of Finance Theory, Oxford Said - Risk Center at ETH Zurich Macro-finance Conference, Stanford Institute for Theoretical Economics, HEC Paris "Banking in the Age of Challenges Conference", Imperial College London, Bank of Spain, HEC Paris (scheduled), WFA (scheduled)
Presentations: Toulouse School of Economics, Finance Theory Group Member Meeting, Humboldt University Berlin, BSE Summer Forum, Vienna Festival of Finance Theory, Oxford Said - Risk Center at ETH Zurich Macro-finance Conference, Stanford Institute for Theoretical Economics, HEC Paris "Banking in the Age of Challenges Conference", Imperial College London, Bank of Spain, HEC Paris (scheduled), WFA (scheduled)
The Political Economy of Prudential Regulation
2020 Best Job Market Paper in Finance Theory
This paper introduces a voting model into a framework with negative borrowing externalities to study how income inequality affects voter preferences for prudential regulation and the resulting equilibrium policy. When voting agents account for the general equilibrium impact of prudential policy on future asset prices and their access to credit. Consequently, borrowers support a universal limit on current debt. Curbing over-borrowing restricts future declines in asset prices, distributing wealth from high- to low-income borrowers, so the former prefer laxer regulation. Imperfections in enforcement distort the marginal value of regulation, so that borrowers who anticipate exemptions support an excessively strict policy. Imperfect enforcement can interact with income inequality to reverse the direction of the policy conflict between high- and low-income borrowers.
Selected Presentations: FTWebinar, FIRS 2022, OxFit 2021, 7th FIN FIRE Workshop, Swiss Winter Conference on Financial Intermediation "Lenzerheide" 2021, CEPR Advanced Forum in Financial Economics, INSEAD, ECB Young Economist Competition 2020 (poster), ECB DG Research.
Selected Presentations: FTWebinar, FIRS 2022, OxFit 2021, 7th FIN FIRE Workshop, Swiss Winter Conference on Financial Intermediation "Lenzerheide" 2021, CEPR Advanced Forum in Financial Economics, INSEAD, ECB Young Economist Competition 2020 (poster), ECB DG Research.
Publications
The Good, the Bad and the Missed Boom
joint with Enrico Perotti, The Review of Financial Studies, Volume 35, Issue 11, November 2022, pages 5025-5056
Some credit booms result in financial crises. While excessive risk taking is a plausible cause, many investors do not anticipate increasing risk. We show that credit booms may be misunderstood as productivity-driven, due to opaque bank assets which disguise risk incentives. Balanced funding relative to productive prospects can sustain prudent lending (good boom), while funding imbalances may induce high risk exposure and boost asset prices (bad boom), or lead to asset under-pricing and insufficient lending (missed boom). Rational agents drawing inference from prices make mistakes that can amplify the effect of funding imbalances and propagate risk.
On the Interaction Between Different Bank Liquidity Requirements
joint with Markus Behn and Renzo Corrias, ECB Macroprudential Bulletin October 2019 Issue 9
The post-crisis regulatory framework introduced multiple requirements on banks’ capital and liquidity positions, sparking a discussion among policymakers and academics on how the various requirements interact with one another. This article contributes to the discussion on the interaction of different regulatory metrics by empirically examining the interaction between the liquidity coverage ratio (LCR) and the net stable funding ratio (NSFR) for banks in the euro area. The findings suggest that the two liquidity requirements are complementary and constrain different types of banks in different ways, similarly to the risk-based and leverage ratio requirements in the capital framework. This dispels claims that the LCR and the NSFR are redundant and underlines the need for a faithful and consistent implementation of both measures (and the entire Basel III package more broadly) across all major jurisdictions, to maintain a level playing field at the global level and to ensure that the post-crisis regulatory framework delivers on its objectives.