Role of Heterogeneity in Financial Frictions

Last updated on Sep 29, 2020

A major continuing direction in my research is the investigation of new approaches to real financial frictions. This includes applying computer science/statistics style learning and inference to models with heterogeneity of information.

Along the way, I have examined, and will continue to investigate, alternative stories such as the role of limited liability, incomplete markets, and commitment.

Research

Commitment and Investment Distortions Under Limited Liability

By financing new investments with debt, firms can use limited liability to credibly commit to defaulting earlier—allowing both firm owners and new creditors to benefit from diluting existing creditors.
Jesse Perla, Carolin Pflueger, Michal Szkup
PDF Project
Commitment and Investment Distortions Under Limited Liability

Information, Trading Technology, and Financial Sector Profits

Common wisdom in financial markets is that there is temporary arbitrage, or at least a skewed split of surplus, that can be exploited …
Jesse Perla, Michal Szkup, Shengxing Zhang
Project

Complexity Constrained Walrasian Equilibria: Welfare Loss and Market Structure

Walrasian market clearing requires solving a large-scale optimization (or, potentially, fixed-point) problem. Algorithms for the …
Jesse Perla
Project