Mark Iarovyi
+38 050 083 16 11 • [email protected]
https://sites.google.com/site/miarovyi1/ • Via Roentgen 1, 20136 Milan, Italy
Education
PhD Economics and Finance (Finance Track), Bocconi University, Milan, Italy
Visiting scholar, Olin Business School, Washington University, St. Louis, MO, USA
MA Economics, Houston University, Houston, TX, USA
MA Financial Economics, Kyiv School of Economics (KSE)
BS Finance, Kyiv National Economic University (KNEU)
BBA International Economics, International Christian University Vienna-Kiev (ICU)
2012 – 2017 (exp.)
2015 – 2016
2011 – 2012
2010 – 2012
2007 – 2011
2007 – 2010
Research Interests
Banking, Corporate Finance, Market Microstructure, Behavioural Finance
Job Market Paper
“Can Interbank Lending Markets Self-Regulate? Quasi-Experiment from the Clock Synchronization of 1883”
How does an access to the interbank lending market affect the bank’s stability in the presence of systemic
risk? We turn to history to address this question empirically, thereby avoiding modern sources of omitted variable
bias (such as anonymous liquidity provision by a central bank, undetectable derivative cross-holdings, deposit
insurance, etc.). Assembling a unique dataset on national banks in New England, we test the self-sufficiency of
interbank network in withstanding systemic risk during the panic of 1893. To deal with endogeneity between the
bank’s insolvency and its counterparty exposure, we instrument for the latter with the discrepancy between the
bank’s city local time (solar time) and railroad time. Such discrepancy occurred subsequently to the clock
synchronization of 1883 – the transition of all railways from operations under the heterogeneous (solar) time of
their cities to standard time, as defined by the time zones. Given the importance of railroad connections for the
19th century interbank communications, we hypothesize that the occurred time discrepancy introduced search
frictions and transaction costs in signing and serving bilateral contracts among network counterparties, with banks
for which local time deviated from the standard time the most turning more isolated. Employing a structural
model, we find that in the competitive banking with minimal regulation: (a) network centrality mitigated
insolvency; (b) interbank exposure was welfare improving for lenders and borrowers; but (c) increasing exposure
had diminishing marginal returns.
Working Papers
“Discount Window Borrowing, Equity Runs and Outsider Learning”
“Implied Maturity Mismatches and Investor Disagreement” (with S. Bar-Yosef and I. Venezia)
“Disposable Assets and Free Riding on Liquidity” (work in progress)
“Extinction in the Interbank Network” (work in progress)
“Testing Uncovered Equity Return Parity: Case for Asia and the Pacific” (Master thesis)
Research Experience
Freelance Researcher, academic and business research and consultancy in social sciences
Research Assistant, Cooperation for European Research in Economics, Milan, Italy
Business Analyst, Livingston Research Group, Kiev, Ukraine
Research Writer, Livingston Research Group, Kiev, Ukraine
Internship, Research Division, Ministry of Fuel and Energy of Ukraine, Kiev, Ukraine
01/2016 – 05/2016
06/2014 – 12/2014
09/2011 – 09/2012
09/2011 – 09/2012
09/2011 – 12/2011
Awards, Scholarships and Achievements
PhD Thesis Completion Grant, Bocconi University
Mobility Grant, Bocconi University and Cariplo Foundation
Full Graduate Fellowship, Bocconi University
Global Supplementary Grant, Open Society Foundation
CFA Society Scholarship (1 out of 5)
KSE scholarship for MA study
Graduated BS Finance top 3 of the class (GPA 4.9/5.0)
BBA magna cum laude, graduated for less than 3 years, age 19
ICU tuition fee exemption for excellence in study
Ukrainian government merit studentship for BS study (1 out of 10), declined
Bronze Medal in the All-Ukrainian Arabic Language Olympiad
2016 – 2017
2014 – 2016
2012 – 2016
2012
2012
2010 – 2012
2011
2010
2008 – 2010
2007
2003
Courses, Workshops and Conferences
Job Market Seminar, Department of Finance, Bocconi University, Milan, Italy
9th International Risk Management Conference (IRMC), Annual Meeting of The Risk
Banking and Finance Society, the Hebrew University of Jerusalem, Israel
12th Annual Conference on Corporate Finance, Olin Business School, Washington
University, St. Louis, MO, USA
3rd Year Workshop, Bocconi University, Milan, Italy
Arne Ryde Memorial Lectures, Financial Stability, Regulation and Public Intervention (by
X. Vives), Lund University, Sweden
Banking Theory Summer School (by X. Freixas), Barcelona GSE, Spain
09/2016
06/2016
11/2015
02/2015
10/2014
06/2014 – 07/2014
Other Skills
Software: Stata, R, MS Excel, LaTex
Databases: CRSP/Compustat, FED Bank Regulatory, Thompson Reuters, BvD, WRDS, FRASER, etc.
