Working Papers

• "Two-sided Learning and Moral Hazard" (Job Market Paper -- updated version, December 2012)
  

Abstract: I study a class of continuous-time games in which one long-run agent and a population of small players learn about a hidden state from a public signal that is subject to Brownian shocks. The long-run agent can influence the small players' beliefs by affecting the publicly observable signal or by affecting the hidden state itself, in both cases in an additively separable way. The impact of the small players' beliefs on the long-run agent's flow payoff is nonlinear. At a general level, I show that the long-run agent's equilibrium incentives to distort public beliefs are characterized by ordinary differential equations (ODEs). These ODEs capture how the long-run agent's incentives are determined by the size of marginal flow payoffs, by cost-smoothing motives and by the impact of his actions on the small players' expectations about equilibrium play. I also obtain closed-form solutions for on- and off-equilibrium incentives in a subclass of games with Gaussian learning and quadratic preferences. Within this linear-quadratic framework, I develop applications to monetary policy in a context of unobserved components of inflation, as well as to procurement in a context of contractors' unobserved efficiency of providing goods.

• "Shock Persistence, Endogenous Skills and Career Concerns"

Abstract: I develop a continuous-time model of career concerns that incorporates human capital accumulation throughout the working life. In this model a worker is able to generate an output in diffusion form, with a drift that is the sum of the worker's effort and skills. Skills are modeled as Gaussian diffusions with an endogenous drift component reflecting on-the-job experience accumulation. I find that workers' incentives are crucially determined by the persistence of innovations to productivity. In this line, both under and over-provision of effort are robust steady-state equilibrium outcomes in settings where skills are exogenous. I also show that the value which reputation-driven agents attach to investing in human capital is always below its social counterpart. This is despite workers internalizing the full benefits and costs from acquiring skills. Finally, wages have both an effort and a reputational component. The latter always mean-revert towards current skills, which act as a moving-trend. As a result, human capital accumulation is able to generate increasing and concave profiles of wages.

• "Price Informativeness and Investment" with Yuliy Sannikov (in progress)

Predoctoral Work

• Sequential Procurement Auctions and their Effect on Investment Decisions with Nicolás Figueroa

Abstract: In this paper we characterize the optimal procurement mechanism and the investment level for an environment where two projects must be adjudicated sequentially, and the winner of the first project has the opportunity to invest in a distributional upgrade for its costs in the second project. We study 4 cases, based on the commitment level of the seller and the observability of the investment decision. We find that with commitment, the second period mechanism gives an advantage to the first period winner, and induces an investment level that is larger than the efficient one. With non-commitment, the second period mechanism gives a disadvantage to the first period winner, and induces an investment level that is smaller than the efficient one. Observability is irrelevant in the commitment case, but makes the effects more pronounced in the non-commitment case. Finally, we extend the model to allow for investment by a first period loser.

• A Note on the Comparative Statics of Optimal Procurement Auctions with Nicolás Figueroa

Abstract: We find a sufficient condition such that a distributional upgrade on a seller's cost distribution implies a lower expected procurement cost for a buyer. We also show that even under the strongest assumption about this upgrade made in the literature so far, the seller can be worse off, even if this upgrade is costless.

Teaching

Princeton (Teaching Assistant):

• Towbes Prize for Outstanding Teaching 2010-2011

• Introduction to Microeconomics (ECO100), Fall 2010 and Fall 2011

• The Great Recession: Causes, Consequences and Remedies (ECO348), Spring 2011

• Teaching Evaluations: [PDF]
  

Universidad de Chile (Lecturer):

• Continuous-Time Methods in Economics and Finance, December 2011, School of Engineering

(A two-week graduate course taught as a visiting lecturer at the Center for Finance)

Slides: [Probability Basics], [Stochastic Integration], [Asset Pricing], [SDEs], [Dynamic Programming], [Filtering]

• Introduction to Macroeconomics, Spring 2008, School of Engineering