Hello! I am a PhD candidate in Economics at Oxford. I study the macroeconomic and financial effects of climate change and climate policy. My research combines structural models from international economics and finance with empirical evidence, utilising text based and machine learning methods.

Previously, I was a PhD intern at the Bank of England.

Research Papers

Climate Change, Adaptation, and Sovereign Risk
Draft available upon request

Abstract

How costly are natural disasters for emerging markets? I consider this question paying special attention to the role of adaptation and financial frictions limiting fiscal space. A sovereign default model augmented with natural disasters and endogenous adaptation predicts that i) climate change increases borrowing costs, ii) adaptation reduces borrowing costs, and iii) default risk constrains adaptation. These economies suffer from an 'adaptation trap': high borrowing costs restrict adaptation, leading to higher losses from disasters and higher borrowing costs in the future. In order to test these predictions I construct a novel measure of adaptation using text analysis to identify adaptation expenditures in government budgets. Consistent with the model, I document a robust positive relationship between sovereign ratings and adaptation as well as a positive causal effect of cyclone strikes on default risk that is attenuated by adaptation. The sovereign risk- adaptation channel is quantitatively important in the calibrated model. In the Caribbean 10% of GDP losses from cyclones are due to default risk. Debt relief is effective in mitigating these losses.

The Carbon Premium and Policy Risk Exposure: A Text-Based Approach Draft available upon request

Abstract

Shifts in climate policy stringency have heterogeneous effects on firms’ profitability. Does the market price this risk? This paper provides new evidence on this question, utilising a supervised machine learning algorithm to construct a firm-level measure of climate policy risk exposure. Firms exposed to climate policy risk have negative abnormal returns on climate policy announcement days. I build a set of such dates and characterize abnormal return responses using Risk Factors discussions in 10-K filings. The algorithm uncovers predictors of policy risk exposure in the text which are used to construct an exposure score for each firm. This exposure score is correlated with emissions, environmental lobbying behaviour, and is predictive out of sample. Higher exposure is not associated with a premium. Green preference shifts are considered as a mechanism to rationalize this result. I find that empirically identified preference shocks can partly explain the lack of a climate policy risk premium.

Work in Progress

Climate Tariffs, Firm Heterogeneity, and Productivity
with Martin Bodenstein, Federico Di Pace, Aydan Dogan and Marco Garofalo

Abstract

Disasters and Global Imbalances
with Andrea Ferrero

Abstract

Market Neutrality and Climate Non-Neutrality

Abstract