Juliane M. Begenau

Assistant Professor of Business Administration

Juliane Begenau is an assistant professor of business administration in the Finance Unit. 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 Piazessi and Martin Schneider

    The Flow of Funds Accounts are a crucial data source on credit market positions in the U.S. economy. In particular, they combine regulatory data from various sources to produce a consistent set of flow and stock tables in major credit market instruments by sector. There is also a detailed breakdown of the financial sector by type of institution. This is exactly the kind of data needed to understand how financial innovation changes the amount of borrowing and lending in the economy and reshapes the financial industry. The events of the last five years have underscored the importance of positions data to guide economic analysis.

    As do most available data sets on credit market positions, 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 is particularly useful to assess the sensitivity of a position to changes in market conditions. For example, one may ask what happens to the value of a position when monetary policy lowers the short end of the yield curve. The answer follows from discounting the payment stream with (hypothetical) state prices that reflect the steeper yield curve. More generally, once positions are viewed as payment streams, the risk in a position can often be parsimoniously represented by exposures to a small number of risk factors. Exposures are then comparable across positions and can readily be aggregated to create measures of risk for the entire portfolio held by an economic agent, such as a financial institution or a household.

    Viewing positions as payment streams typically requires more information than book value or fair value. In particular, to construct the payment stream associated with a given instrument such as a coupon bond or installment loan, one would like to know

    • the maturity or next repricing date of the instrument
    • the promised interest rate, that is, the coupon rate for a bond or the loan rate
    • call or prepayment provisions, if applicable
    • the credit rating of the issuer

    Keywords: Accounting; Credit; Borrowing and Debt; Financial Services Industry;


    Begenau, Juliane, Monika Piazessi, and Martin Schneider. "Remapping the Flow of Funds." Chap. 4 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. 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 lending; safe assets; Macro-Finance; 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." Harvard Business School Working Paper, No. 15-072, March 2015. View Details