Working Papers

Limits to Arbitrage and Runs on Stablecoins

When a safe asset is publicly traded, limits to arbitrage may cause its price to deviate from fundamentals. Investors may perceive this event as a signal of weak fundamentals, leading to a run on the asset. I demonstrate this novel mechanism using the sequence of events leading to Terra's crash. While the arbitrage mechanism pegging Terra to $1 broke down on May 7, 2022, other indicators did not signal trouble until later. Investors did not flee Terra, adverse selection risk did not increase, negative information did not spread, and disagreement among investors did not rise until May 9.

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The Internet and the Housing Market: The Spillover Effect of the Digital Divide on Home Buyers

In this paper, I examine the effect of broadband availability on loan amounts and interest rates for mortgage applicants. Using data from HMDA, FCC Form 477, US Census Bureau demographics, and Microsoft research on broadband penetration and usage, I conduct an empirical analysis for the period from 2018 to 2020. The study finds that broadband availability has steadily increased in the United States. As broadband penetration and usage rise, the results indicate a decrease in interest rates and an increase in loan amounts for home buyers. Additionally, I explore whether increased broadband usage enhances competition among mortgage lenders, but the findings do not support this hypothesis.

Publications

Valuation when disaster risks increase at an increasing rate

Atmospheric CO2 been growing at an increasing rate for many years and this suggests that investments may face an increasing rate of future disaster risk. We provide a simple variation of the Gordon Growth model that accounts for potential increasing disaster risks and provides a closed-form bound to the reduction in value.

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BIB

Other Publications : How will the Universe end? Field Citation Ratio: 14.72

An exposition on Friedmann cosmology with negative energy densities

How would negative energy density affect a classic Friedmann cosmology? Although never measured and possibly unphysical, certain realizations of quantum field theories leaves the door open for such a possibility. In this paper we analyze the evolution of a universe comprising varying amounts of negative energy forms. Negative energy components have negative normalized energy densities, Ω < 0. They include negative phantom energy with an equation of state parameter w < −1, negative cosmological constant: w=−1, negative domain walls: w = −2/3, negative cosmic strings: w=−1/3, negative mass: w = 0, negative radiation: w = 1/3 and negative ultralight: w > 1/3. Assuming that such energy forms generate pressure like perfect fluids, the attractive or repulsive nature of negative energy components are reviewed. The Friedmann equation is satisfied only when negative energy forms are coupled to a greater magnitude of positive energy forms or positive curvature. We show that the solutions exhibit cyclic evolution with bounces and turnovers.The future and fate of such universes in terms of curvature, temperature, acceleration, and energy density are reviewed. The end states are dubbed ``big crunch," `` big void," or ``big rip" and further qualified as ``warped",``curved", or ``flat",``hot" versus ``cold", ``accelerating" versus ``decelerating" versus ``coasting". A universe that ends by contracting to zero energy density is termed ``big poof." Which contracting universes ``bounce" in expansion and which expanding universes ``turnover" into contraction are also reviewed.

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