Publications

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
Previously circulated as CEPR Discussion Paper, Number 12422

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

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

Monetary Policy, Financial Conditions, and Financial Stability 
With Nellie Liang
International Journal of Central Banking, forthcoming
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 690
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 

Regression-Based Estimation of Dynamic Asset Pricing ModelsWith Richard K. Crump and Emanuel Moench
Journal of Financial Economics 118(2), November 2015, pp. 211-244 
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, Number338


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 FederalReserve Bank of New York Staff Reports, Number 340


Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007-09 With Paolo Colla and Hyun Song Shin
NBER Macroeconomics Annual 2012,Volume 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

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

Financial Amplification of Foreign Exchange Risk Premia
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, Number461

Hedge Fund Tail Risk
With Markus K. Brunnermeier and Hoai-Luu Nguyen
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, 2012, pp. 99-140
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 559 

Financial Intermediaries and Monetary Economics
With Hyun Song Shin
Handbook of Monetary Economics, 3A, ch. 12, ed. by Benjamin Friedman and Michael Woodford, 2011, pp. 601-650
Previously circulated as FederalReserve 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 FederalReserve 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 FederalReserve Bank of New York Staff Reports, Number 328 

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 

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

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 a Dynamic 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 ReserveBank of New York Staff Reports, Number 254

Monetary Tightening Cycles and the Predictability of Economic Activity 
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 

The Degree of Openness and the Costs 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