Takaaki Sagawa

This paper estimates the macroeconomic effects of regulatory safe asset demand. I construct a narrative series of plausibly exogenous changes in regulatory safe asset demand using announcements by regulatory agencies and quarterly bank-level data. Using this series as an instrument, I identify a regulatory safe asset demand shock. Regulations that increase safe asset demand raise banks' safe asset holdings persistently, increase the government funding advantage on impact, and tighten financial conditions temporarily before easing them in the long run. Output falls as banks shift away from bank credit to the private sector. A model in which banks face a regulatory portfolio constraint and funding costs that decrease in portfolio safety accounts for these responses. Counterfactuals imply that reforms permanently increasing banks' safe asset demand raise the funding advantage only temporarily. Varying the regulatory incentive to hold safe assets generates a Laffer curve in the government's interest savings, with current regulation near the peak of the curve.

This paper estimates the macroeconomic effects of changes in sovereign risk. I identify a novel series of shocks using high-frequency movements in asset prices around International Monetary Fund announcements, which I characterize as sovereign liquidity shocks. Using this series, I estimate the dynamic causal effects of changes in sovereign risk on macroeconomic variables. A sovereign liquidity shock associated with a 100-basis-point increase in sovereign spreads decreases output by 0.96 percent in the months following the shock, with the contraction primarily driven by declines in investment, as well as disruptions in international corporate lending and trade.

This paper studies how integration into global capital markets affects aggregate productivity through risk sharing and the allocation of capital. We develop a small open economy model where heterogeneous capitalists choose between producing and investing. Foreign participation in domestic equity markets shifts the country's aggregate risk abroad and lowers the hurdle rate for production. This raises investment and output but lowers aggregate TFP by drawing less productive capitalists into production. Greater domestic financing capacity instead raises TFP by allowing productive firms to expand and displace marginal producers. We validate these predictions using emerging-market equity liberalizations in the late 1980s and 1990s, which were followed by equity price booms, more listings, and slower TFP growth where booms were larger. The calibrated model shows that liberalization alone lowers TFP and raises output only temporarily, while liberalization with deeper domestic financing raises both.

This paper studies the composition of cross-border capital flows by distinguishing between debt and equity assets. We show that equity inflows are positively associated with total factor productivity (TFP) growth, consistent with neoclassical theory, whereas debt inflows are negatively associated with TFP growth. The same divergence appears in the cross-section of net external positions, with fiscal capacity serving as the key country fundamental associated with these patterns. Motivated by this evidence, we develop a multi-country model with heterogeneous entrepreneurs, financial constraints, and international portfolio choice to explain the joint determination of TFP and the composition of global capital flows. Differences in fiscal capacity alter both the supply of government bonds and the risk-adjusted return on domestic risky assets, producing the opposing flows of debt and equity observed in the data.

We develop novel measures of stablecoin shocks and use them to identify the causal effects of stablecoin adoption on U.S. financial markets. Combining a daily narrative dataset of stablecoin-specific news with changes in the combined market capitalization of USDC and USDT, we measure high-frequency movements in stablecoin market capitalization and implement heteroskedasticity-based identification within an event-study and SVAR-IV framework. Stablecoin demand shocks have triggered persistent declines in short-term Treasury yields, a depreciation of the U.S. dollar, and gradual spillovers into crypto and equity markets. We also document heterogeneous effects across firms: payment providers benefit from greater stablecoin adoption, whereas banks—including community and small banks—show no evidence of priced disintermediation risk. Our findings highlight stablecoin demand as a novel channel of asset-market transmission.