arXiv subjects

Santiago Camara

Publications and source records attributed to Santiago Camara.

13 recordsLinked to original sources

arXiv2026

Bank Earnings, Credit Supply & the Macroeconomy: Evidence from Canada

This paper studies whether news about banks' balance sheets propagates to aggregate financial conditions and macroeconomic activity. We construct high-frequency Canadian bank net-worth shocks using stock-price reactions around earnings announcements of the six large Canadian banks. Guided by a model in which higher intermediary net worth expands credit supply and lowers borrowing spreads, we use the co-movement between bank equity prices and Canadian corporate spreads to purge raw bank equity surprises from contaminating information. Favorable purged credit-supply bank net-worth shocks lower corporate spreads, raise bank valuations and broader equity prices, appreciate the Canadian dollar, and increase real activity over the medium run. The results are robust across specifications, samples, and additional outcomes, and suggest that bank earnings news is macroeconomically relevant in concentrated banking systems.

econ.GN↗

arXiv2026

Sign-Dependent Spillovers of Global Monetary Policy

This paper examines the sign-dependent international spillovers of Federal Reserve and European Central Bank monetary policy shocks. Using a consistent high-frequency identification of pure monetary policy shocks across 44 advanced and non-advanced economies and the methodology of Caravello and Martinez-Bruera, 2024, we document strong asymmetries in international transmission. Linear specifications mask these effects: contractionary shocks generate large and significant deteriorations in financial conditions, economic activity, and international trade abroad, while expansionary shocks yield little to no measurable improvement. Our results are robust across samples, identification strategies, and the framework proposed by Ben Zeev et al., 2023.

econ.GN↗

arXiv2025

Global Banks' Spillovers to Emerging Markets: Macro to Micro Transmission

This paper studies how shocks to global banks' net worth transmit to Emerging Market Economies. Using the identification strategy of Ottonello and Song (2022), which isolates high-frequency surprises to banks' credit supply capacity, we show that positive shocks appreciate local currencies, lower external borrowing costs, increase capital flows to domestic banking sectors, and raise investment, credit, and real activity across EMEs. These effects are highly robust across specifications and samples. Using administrative credit-registry data from Uruguay, we find that better capitalized banks transmit global credit easing more strongly. At the firm level, responses are weaker for more leveraged firms, especially those with foreign-currency debt, short maturities, or collateral not priced to market.

econ.GN↗

arXiv2025

In-between Transatlantic (Monetary) Disturbances

This paper studies the spillovers of European Central Bank (ECB) interest rate shocks into the Canadian economy and compares them with those of the U.S. Federal Reserve (Fed). We combine a VAR model and local projection regressions with identification strategies that explicitly purge information effects around policy announcements. We find that an ECB rate hike leads to a depreciation of the Canadian dollar and a sharp contraction in economic activity. The main transmission channel is international trade: ECB shocks trigger a decline in oil prices and exports, while leaving domestic financial conditions largely unaffected. By contrast, Fed shocks tighten Canadian financial conditions significantly, with more limited effects on trade flows. These findings show that Canada is exposed to foreign monetary policy both directly and indirectly, through its integration in global financial and trade markets.

econ.GN↗

arXiv2024

US Spillovers of US Monetary Policy: Information effects & Financial Flows

This paper quantifies the international spillovers of US interest rates by explicitly controlling for the "Fed Information Effect". I use multiple identification strategies that identify two components of monetary policy surprises around FOMC meetings: a pure US monetary policy shock component and a "Fed Information Effect" component. On the one hand, a US tightening caused by a pure US monetary policy component leads to an economic recession, an exchange rate depreciation and tighter financial conditions. On the other hand, a tightening of US monetary policy caused by the "Fed Information Effect" leads to an economic expansion, an exchange rate appreciation and looser financial conditions. Ignoring the "Fed Information Effect" biases the impact of US interest rates and may explain recent atypical findings which suggest an expansionary impact of US monetary policy shocks on the rest of the world.

econ.GN↗

arXiv2023

International Spillovers of ECB Interest Rates: Monetary Policy & Information Effects

This paper shows that disregarding the information effects around the European Central Bank monetary policy decision announcements biases its international spillovers. Using data from 23 economies, both Emerging and Advanced, I show that following an identification strategy that disentangles pure monetary policy shocks from information effects lead to international spillovers on industrial production, exchange rates and equity indexes which are between 2 to 3 times larger in magnitude than those arising from following the standard high frequency identification strategy. This bias is driven by pure monetary policy and information effects having intuitively opposite international spillovers. Results are present for a battery of robustness checks: for a sub-sample of ``close'' and ``further away'' countries, for both Emerging and Advanced economies, using local projection techniques and for alternative methods that control for ``information effects''. I argue that this biases may have led a previous literature to disregard or find little international spillovers of ECB rates.

econ.GN↗

arXiv2023

Spillovers of US Interest Rates: Monetary Policy & Information Effects

This paper quantifies the international spillovers of US monetary policy by exploiting the high-frequency movement of multiple financial assets around FOMC announcements. I use the identification strategy introduced by Jarocinski & Karadi (2022) to identify two FOMC shocks: a pure US monetary policy and an information disclosure shock. These two FOMC shocks have intuitive and very different international spillovers. On the one hand, a US tightening caused by a pure US monetary policy shock leads to an economic recession, an exchange rate depreciation and tighter financial conditions. On the other hand, a tightening of US monetary policy caused by the FOMC disclosing positive information about the state of the US economy leads to an economic expansion, an exchange rate appreciation and looser financial conditions. Ignoring the disclosure of information by the FOMC biases the impact of a US monetary policy tightening and may explain recent atypical findings.

