Working Papers

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

Intraday Market Making with Overnight Inventory Costs
With Agostino Capponi, Erik Vogt, and Hongzhong Zhang
Federal Reserve Bank of New York Staff Reports, Number 799, October 2016

Vulnerable Growth
With Nina Boyarchenko, and Domenico Giannone
Federal Reserve Bank of New York Staff Reports, Number 794, September 2016

Global Price of Risk and Stabilization Policies
With Daniel Stackman, and Erik Vogt 
Federal Reserve Bank of New York Staff Reports, Number 786, August 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

The Cyclicality of Leverage
With Nina Boyarchenko and Hyun Song Shin
Federal Reserve Bank of New York Staff Reports, Number 743, October 2015

Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds
With Richard Crump and Erik Vogt
Federal Reserve Bank of New York Staff Reports, Number 723, April 2015

Intermediary Balance Sheets
With Nina Boyarchenko
Federal Reserve Bank of New York Staff Reports, Number 651, November 2013

Dynamic Leverage Asset Pricing
With Emanuel Moench and Hyun Song Shin
Federal Reserve Bank of New York Staff Reports, Number 625, August 2013 

Intermediary Leverage Cycles and Financial Stability 
With Nina Boyarchenko 
Federal Reserve Bank of New York Staff Reports, Number 567, Revised 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

Monetary Cycles, Financial Cycles, and the Business Cycle
With Arturo Estrella, and Hyun Song Shin
Federal Reserve Bank of New York Staff Reports, Number 421, January 2010

The Term Structure of Inflation Expectations
With Hao Wu
Federal Reserve Bank of New York Staff Reports, Number 362, January 2009

Risk Appetite and Exchange Rates 
With Erkko Etula and Hyun Song Shin
Federal Reserve Bank of New York Staff Reports, Number 361, January 2009, Revised December 2015