Juliane M. Begenau

Visiting Scholar

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Juliane Begenau is an assistant professor of business administration in the Finance Unit and Faculty Research Fellow at the National Bureau of Economic Research. She teaches the Finance I course in the MBA required curriculum.

Professor Begenau studies questions in macroeconomics, finance, and banking. Her specific research focus is the interplay of the real economy with financial markets and financial institutions. Her work on credit market positions has been published as a chapter of a National Bureau of Economic Research Conference Report.

Professor Begenau earned her Ph.D. in economics at Stanford University. Her undergraduate degree, also in economics, is from Humboldt University in Berlin.

Book Chapters

  1. Remapping the Flow of Funds

    Juliane Begenau, Monika Piazzesi and Martin Schneider

    This article argues that quantitative analysis of credit market positions would benefit tremendously if the additional information about the structure of payment streams were more readily available. Most available data on credit market positions, such as the Flow of Funds Accounts report accounting measures such as book value or fair value. In contrast, most economic analysis views asset positions as random payment streams that are valued by state prices. The latter view typically requires additional information, in particular the maturity or next repricing date of the instrument, the promised interest rate, call or prepayment provisions, and the credit rating of the borrower.

    Keywords: Accounting; Credit;


    Begenau, Juliane, Monika Piazzesi, and Martin Schneider. "Remapping the Flow of Funds." In Risk Topography: Systemic Risk and Macro Modeling, edited by Markus Brunnermeier and Arvind Krishnamurthy. National Bureau of Economic Research Conference Report. University of Chicago Press, 2014. View Details

Working Papers

  1. Financial Regulation in a Quantitative Model of the Modern Banking System

    Juliane Begenau and Tim Landvoigt

    How does the shadow banking system respond to changes in the capital regulation of commercial banks? This paper builds a quantitative general equilibrium model with commercial banks and shadow banks to study the unintended consequences of capital requirements. A key feature of our model is defaultable bank liabilities that provide liquidity services to households. The quality of the liquidity services provided by bank liabilities depends on their safety in case of default. Commercial bank debt is fully insured and thus provides full liquidity. However, commercial banks do not internalize the social costs of higher leverage in the form of greater bankruptcy losses (moral hazard) and are subject to a regulatory capital requirement. In contrast, shadow bank liabilities are subject to runs and credit risk and thus typically less liquid compared to commercial banks. Shadow banks endogenously limit their leverage as they internalize the costs. Tightening the commercial banks' capital requirement from the status quo leads to safer commercial banks and more shadow banking activity in the economy. While the safety of the financial system increases, it provides less liquidity. Calibrating the model to data from the financial accounts of the U.S., the optimal capital requirement is around 20%.

    Keywords: Capital; Commercial Banking;


    Begenau, Juliane, and Tim Landvoigt. "Financial Regulation in a Quantitative Model of the Modern Banking System." Harvard Business School Working Paper, No. 16-140, June 2016. (Revised July 2016.) View Details
  2. Firm Selection and Corporate Cash Holdings

    Juliane Begenau and Berardino Palazzo

    Among stock market entrants, more firms over time are R&D intensive with initially lower profitability but higher growth potential. This sample-selection effect determines the secular trend in U.S. public firms’ cash holdings. A stylized firm industry model allows us to analyze two competing changes to the selection mechanism: a change in industry composition and a shift toward less profitable R&D firms. The latter is key to generating higher cash ratios at IPO, necessary for the secular increase, whereas the former mechanism amplifies this effect. The data confirm the prominent role played by selection and corroborate the model’s predictions.

    Keywords: Initial Public Offering; Market Entry and Exit; Supply and Industry; Research and Development;


    Begenau, Juliane, and Berardino Palazzo. "Firm Selection and Corporate Cash Holdings." NBER Working Paper Series, No. 23249, March 2017. (Revised February 2017. Harvard Business School Working Paper, No. 16-130, May 2016) View Details
  3. Banks' Risk Exposures

    Juliane Begenau, Monika Piazzesi and Martin Schneider

    This paper studies U.S. banks' exposure to interest rate and credit risk. We exploit the factor structure in interest rates to represent many bank positions in terms of simple factor portfolios. This approach delivers time varying measures of exposure that are comparable across banks as well as across the business segments of an individual bank. We also propose a strategy to estimate exposure due to interest rate derivatives from regulatory data on notional and fair values together with the history of interest rates. We use the approach to document stylized facts about the recent evolution of bank risk taking.

    Keywords: Risk and Uncertainty; Interest Rates; Credit; Banks and Banking; United States;


    Begenau, Juliane, Monika Piazzesi, and Martin Schneider. "Banks' Risk Exposures." NBER Working Paper Series, No. 21334, July 2015. View Details
  4. Capital Requirements, Risk Choice, and Liquidity Provision in a Business Cycle Model

    Juliane Begenau

    This paper develops a quantitative dynamic general equilibrium model in which households' preferences for safe and liquid assets constitute a violation of Modigliani and Miller. I show that the scarcity of these coveted assets created by increased bank capital requirements can reduce overall bank funding costs and increase bank lending. I quantify this mechanism in a two-sector business cycle model featuring a banking sector that provides liquidity and has excessive risk-taking incentives. Under reasonable parametrizations, the marginal benefit of higher capital requirements related to this channel significantly exceeds the marginal cost, indicating that US capital requirements have been sub-optimally low.

    Keywords: Capital requirement; bank regulation; Demand for Safe Assets; business cycles; bank lending; Risk Management; Financial Liquidity; Financing and Loans; Capital; Banks and Banking;


    Begenau, Juliane. "Capital Requirements, Risk Choice, and Liquidity Provision in a Business Cycle Model." Working Paper. (Revised September 2016.) View Details

Cases and Teaching Materials

  1. MyTime

    Juliane Begenau and Robin Greenwood

    Ethan Anderson, the CEO of San Francisco–based e-commerce company MyTime, must decide on the company's growth strategy. MyTime’s first product was a website and mobile app that offered consumers a convenient way to book appointments with local merchants throughout the United States. Student must assess the company's growth strategy and develop a model to value a prospective customer to the company's website.

    Keywords: Customer valuation; discounted cash flow; software; valuation; valuation methodologies; subscriber models; Financial Management; Corporate Finance; Growth and Development Strategy; Valuation; Information Technology Industry; North and Central America;


    Begenau, Juliane, and Robin Greenwood. "MyTime." Harvard Business School Case 217-026, September 2016. (Revised February 2017.) View Details