Working papers

“A Static Capital Buffer Is Hard to Beat” with Matthew Canzoneri, Behzad Diba, and Arsenii Mishin, March 2026 — this paper was previously circulated with the title “Optimal Dynamic Capital Requirements and Implementable Capital Buffer Rules.” 

“Cyclical Fluctuations, Financial Frictions, and Productivity Differences across Firms” with Jinill Kim and Arsenii Mishin, 2026.

Older but not forgotten

“Can macro variables used in stress testing forecast the performance of banks?” with Michelle Welch, 2012.

“Oil Efficiency, Demand, and Prices: a Tale of Ups and Downs” with Martin Bodenstein, 2011.

covid_paper_figure

There is a tenuous predictive relationship between the ratio of nonfinancial credit to GDP and GDP two years ahead. Setting bank capital requirements following a simple rule based on the credit-to-GDP ratio is not a good idea in our model even if the model encapsulates a predictive relationship in line with the observed data.

A Static Capital Requirement is Hard to Beat

with Matt Canzoneri, Behzad Diba and Arsenii Mishin — latest version March 2023

Rules that respond to cyclical conditions fail to prevent excessive risk taking, whereas a static capital buffer performs nearly as well as the Ramsey rule.