Ewelina Zurowska

About Me

I am a Ph.D. student in finance at the Wharton School, University of Pennsylvania. Before coming to Wharton I obtained a Master Degree in Economics from Warsaw School of Economics and worked in the European Central Bank and Bank for International Settlements.

My research interests lie in the area of financial markets and macro finance.

I am on the 2021/2022 academic job market. I will be available for the interviews during the 2022 ASSA Annual Meeting.

Contact Info

Email: ewelina@wharton.upenn.edu

CV: Link

Research

ETF primary market structure and its efficiency [link]

Abstract: Three out of ten US ETFs have two or fewer authorized participants (APs) actively engaging in primary market transactions. I show that the entry of an additional AP corresponds to a decrease in the magnitude of the ETF price deviations from the NAV of at least one basis point in ETFs with high primary market concentration. I build a dynamic equilibrium model of ETF primary market arbitrage that describes the tradeoff faced by monopolistically competitive APs between waiting for mispricing to widen and pre-empting the competitors from eliminating it. In the model the creation unit size is shown to be an important friction driving the entry decision and, therefore, the magnitude of mispricing. Indeed, in the data, around one third of all primary market transactions amount to one creation unit, suggesting that it is often a binding constraint. ETF split events and the creation unit size changes help to identify shocks to the dollar value of creation unit size empirically. I show that by cutting the creation unit size in half, mispricing decreases by almost two basis points, a magnitude consistent with that implied by my quantitative model.

Why does oil matter? Commuting and aggregate fluctuations [link]
joint work with Robert Ready and Nikolai Roussanov

Abstract: Oil price shocks are known to have a sizable macroeconomic impact, despite a relatively small fraction of total expenditures that is devoted to energy. In this paper we study the role of oil as an inelastically supplied resource in driving income differentials between skilled and unskilled workers. Using micro data we document a significant effect of oil prices on labor supply and commuting distance, especially among low-skilled workers who face large commuting costs, relative to their wages. At the same time, commuting distances increase in response to positive labor demand shocks, as households are willing to bear the cost of longer commutes when wages rise. Motivated by this empirical evidence, we employ a two-sector endogenous growth model with an oil-dependent commuting friction to examine the effect of oil shocks on employment, real wages, and growth, as well as equity prices. Negative oil supply shocks followed by oil price increases depress labor supply, especially in the less capital-intensive low-skill sector, where employment is most sensitive to the cost of commuting, consistently with our empirical evidence. As a result, output growth slows down in the medium run as innovation and capital are reallocated towards the less affected high-skill sector, resulting in a subsequent rise in the skill premium. This prediction of the model is also corroborated in the data. The model also implies that rapid technological growth in the skilled sector puts upward pressure on oil prices, thus depressing labor supply of the low-skilled workers, and, through the endogenous growth mechanism, increases the skill premium in the medium-run. Our model can be used to evaluate the impact of globalization (in particular, the rise of China and its role in increasing global demand for oil), pandemic-related lockdowns/work-from-home directives, and climate mitigation policies (e.g., a carbon tax) on the widening income differentials between high- and low-skilled workers.

Teaching

Teaching Assistant

  • FNCE 239/739 Behavioral Finance, Prof. Nikolai Roussanov (2018, 2019, 2020)

  • FNCE 205/720 Investment Management, Prof. Donald Keim (2017, 2018)

  • FNCE 393/893 Policy Decisions of Central Banks, Prof. Zvi Eckstein (2017, 2018)

  • FNCE 101/613 Macroeconomics and Global Economics, Prof. Tayyeb Shabbir (2017, 2018, 2019)

Summer co-instructor

  • FNCE 101/613 Macroeconomics and Global Economics (2021)