Research
Articles:
"Adverse Selection Dynamics in Privately-Produced Safe Debt Markets" AEJ:Macro (2024), Vol. 16 (1): pp. 441-468 [link][Online Appendix][Data and Code Repository][FEDS WP][NBER WP]
"Self-fulfilling Runs: Evidence from the U.S. Life Insurance Industry" The Journal of Political Economy (2020), Vol. 128, No. 9, pp. 3520-3569. [link][Online Appendix][FEDS WP]
With B. Narajabad and S. Verani
Coverage: [Money and Banking][ThinkAdvisor]
"Over-the-Counter Market Liquidity and Securities Lending" Review of Economic Dynamics (2019), Vol. 33, pp. 272-294. [link][Online Appendix][FEDS WP][BIS WP]
With S. Gissler and S. Verani
Coverage: [Bloomberg][Brookings][Finadium][Market Insight (MLex)][Securities Lending Times][Moody's Analytics]
"The Impact of Unconventional Monetary Policy on Firm Financing Constraints: Evidence from the Maturity Extension Program" Journal of Financial Economics (2016), Vol. 122(2), pp. 409-429. [link][FEDS WP][Philly Fed WP]
With R. Ramcharan and E. Yu
Winner of the BankScope Prize for best banking paper at the 28th Australasian Finance and Banking Conference
"Sovereign Debt Guarantees and Default: Lessons from the UK and Ireland, 1920-1938" European Economic Review (2016), Vol. 87, pp. 272-286. [link][final version]
With E. McLaughlin
Coverage: [The Economist][Financial Times][Finance Long Run][Positive Check][NEP-HIS]
"Capitalising on the Irish Land Question: Land Reform and State Banking in Ireland: 1891-1938" Financial History Review (2016), Vol. 23(1), pp. 71-109. [link][final version]
With E. McLaughlin
"US Real Interest Rates and Default Risk in Emerging Economies" Journal of Money, Credit and Banking (2013), Vol. 45(5), pp. 967-975. [link][final version][IFDP]
With B. Guimaraes
Working papers:
"The Informational Centrality of Banks" [December 2023][FEDS WP][NBER WP]
"Measuring Interest Rate Risk Management by Financial Institutions" [August 2023][FEDS WP]
With C. Brunetti and S. Verani
Winner of the Best Conference Paper at the 16th International Risk Management Conference (2023)
Coverage: [FSOC Annual Report]
"Are US Life Insurers the New Shadow Banks?" [April 2023]
With N. Heinrich and S. Verani
Content also appears as "US Life Insurers and Systemic Risk" in the Research Handbook of Macroprudential Policy [March 2024]
Coverage: [NYTimes][News Items][NBC][ThinkAdvisor][IAR][MarketWatch]
"Who Limits Arbitrage?" [June 2020]
With B. Narajabad and S. Verani
"Securities Lending as Wholesale Funding: Evidence from the US Life Insurance Industry" [December 2019][NBER WP]
With B. Narajabad and S. Verani
Coverage: [NBER][Money and Banking]
"The Timing of Default Over Electoral Terms" [IFDP]
Other publications:
"How Do U.S. Life Insurers Manage Liquidity in Times of Stress" FEDS Notes. Washington: Board of Governors of the Federal Reserve System, August 23, 2022.
With N. Heinrich and S. Verani
Coverage: [FT]
"Assessing the Size of the Risks Posed by Life Insurers' Nontraditional Liabilities" FEDS Notes. Washington: Board of Governors of the Federal Reserve System, May 21, 2019.
With B. Narajabad and S. Verani
Coverage: [Think Advisor]
"Funding Agreement-Backed Securities in the Enhanced Financial Accounts" FEDS Notes. Washington: Board of Governors of the Federal Reserve System, August 5, 2016.
With R. Meisenzahl, B. Narajabad, M. Perozek, and S. Verani
Recent discussions:
"Investing in Safety" by J. Breckenfelder, V. De Falco, and M. Hoerova [BSE 2024 discussion slides]
"Wholesale Funding Runs, Spreads, and Central Bank Interventions" by J. Magnani and Y. Wang [YPFS 2023 discussion slides][paper link]
"Dynamic Equilibrium with Costly Short-Selling and Lending Market" by A. Atmaz, S. Basak, and F. Ruan [EFA 2021 discussion slides][paper link]
"Worried Depositors" by M. Chavaz and P. Slutzky [Day Ahead Conference 2020 discussion slides][paper link]
"Insurers as Asset Managers and Systemic Risk" by A. Ellul, C. Jotikasthira, A. Kartasheva, C. Lundblad, and W. Wagner [FIRS 2019 discussion slides][paper link]
"The Bond Pricing Implications of Rating-Based Capital Requirements" by S. Murray and S. Nikolova [CFIC 2019 discussion slides][paper link]
"Price and Volume Dynamics in Bubbles" by Jingchi Liao and Cameron Peng [EWFC 2019 discussion slides][paper link]