econ.GN↗

arXiv2022

Borrowing Constraints in Emerging Markets

Borrowing constraints are a key component of modern international macroeconomic models. The analysis of Emerging Markets (EM) economies generally assumes collateral borrowing constraints, i.e., firms access to debt is constrained by the value of their collateralized assets. Using credit registry data from Argentina for the period 1998-2020 we show that less than 15% of firms debt is based on the value of collateralized assets, with the remaining 85% based on firms cash flows. Exploiting central bank regulations over banks capital requirements and credit policies we argue that the most prevalent borrowing constraints is defined in terms of the ratio of their interest payments to a measure of their present and past cash flows, akin to the interest coverage borrowing constraint studied by the corporate finance literature. Lastly, we argue that EMs exhibit a greater share of interest sensitive borrowing constraints than the US and other Advanced Economies. From a structural point of view, we show that in an otherwise standard small open economy DSGE model, an interest coverage borrowing constraints leads to significantly stronger amplification of foreign interest rate shocks compared to the standard collateral constraint. This greater amplification provides a solution to the Spillover Puzzle of US monetary policy rates by which EMs experience greater negative effects than Advanced Economies after a US interest rate hike. In terms of policy implications, this greater amplification leads to managed exchange rate policy being more costly in the presence of an interest coverage constraint, given their greater interest rate sensitivity, compared to the standard collateral borrowing constraint.

econ.GN↗

arXiv2022

The Transmission of US Monetary Policy Shocks: The Role of Investment & Financial Heterogeneity

This paper studies the transmission of US monetary policy shocks into Emerging Markets emphasizing the role of investment and financial heterogeneity. First, we use a panel SVAR model to show that a US interest tightening leads to a persistent recession in Emerging Markets driven by a sharp reduction in aggregate investment. Second, we study the role of firms' financial heterogeneity in the transmission of US interest rate shocks by exploiting detailed balance sheet dataset from Chile. We find that more indebted firms experience greater drops in investment in response to a US tightening shock than less indebted firms. This result is at odds with recent evidence from US firms, even when using the same identification strategy and econometric methods. Third, we rationalize this finding using a stylized model of heterogeneous firms subject to a tightening leverage constraint. Finally, we present evidence in support of this hypothesis as well as robustness checks to our main results. Overall, our results suggests that the transmission channel of US monetary policy shocks within and outside the US differ, a result novel to the literature.

econ.GN↗

arXiv2022

Granular Linkages, Supplier Cost Shocks & Export Performance

This paper presents evidence on the granular nature of firms' network of foreign suppliers and studies its implications for the impact of supplier shocks on domestic firms' performance. To demonstrate this, I use customs level information on transactions between Argentinean firms and foreign firms. I highlight two novel stylized facts: (i) the distribution of domestic firms' number of foreign suppliers is highly skewed with the median firm reporting linkages with only two, (ii) firms focus imported value on one top-supplier, even when controlling for firm size. Motivated by these facts I construct a theoretical framework of heterogeneous firms subject to search frictions in the market for foreign suppliers. Through a calibration exercise I study the framework's predictions and test them in the data using a shift-share identification strategy. Results present evidence of significant frictions in the market for foreign suppliers and strong import-export complementarities.

econ.GN↗

arXiv2022

Does an increase in the cost of imported inputs hurt exports? Evidence from firms' network of foreign suppliers

This paper examines the relationship between changes in the cost of imported inputs and export performance using a novel dataset from Argentina which identifies domestic firms' network of foreign suppliers. To guide my empirical strategy, I construct a heterogeneous firm model subject to quality choice and frictions in the market for foreign supplier. The model predicts that the impact of an increase in the cost of imported inputs to be increasing in the adjustments costs of supplier linkages and in the quality of the product exported. I take the model to the data by constructing firm-specific shocks using a shift-share analysis which exploits firms' lagged exposure to foreign suppliers and finely defined import price shifts. Evidence suggests the presence of significant adjustment cost in firms' foreign supplier linkages and strong complementarities between imported inputs and export performance, particularly of high-quality products.

econ.GN↗

arXiv2022

TANK meets Diaz-Alejandro: Household heterogeneity, non-homothetic preferences & policy design

This paper studies the role of households' heterogeneity in access to financial markets and the consumption of commodity goods in the transmission of foreign shocks. First, I use survey data from Uruguay to show that low income households have poor to no access to savings technology while spending a significant share of their income on commodity-based goods. Second, I construct a Two-Agent New Keynesian (TANK) small open economy model with two main features: (i) limited access to financial markets, and (ii) non-homothetic preferences over commodity goods. I show how these features shape aggregate dynamics and amplify foreign shocks. Additionally, I argue that these features introduce a redistribution channel for monetary policy and a rationale for "fear-of-floating" exchange rate regimes. Lastly, I study the design of optimal policy regimes and find that households have opposing preferences a over monetary and fiscal rules.

econ.GN↗

arXiv2021

It's not always about the money, sometimes it's about sending a message: Evidence of Informational Content in Monetary Policy Announcements

This paper introduces a transparent framework to identify the informational content of FOMC announcements. We do so by modelling the expectations of the FOMC and private sector agents using state of the art computational linguistic tools on both FOMC statements and New York Times articles. We identify the informational content of FOMC announcements as the projection of high frequency movements in financial assets onto differences in expectations. Our recovered series is intuitively reasonable and shows that information disclosure has a significant impact on the yields of short-term government bonds.

econ.GN↗