AddressBank of CanadaCurrency DepartmentOttawa, ON K1A 0G9, Canada
E-Mailastenzel [at] bankofcanada [dot] ca
Publications
Pricing for the Stars
joint with Christoph Carnehl & Peter Schmidt
forthcoming at Management Science
DOI: https://doi.org/10.1287/mnsc.2023.4771
The (limited) Power of Blockchain Networks for Information Provision
joint with Benedikt Franke and Qi Gao Fritz
forthcoming at Management Science
DOI: https://doi.org/10.1287/mnsc.2023.4718
Opacity, Liquidity and Disclosure Requirements
joint with Wolf B. Wagner
Journal of Business Finance and Accounting, vol. 49 - issue 5-6, 2022; 658-689
DOI: https://doi.org/10.1111/jbfa.12574
Model-Based Evaluation of Cooling-Off Policies
joint with Christian Michel
Games and Economic Behavior, vol. 129, 2021, 270-293
DOI: https://doi.org/10.1016/j.geb.2021.05.012
Supplementary Material: [Web Appendix] [Mathematica]
Security Design with Interim Public Information
Journal of Mathematical Economics, vol. 76, 2018, 113-130
DOI: https://doi.org/10.1016/j.jmateco.2018.02.005
Conference Proceedings
Pricing for the Stars - Dynamic Pricing in the Presence of Rating Systems (Extended Abstract)
joint with Christoph Carnehl & Peter Schmidt
EC'20: Proceedings of the 21st Conference on Economics and Computation, July 2020, 273-274
DOI: https://doi.org/10.1145/3391403.3399522
Working Papers
Value for Money and Selection: How Pricing Affects Airbnb Ratings [PDF]
joint with Christoph Carnehl, Maximilian Schäfer and Kevin Tran
Strategic Pricing and Ratings [PDF]
joint with Christoph Carnehl, Anton Sobolev and Konrad Stahl
Loan Sales and Screening with Two-Dimensional Borrower Types [PDF]
We consider a model of lending with subsequent loan sale opportunities. Market participants observe a public signal about the creditworthiness of each borrower. Lenders additionally have the opportunity to privately screen potential borrowers at a cost. The model rationalizes empirically documented discontinuities in lending and default rates around a FICO credit rating score of 620, while providing a foundation for the endogenous emergence of a cutoff rule-of-thumb. We show that loan sale opportunities have a positive impact on borrowers' access to credit contingent on screening revealing positive information whenever the public information about a borrower's type is relatively bad. At the same time, average borrower quality for intermediate borrower types decreases as gains from trade via loan sales increase the relative profitability of loans to unscreened borrowers compared to loans to screened borrowers which imply significant risk retention. Loan sale opportunities can lead to adverse effects on borrower welfare while strictly increasing lender profitability.
A simple framework to analyze data requirements for policy evaluation [PDF]
joint with Christian Michel
Work in Progress
Contracting with Type-Dependent Naivete
joint with Matteo Foschi
Dynamic Cash Inventory Model
joint with Kim P. Huynh and Alex Shcherbakov