Michal Szkup

Assistant Professor

I am an Assistant Professor in the Vancouver School of Economics at the University of British Columbia.

My research interest is in international macroeconomics, financial economics and information economics with a particular focus on the role of coordination failures and financial frictions.

I obtained my PhD in 2014 from New York University and my undergraduate degree in economics from the London School of Economics and Political Science.

 

 

 

Please click on paper titles for abstracts and full text downloads.

PUBLICATIONS

We study costly information acquisition in global games (coordination games where payoffs are discontinuous in the unobserved state and in the average action of agents). We show that only symmetric equilibria exist and we provide sufficient conditions for uniqueness. We then characterize the value of information in this context and link it to the underlying parameters of the model. We explore the notion of equilibrium efficiency, complementarities in information choices and the trade-o¤ between public and private information. We show that the unique equilibrium of the game is inefficient and that strategic complementarities in actions do not always translate into strategic complmenetarities in information choices. Finally, we find that public and private information can be complements. These results are in contrast to the findings on beauty contest models (coordination games where payoffs depend continuously on the quadratic distance between individual actions and both the unobserved state and the average action of agents). We argue that these disparities are a result of differences in the value of additional information across these two classes of models. Therefore, our results emphasize the importance of the type of payoff structures (continuous versus discrete) in coordination games.

[go to paper][online appendix]

This paper studies the role of financial frictions as a barrier to international trade. We investigate new exporter dynamics in order to identify the extent to which these frictions affect export decisions. We study an economy with heterogeneous firms subject to financing constraints and working capital requirements, and calibrate it to match key moments from Chilean plant-level data. In contrast to standard models of international trade with sunk export entry costs, our model can account for new exporter dynamics. We find that financial frictions reduce the impact of a trade liberalization, suggesting that they constitute an important trade barrier.

[go to paper][online appendix]

WORKING PAPERS

This paper studies the role of expectations in determining the effectiveness of policy measures aimed at preventing expectations-driven sovereign debt crises. I use global games to endogenize expectations in a micro-founded model of self-fulfilling debt crises. I show that endogenous expectations act as an amplification mechanism, the more powerful the more precise is markets participants' information. I also analyze the effects of policy changes in an environment with uncertainty about their implementation. Finally, I use these insights to analyze policy proposals directed at preventing debt crises, such as an increase in taxes and fiscal stimulus.

[go to paper][online appendix][additional results]

This paper analyzes debt maturity structure for a borrower in a setting where creditors are faced with strategic uncertainty. In contrast to the existing literature, I examine the effects of strategic uncertainty on the issuance of debt in an environment where face values of debt are determined endogenously and directly affect investors’ rollover decisions. I find that strategic uncertainty has a strong effect on the decisions of both the …rm and investors, especially at the rollover stage. As strategic uncertainty increases investors are less willing to roll over short-term debt and the borrower shifts towards long-term debt. Finally, I use the model to study the effects of a sudden deterioration in secondary markets and debt overhang issues on the debt maturity structure, face value of debt and default decisions.

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We solve and test experimentally a global game of speculative attack where agents choose, at a cost, the precision of their private signal. We prove existence of a unique equilibrium in the coordination game and explore strategic incentives in information acquisition. In the experiment, we …find that subjects follow the strategies suggested by the theory. However, contrary to our predictions, as signals become more precise the actions of subjects move towards efficiency and not risk dominance, which contradicts previous well known results of global games. We document empirically a path to convergence towards the efficient equilibrium under complete information.

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We study the role of financial frictions and balance-sheet effects in accounting for the dynamics of aggregate exports in large devaluations. In standard models of international trade, exports increase immediately following a large devaluation; in contrast, aggregate exports respond sluggishly in the data. We investigate a small open economy with heterogeneous firms and idiosyncratic productivity shocks, where firms face financing constraints and debt can be denominated in domestic or foreign units. In our model, a real depreciation affects firms through two channels. On the one hand, it increases the returns to selling internationally, making exporting more pro table. On the other hand, it tightens the borrowing constraint by increasing the value of foreign debt relative to firms' net worth. We calibrate the model to match key features from plant-level data and use it to quantify the importance of these channels. We find that financial frictions slow down the response of aggregate exports, and foreign-denominated debt amplifies this effect by decreasing firms' net worth on impact. When accounting for the observed heterogeneity in export intensity across exporters, these channels explain a large share of the gap between the data and the frictionless model.

[go to paper]

 

WORK IN PROGRESS

This paper analyzes the effect of changing information structure in simple global games. I provide a complete characterization of the effect of private and public precision on the fundamental threshold. Interestingly, I find that away from the limiting case of infinitely precise signals, the threshold can be non-monotonic in both precision of public and private information. I provide intuition behind this result and argue that this has important policy consequences.

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Information Acquisition and Welfare: Theory and Experiments (joint with Isabel Trevino)

 

Winter 2016

ECON356 Introduction to International Finance Sections

Exchange rate policy regimes; international financial organizations; the interaction between monetary policy and exchange rate regimes; financial crises.

Winter 2016

ECON494 Seminar in Applied International Economics Sections

Focus on a particular aspect of applied international economics. Independent empirical research project required. Registration restricted to students in the Bachelor of International Economics Program.

Winter 2016

ECON590A Special Advanced Course - SPEC ADV CRSE Sections