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Education
Research Interests
My research focuses on understanding market failures and inefficiencies associated with OTC trading, documenting and explaining trading patterns in OTC markets, and understanding how government and private market interventions can help improve OTC markets.
Topics: OTC Markets, Market Microstructure, Search Theory, Networks, Derivatives, and Sovereign Debt.
Publications
A Theory of Liquidity Spillover between Bond and CDS Markets, Review of Financial Studies, Vol. 35, Issue 5, May 2022, pp. 2525-2569.
A search model of bond and CDS markets featuring endogenous funding liquidity and interdependent bond and CDS market liquidity.
Working Papers
Endogenous Specialization and Dealer Networks (R&R, Journal of Financial Economics)
A directed search model of dealer network formation. It explains the most salient feature of OTC markets: the core-periphery phenomenon.
The Challenges of Policy Extrapolation: A Case Study of Naked CDS Bans (Reject. & Revise, Management Science)
I study European bans on speculative CDS purchases and how they affected sovereign bond markets.
Currency Risk and Pricing Kernel Volatility (with Federico Gavazzoni & Chris Telmer)
We document facts---in the context of currency risk---that challenge lognormal asset pricing models. Future work should move to distributions with higher order moments.
Credit Default Swaps as Sovereign Debt Collateral
CDS can serve as collateral, mitigate agency frictions, and thereby support more sovereign debt.
International Lending with Political Economy Frictions
A politically unstable country achieves higher utility, borrows more, and experiences less capital outflow than a politically stable borrower.
The Search and Matching in Macro and Finance (SAMMF) Virtual Seminar Series
sammf.com - a biweekly seminar
OTC Markets Workshop
Conference Discussions
SFS Cavalcade 2019: The Coordination of Intermediation by Ming Yang and Yao Zeng
Bank of Canada-John Deutsch Institute Workshop on Financial Intermediation 2019: Learning by Trading: The Case of the U.S. Market for Municipal Bonds by Julia Brancaccio, Dan Li, and Norman Schurhoff
MFA 2019: Repo Collateral and Counterparty Risks: Theory and Evidence from the MBS Repo and Spot Markets by Li-ting Chiu, Sheen Liu, & Chunchi Wu
ESSFM (AP, Gerzensee) 2018: Once Upon a Broker Time? Order Preferencing and Market Quality by Hans Degryse, Nikolaos Karagiannis
WFA 2018: OTC Premia by Gino Cenedese, Angelo Ranaldo, Michalis Vasios
EFA 2017: Currency Manipulation by Tarek Hassan, Thomas Mertens, Zhang
ESSFM (AP, Gerzensee) 2017: How Auctions Amplify House-Price Fluctuations by Alina Arefeva
SFS Cavalcade 2017: Agency Trading and Principal Trading by Jiacui Li and Wenhao Li
SFS Cavalcade 2017: ‘Smart’ Settlement by Mariana Khapko and Marius Zoican
SFS Cavalcade 2016: A Macrofinance View of Sovereign CDS by Michael Chernov, Lukas Schmid, and Andreas Schneider
University of Wisconsin 7th Annual Conference on Money, Banking, and Asset Markets: Endogenous Market Making and Network Formation by Briana Chang and Shengxing Zhang
MFA 2016: Prices and Volatilities in the Corporate Bond Market by Jack Bao, Jia Chen, Kewei Hou, and Lei Lu
NFA 2015: Transparency Regime Initiatives and Liquidity in the CDS Market by Andras Fulop and Laurence Lescourret
EFA 2015: The Credit Spread Puzzle - Myth or Reality? by Peter Feldhutter and Stephen Schaeffer
Women in Microstructure 2015: Counterparty Risk and Counterparty Choice in the Credit Default Swap Market by Wenxin Du, Gadgil, Michael Gordy, and Clara Vega
FIRS 2015: Credit Default Swaps and Cash Holdings by Marti Subrahmanyan, Dragon Yongjun Tang, and Sarah Qian Wang
IFSID 2014: Macroeconomic Determinants of CDO Prices by Yong Seok Choi, Hitesh Doshi, Kris Jacobs, and Stuart M. Turnbull
EFA 2014: Unique Durable Assets by Stefano Lovo and Christophe Spaenjers
EFA 2014: Sub-Penny and Queue-Jumping by Sabrina Buti, Francesco Consonni, Barbara Rindi, Yuanji Wen, and Ingrid Werner
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