**Working Papers, Work in Progress and other works**

**Asset Pricing and Reserve Requirements (2016)**

Abstract: I develop a consumption-based asset pricing model to account for reserve requirements. The model includes remuneration on both required and excess reserves, and as a result: Assets whose investors face reserve requirements exhibit an alpha different from zero in equilibrium. Assuming homogeneity in the reserve requirements the abnormal return depends on the value of the reserve requirement, and the spread between risk free bonds and reserve remuneration. For the heterogeneous version I use a numerical procedure to isolate the effect from both the reserve requirement and the proportion of investors facing reserve requirements. As a result, controlling for the proportion of investors that are constrained, higher reserve requirements increase the abnormal return. However, controlling for reserve requirements, the impact of a higher fraction of constrained investors is ambiguous since it depends on the distribution of endowments across time. Finally, I propose a mechanism to control the factor loading in the economy using a reserve remuneration contingent on the future state of nature. The factor loading of any asset when reserve remunerations are risky depends on the ex-ante factor loading,

the average reserve requirement and the covariance between the stochastic discount factor and reserve remunerations. Negative correlations between remunerations and consumption decreases the exposure to systemic risk.

**Reserve Requirements in a New Keynesian Framework (2016)**

Abstract: I develop a variant of the classical New Keynesian model to account for a banking sector and reserve requirements. Reserve requirements comply as a complementary monetary policy to interest rates, and the optimal policy relies on both. Higher reserve requirements increase the required return on investment for firms, reducing their demand for capital and therefore aggregate output. I derive theoretically a closed form expression for the joint optimal monetary policy using an approximation of the welfare loss function.

What can the risk neutral moments tell us about future returns? M.Sc Thesis (2015) with Nuria Mara

Abstract: We test if the first four moments of the risk neutral distribution implicit in options’ prices predict market returns. We estimate the risk neutral distribution of the S & P 500 over different frequencies using a non parametric polynomial fitting, and test if the first four moments of the distribution predict returns of the S & P 500. Our results suggest that there is no evidence on this predictability power.