Ph.D. Candidate in Economics, Stanford University
Pronounce My Name
Hi, and welcome to my website! I am a Ph.D. student in the Economics department at Stanford University. I work on microeconomic theory, especially mechanism design and information economics, as well as financial networks.
You can reach me at agathep[at]stanford[dot]edu.
Informationally Simple Incentives with Simon Gleyze.
[abstract] [draft] [SSRN]
We consider a mechanism design setting in which agents can acquire costly information on their preferences as well as others'. The choice of the mechanism generates informational incentives as it affects what information is acquired before play begins. A mechanism is informationally simple if agents have no incentive to learn about others' preferences. This property is of interest for two reasons: First, the extended game has an equilibrium in dominant strategies only if it is informationally simple. Second, this endogenizes an "independent private value" property of the interim information structure. Our main result is that a mechanism is informationally simple only if it is de facto dictatorial. This holds for generic environments and any smooth cost function which satisfies an Inada condition. Hence even interim strategy-proof mechanisms incentivize agents to learn about others, and do not admit dominant strategies at the ex-ante stage. Moreover, the Independent Private Value assumption is unlikely to arise endogenously, though we show that full surplus extraction is infeasible.
(new draft) Credit Freezes, Equilibrium Multiplicity and Optimal Bailouts in Financial Networks with Matthew Jackson.
[abstract] [SSRN] [arXiv]
We analyze how interdependencies in financial networks can lead to self-fulfilling insolvencies and multiple possible equilibrium outcomes. We show that multiplicity arises if and only if there exists a certain type of dependency cycle in the network, and characterize banks' solvency in any equilibrium. We use this analysis to understand how to inject capital into banks so as to ensure solvency of all at minimum cost. We show that finding the cheapest bailout policy that prevents self-fulfilling insolvencies is computationally hard (and hard to approximate), but that the problem has intuitive solutions in specific network structures. Bailouts have an indirect value as making a bank solvent improves its creditors' balance-sheets and reduces their bailout costs, and we show how a simple algorithm that leverages these indirect benefits ensures systemic solvency at a total cost that never exceeds half of the total overall shortfall. In core-periphery networks, indirect bailouts—whereby the regulator bails out peripheral banks first as opposed to targeting core banks directly—are optimal.
Investment Incentives and Regulation in Financial Networks with Matthew Jackson.
In a model of financial networks that admits both debt and equity interdependencies, we show that financial organizations have incentives to choose excessively risky portfolios, and overly correlate their portfolios with those of their counterparties. We show how optimal regulation differs as a function of an organization's financial centrality and its available investment opportunities. We discover that optimal regulation depends non-monotonically on the correlation of banks' investments, with maximal restrictions for intermediate levels of correlation. Moreover, in standard core-periphery networks it can be uniquely optimal to treat banks asymmetrically: restricting the investments of one core bank while allowing an otherwise identical core bank (in all aspects, including in network centrality) to invest freely.
work in progress
Culture, Norms, and Systemic Corruption with Daron Acemoglu and Matthew Jackson.
surveys and expository writing
Systemic Risk in Financial Networks: A Survey with Matthew Jackson.
Annual Review of Economics, Vol. 13:171-202, 2021.
[abstract] [SSRN] [arXiv]
We provide an overview of the relationship between financial networks and systemic risk. We present a taxonomy of different types of systemic risk, differentiating between direct externalities between financial organizations (e.g., defaults, correlated portfolios and firesales), and perceptions and feedback effects (e.g., bank runs, credit freezes). We also discuss optimal regulation and bailouts, measurements of systemic risk and financial centrality, choices by banks' regarding their portfolios and partnerships, and the changing nature of financial networks.
Pronounce My Name
If you are wondering how to pronounce my name, know that you are not the first one and won't be the last either.
An easy way is to go for the English (old-fashioned) version of my name, Agatha—it gives me an early-XXth-century upper-class air, but I will happily answer to that.
If you want to go for the French pronunciation, this might help:
ag[riculture] + at