Publications


Vulnerable Growth
With Nina Boyarchenko and Domenico Giannone
American Economic Review, forthcoming

Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds
With Richard Crump and Erik Vogt
Journal of Finance, forthcoming

With Doug Laxton and Maury Obstfeld, editors
International Monetary Fund, Washington DC, April 2018

Monetary Policy and Financial Conditions: A Cross-Country Study
With Fernando Duarte, Federico Grinberg, Tommaso Mancini-Griffoli
In: Advancing the Frontiers of Monetary Policy, International Monetary Fund, pp. 83-106

With Nellie Liang 
International Journal of Central Banking 14(1), January 2018, pp. 73-131 
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 690

With Michael Fleming, Or Shachar and Erik Vogt
Annual Review of Financial Economics 9, November 2017, pp. 43-83

Journal of Risk 20(1), October 2017, pp. 23-57

With Nina Boyarchenko and Or Shachar
Journal of Monetary Economics 89, August 2017, pp. 92-109

With Nina Boyarchenko
Journal of Financial Intermediation, August 2017
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 661

Macroprudential Policy: A Case Study from a Tabletop Exercise
With Patrick de Fontnouvelle, Emily Yang, Andrei Zlate
Economic Policy Review 23(1), Federal Reserve Bank of New York, February 2017, pp. 1-30

With Michael Abrahams, Richard K. Crump, Emanuel Moench, Rui Yu
Journal of Monetary Economics 84, December 2016, pp. 182–200

CoVaR
With Markus K. Brunnermeier
American Economic Review 106(7), July 2016, 
pp. 1705–1741
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 348

Financial Stability Monitoring 
With Daniel Covitz and Nellie Liang 
Annual Review of Financial Economics 7, December 2015, pp. 357-395 
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 601 

With Richard K. Crump and Emanuel Moench
Journal of Financial Economics 118(2), November 2015, pp. 211-244 

International Journal of Central Banking 11(3)June 2015, pp. 229-240 

Financial Stability Policies for Shadow Banking
In: Shadow Banking Within and Across National Borders, 
edited by Stijn Claessens, Douglas Evanoff, George Kaufman, Luc Laeven, World Scientific Studies in International Economics 40, January 2015

Financial Intermediaries and the Cross-Section of Asset Returns
With Erkko Etula and Tyler Muir
Journal of Finance 69(6), December 2014, pp. 2557-2596
2015 Amundi-Smith-Breeden Distinguished Paper Prize

Procyclical Leverage and Value-at-Risk
With Hyun Song Shin
Review of Financial Studies 27(2), February 2014, pp. 373-403
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 338


Repo and Securities Lending
With Brian Begalle, Adam Copeland, and Antoine Martin
In: Risk Topography: Systemic Risk and Macro Modeling, edited by Markus K. Brunnemeier and Arvind Krishnamurthy, 
National Bureau of Economic Research Conference Report, University of Chicago Press, 2014, pp. 131-148

With Zoltan Pozsar, Adam Ashcraft, and Hayley Boesky
Economic Policy Review 19(2), Federal Reserve Bank of New York, December 2013

Pricing the Term Structure with Linear Regressions
With Emanuel Moench and Richard Crump
Journal of Financial Economics 110(1), October 2013, pp. 110-138
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 340


International Journal of Central Banking 9(1), January 2013, pp. 153-166
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 583

Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007-09 With Paolo Colla and Hyun Song Shin
NBER Macroeconomics Annual 2012, 27, edited by Daron Acemoglu, Jonathan Parker, and Michael Woodford, May 2013, pp. 159 - 214
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 528

With Adam B. Ashcraft 
Palgrave Dictionary of Economics, October 2012
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 580

Financial Intermediary Balance Sheet Management
With Hyun Song Shin
Annual Review of Financial Economics 3, December 2011, pp. 289-307
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 532
With Erkko Etula and Jan J. J. Groen
European Economic Review 55(3), April 2011, pp. 354-370
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 461

Hedge Fund Tail Risk
With Markus K. Brunnermeier and Hoai-Luu Nguyen
In: Quantifying Systemic Risk, ed. by Joseph G. Haubrich and Andrew W. Lo, University of Chicago Press, 2013 
Previously circulated as National Bureau of Economic Research, Chapter c12057