Languages: Russian, Ukrainian (native), English (fluent), Italian, German, Arabic (basic)
Volunteering Activities
Social Service Center for Family, Children and Youth of Ukraine
2008, 2009
Professional Membership
American Finance Association (AFA), Economic History Association (EHA)
Personal
Date of birth: September 20, 1990
Citizenship: Ukrainian
Other Interests: Literature, Portrait Drawing, Middle Distance Running
References
Sasson Bar-Yosef (Main Adviser)
Hebrew University of Jerusalem
(formerly Bocconi University)
Tel.: +972-054-9939488
E-mail: [email protected]
Itzhak Venezia
Hebrew University of Jerusalem
Tel.: +972-054-6272836
E-mail: [email protected]
Anjan Thakor
Washington University in St. Louis
Tel.: +1-314-935-7197
E-mail: [email protected]
Abstracts
“Discount Window Borrowing, Equity Runs and Outsider Learning”
The information on bank illiquidity has long been kept secret as a preventive measure against bank runs. In
this paper, we argue that, despite its confidentiality, such information is incorporated into publicly observable
equity trading and therefore is learnt by uninformed investors. On the example of discount window (DW)
borrowing, we illustrate that information on bank illiquidity can be recovered from the insider initiated equity
runs, i.e. (1) greater equity supply by the illiquid banks but (2) lower net demand for such equity from the banks’
insiders. While (1) is driven by both more intensive seasoned equity offering and less active share repurchases, (2)
is explained by insider unwillingness to buy but not by predisposition to sell the stock of their illiquid banks. We
attribute the null result on selling to trading constraints imposed on insiders by regulation and banks themselves,
as well as insiders’ inclination to maintain original secrecy of the DW borrowing in line with their rational
expectations.
“Implied Maturity Mismatches and Investor Disagreement” (with S. Bar-Yosef and I. Venezia)
Maturity mismatches (MMs) create vulnerability of a bank to interest rate risk and thus add to the uncertainty
and ambiguity of the bank’s performance. Given the significance of interest rate risk for banking operations, we
study the relationship between MMs and investor disagreement, as proxied by trading volume in the bank’s
equity. We overcome infrequency and opacity of accounting disclosure (regular obstacles in measuring “book
MMs”) by resorting to “implied MMs”, computed as stock return sensitivity to interest rate changes. In line with
our expectations, “implied MMs” are found to be positively associated with trading volume, and the role of return
in this relationship is minimal or even non-existent.
“Disposable Assets and Free Riding on Liquidity” (work in progress)
Reputable banks often choose to keep short term assets below the required and rely on interbank lending in
case of urgent need for cash. In a quasi-experimental set-up, we study whether legally enforced increase in
disposable assets can reduce the banks’ free riding on interbank liquidity. We proceed in three steps. First,
exploiting precautionary and transaction motives for holding cash, we predict optimal liquidity holdings for banks
in high investment grade. Second, we assign banks to a treatment (control) group if their holdings are below
(above) the optimum. Third, we apply regression discontinuity design to track the change in the amount of
unsecured interbank borrowing, where the date of Basel III liquidity adoption is used as a cut-off. Based on our
ultimate finding, legal enforcement led to undermined incentives to reduce free riding and therefore to increased
interbank borrowing to meet the artificially imposed liquidity requirements.
“Extinction in the Interbank Network” (work in progress)
We employ network approach to studying the probability of bank exit where the proximity of interbank
linkages is modelled as a weekly return cross-correlation. We make use of four triennial subsamples distinct in the
underlying economic situation in the US: geographic deregulation (1997-2000), economic recession (2000-2003),
bank stability (2003-2006) and financial crisis (2006-2009). In all cases, our preliminary finding is indicative of the
"too-connected-to-fail" hypothesis, i.e. banks on the network periphery are more likely to become acquisition
targets.