Working Papers



A Medium-Scale DSGE Model for the Integrated Policy Framework

With Francis Vitek and Vitor Gaspar

International Monetary Fund Working Paper 22/15, January 2022



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



Asset Purchases and Direct Financing: Guiding Principles

for Emerging Markets and Developing Economies during COVID-19 and Beyond

With Chris Erceg, Simon Gray, Ratna Sahay

International Monetary Fund Departmental Paper 21/23, October 2021

See the launch event


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


An Index of Treasury Market Liquidity

With Michael Fleming and Erik Vogt

Federal Reserve Bank of New York Staff Reports, Number 827, November 2017


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