Shadow Banking Regulation
With Adam Ashcraft
Annual Review of Financial Economics 4, October 2012, pp. 99-140
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 559

In: Dodd-Frank: One Year On, ed. by Viral Acharya, Thomas Cooley, Matthew Richardson, and Ingo Walter 
CEPR Conference Volume, July 2011, pp. 59-65
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 533

The Federal Reserve's Commercial Paper Funding Facility 
With Dina Marchioni and Karin Kimbrough
Economic Policy Review 17(1), May 2011, pp. 25-39 
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 423

With Hyun Song Shin
Handbook of Monetary Economics 3A(12), ed. by Benjamin Friedman and Michael Woodford, 2010, pp. 601-650
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 398 

The Changing Nature of Financial Intermediation and the Financial Crisis of 2007-09
With Hyun Song Shin
Annual Review of Economics 2, September 2010, pp. 603-618
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 439 

Macro Risk Premium and Intermediary Balance Sheet Quantities
With Emmanuel Moench and Hyun Song Shin
IMF Economic Review 58, September 2010, pp. 179-207
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 428

Liquidity and Leverage
With Hyun Song Shin
Journal of Financial Intermediation 19(3), July 2010, pp. 418–437
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 328 

Prices and Quantities in the Monetary Policy Transmission Mechanism 
With Hyun Song Shin
International Journal of Central Banking 5(4), December 2009, pp. 131-142
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 396

Learning about Beta: Time-varying Factor Loadings, Expected Returns, and the Conditional CAPM
With Francesco Franzoni
Journal of Empirical Finance 16(4), September 2009, pp.537-556
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 193

With Hyun Song Shin
Financial Stability Review 13, 
Banque de France, September 2009, pp. 1-10
The Federal Reserve's Primary Dealer Credit Facility
With Christopher R. Burke and James J. McAndrews
Current Issues in Economics and Finance 15(4), 
Federal Reserve Bank of New York, August 2009 

Money, Liquidity and Monetary Policy
With Hyun Song Shin
American Economic Review 99(2), May 2009, pp. 600-605 
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 360 

Inference, Arbitrage, and the Volatility of Asset Prizes
Journal of Financial Intermediation 18(1), January 2009, pp. 49-64
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 187

Disagreement and Learning in aDynamic Contracting Model
With Mark Westerfield
Review of Financial Studies 22(10), January 2009, pp. 3873-3906
Previously circulated as Federal ReserveBank of New York Staff Reports, Number 269
2007 WFA/CRA International Best Paper in Corporate Finance Award

Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk
With Joshua Rosenberg
Journal of Finance 63(6), December 2008, pp. 2997-3030
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 254

With Hyun Song Shin
Jackson Hole Economic Symposium Proceedings 2008, Federal Reserve Bank of Kansas City, pp. 287-334
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 346

With Arturo Estrella
Economics Letters 99(2), May 2008, pp. 260-264
Updated version circulated as Federal Reserve Bank of New York Staff Reports, Number 397 

Liquidity, Monetary Policy, and Financial Cycles
With Hyun Song Shin
Current Issues in Economics and Finance 14(1), Federal Reserve Bank of New York, January/February 2008

Liquidity and Financial Contagion
With Hyun Song Shin
Financial Stability Review 11, Special Issue on Liquidity, Banque de France, February 2008

Measuring Risk in the Hedge Fund Sector
Current Issues in Economics and Finance 13(3), Federal Reserve Bank of New York, March/April 2007

What Financing Data Reveal about Dealer Leverage
With Michael Fleming
Current Issues in Economics and Finance 11(3), 
Federal Reserve Bank of New York, March 2005

The Degree of Openness and theCosts of Fixing the Exchange Rate
With Daniel Gros
Economics Letters 83(1), April 2004, pp. 141-146

A Stochastic Model of Self-Fulfilling Crisis in Fixed Exchange Rate Systems
With Daniel Gros
International Journal of Finance and Economics 4(2), May 1999, pp. 129-146