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Author:Ebsim, Mahdi 

Working Paper
Credit and Liquidity Policies during Large Crises

We study the evolution of firm financials during two large crises: the Great Financial Crisis (GFC) and the COVID-19 pandemic. While the two crises featured similar increases in corporate spreads, corporate debt and liquid asset holdings moved in opposite directions. The micro-data reveal that firm leverage was a more important predictor of firm-level credit spreads and investment during the GFC, but that firm funding liquidity was more important during the pandemic. We augment a dynamic model of firm capital structure with an explicit motive to hold liquid assets, and calibrate it to match ...
Working Papers , Paper 2020-035

Corporate Bond Spreads and the Pandemic III: Variance across Sectors and Firms

Corporate bond spreads widened when COVID-19 initially began spreading, then spreads stabilized. How have spreads fared across individual sectors and issuances from the same firm?
On the Economy

Corporate Bond Spreads and the Pandemic IV: Liquidity Buffers

The cost of borrowing rose for most firms during the pandemic-related disruption of financial markets, but firms with greater liquidity have had smaller increases in credit spreads.
On the Economy

Working Paper
Anatomy of Corporate Credit Spreads: The Great Recession vs. COVID-19

We compare the evolution of corporate credit spreads during the Great Recession and the COVID-19 pandemic. The two crises featured increases of similar magnitudes in the median and cross-sectional dispersion of credit spreads, but the pandemic was short-lived and different sectors were affected. The micro-data reveal larger differences between the two episodes: the Great Recession featured an increase in the across-firm dispersion, and leverage was an important predictor of credit spreads. Differently, the COVID-19 crisis displayed a larger increase in within-firm dispersion, and funding ...
Working Papers , Paper 2020-035

Working Paper
The Local-Spillover Decomposition of an Aggregate Causal Effect

This paper presents a method to decompose the causal effect of government defense spending into: (i) a local (or direct) effect, and (ii) a spillover (or indirect) effect. Each effect is measured as a multiplier: the unit change in output of a one unit change in government spending. We apply this method to study the effect of U.S. defense spending on output using regional panel data. We estimate a positive local multiplier and a negative spillover multiplier. By construction, the sum of the local and spillover multipliers provides an estimate of the aggregate multiplier. The ...
Working Papers , Paper 2021-006

Working Paper
A Local-Spillover Decomposition of the Causal Effect of U.S. Defense Spending Shocks

This paper decomposes the causal effect of government defense spending into: (i) a local (or direct) effect, and (ii) a spillover (or indirect) effect. Using state-level defense spending data, we show that a negative cross-state spillover effect explains the existing simultaneous findings of a low aggregate multiplier and a high local multiplier. We show that enlisting disaggregate data improves the precision of aggregate effect estimates, relative to using aggregate time series alone. Moreover, we compare two-step efficient GMM with two alternative moment weighting approaches used in ...
Working Papers , Paper 2020-014

Credit Spreads during the Financial Crisis and COVID-19

Corporate bond credit spreads widened during both the financial crisis and COVID-19 pandemic. How did spreads respond to policy actions?
On the Economy

Corporate Bond Spreads and the Pandemic

How have the COVID-19 pandemic and subsequent monetary policy response affected the corporate bond market?
On the Economy

Working Paper
The Sine Aggregatio Approach to Applied Macro

We develop a method to use disaggregate data to conduct causal inference in macroeconomics. The approach permits one to infer the aggregate effect of a macro treatment using regional outcome data and a valid instrument. We estimate a macro effect without (sine) the aggregation (aggregatio) of the outcome variable. We exploit cross-series parameter restrictions to increase precision relative to traditional, aggregate series estimates and provide a method to assess robustness to modest departures from these restrictions. We illustrate our method via estimating the jobs effect of oil price ...
Working Papers , Paper 2022-014

Corporate Bond Spreads and the Pandemic II: Heterogeneity across Sectors

The COVID-19 pandemic’s effects on firm borrowing costs have been heterogeneous, with some sectors being more affected than others.
On the Economy

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