Working Papers


New Perspectives on Quantitative Easing and Central Bank Capital Policies

With Chris Erceg, Marcin Kolasa, Jesper Lindé, Roger McLeod, Romain Veyrune, Pawel Zabczyk

International Monetary Fund Working Paper 24/103, May 2024


A New Measure of Central Bank Independence

With Ashraf Kahn and Lev Menand 

International Monetary Fund Working Paper 24/35, February 2024


The Market Price of Risk and Macro-Financial Dynamics

With Fernando Duarte and Tara Iyer

International Monetary Fund Working Paper 23/199, September 2023


Good Supervision: Lessons from the Field 

With Marina Moretti, Ana Carvalho, Hee Kyong Chon, Katharine Seal, Fabiana Melo, Jay Surti

International Monetary Fund Working Paper 23/181, September 2023


Trust Bridges and Money Flows: A Digital Marketplace to Improve Cross-Border Payments

With Rod Garratt, Dong He, Tommaso Mancini-Griffoli

International Monetary Fund Working Paper 23/1, March 2023


A Multi-Currency Exchange and Contracting Platform

With Federico Grinberg, Tommaso Mancini Griffoli, Robert Townsend, Nicolas Zhang

International Monetary Fund Working Paper 22/217, November 2022


The Evolution of Treasury Market Liquidity: Evidene from 30 Years of Limit Order Data

With Michael Fleming and Erik Vogt

Federal Reserve Bank of New York Staff Reports, Number 827, September 2022


800,000 Years of Climate Risk

With Nina Boyarchenko, Domenico Giannone, Ananthakrishnan Prasad, Dulani Seneviratne, Yanzhe Xiao

Federal Reserve Bank of New York Staff Reports, Number 1031, September 2022


The Great Carbon Arbitrage

With Patrick Bolton and Alissa Kleinnijenhuis

International Monetary Fund Working Paper 22/107, June 2022

See also http://greatcarbonarbitrage.com




A Quantitative Microfounded Model for the Integrated Policy Framework

With Christopher Erceg, Marcin Kolasa, Jesper Lindé, Pawel Zabczyk

International Monetary Fund Working Paper 21/292, December 2021



Monetary and Macroprudential Policy with Endogenous Risk

With Fernando Duarte, Nellie Liang, Pawel Zabczyk

International Monetary Fund Working Paper 20/236, November 2020


Managing Macrofinancial Risk

With Francis Vitek 

International Monetary Fund Working Paper 20/151, August 2020


A Quantitative Model for the Integrated Policy Framework

With Christopher Erceg, Jesper Lindé, Pawel Zabczyk, Jianping Zhou

International Monetary Fund Working Paper 20/122,  July 2020


The Non-U.S. Bank Demand for U.S. Dollar Assets

With Peichu Xie

International Monetary Fund Working Paper 20/101, June 2020 


Dynamic Leverage Asset Pricing

With Emanuel Moench and Hyun Song Shin

Centre for Economic Policy Research Discussion Paper, Number 11466, November 2019 


Financial Vulnerability and Monetary Policy

With Fernando Duarte

Federal Reserve Bank of New York Staff Reports, Number 804, December 2016


The Cost of Capital of the Financial Sector

With Evan Friedman and Tyler Muir

Federal Reserve Bank of New York Staff Reports, Number 755, December 2015


Risk Appetite and Exchange Rates 

With Erkko Etula and Hyun Song Shin

Federal Reserve Bank of New York Staff Reports, Number 361, December 2015


The Cyclicality of Leverage

With Nina Boyarchenko and Hyun Song Shin

Federal Reserve Bank of New York Staff Reports, Number 743, October 2015


Intermediary Balance Sheets

With Nina Boyarchenko

Federal Reserve Bank of New York Staff Reports, Number 651, November 2013


Intermediary Leverage Cycles and Financial Stability 

With Nina Boyarchenko 

Federal Reserve Bank of New York Staff Reports, Number 567, October 2012 


Financial Intermediation, Asset Prices, and Macroeconomic Dynamics

With Emanuel Moench and Hyun Song Shin 

Federal Reserve Bank of New York Staff Reports, Number 422, January 2010