Khwaja-Mian (2008) Estimator

July 2020

In this post, I explain the Khwaja-Mian (2008) estimator, which is a technique used to control for credit demand shocks in order to identify credit supply shocks i.e. the "bank lending channel." Authors introduce time-variant firm fixed effects to fully capture the demand for credit by focusing on firms with multiple banking relationships. They actually do more than this, but subsequent papers citing this paper only refer to the inclusion of fixed effects.

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Expectation Extraction

September 2020

Asset prices and portfolio holdings encode information about investor beliefs about the future and about investors' concerns for risk. A natural empirical exercise is to use the financial market data to extract such information. In this post, I briefly outline a few approaches that have emerged recently.