Tyler Muir
Research Papers
Slides on Intermediary Asset Pricing (overview / survey)
Working Papers:
18. Asset Purchase Rules: How QE Transformed the Bond Market (with Valentin Haddad and Alan Moreira)
17. Diverging Banking Sector: New Facts and Macro Implications (with Shohini Kundu and Jinyuan Zhang)
16. Bank Fragility when Depositors are the Asset (with Valentin Haddad and Barney Hartman-Glaser)
15. Whatever it Takes? The Impact of Conditional Policy Promises, (with Valentin Haddad and Alan Moreira). R&R
14. Hedging Risk Factors (with Bernard Herskovic and Alan Moreira). R&R
Publications / Forthcoming Articles:
13. How Credit Cycles Across a Financial Crisis (with Arvind Krishnamurthy). Journal of Finance, conditionally accepted.
12. 1930: First Modern Crisis (with Gary Gorton and Toomas Laarits). Financial History Review, forthcoming.
11. Volatility Expectations and Returns (with Lars Lochstoer). Journal of Finance, April 2022.
10. Intermediaries and Asset Prices: Evidence from the U.S., U.K., and Japan, 1870-2016 (with Matt Baron). Review of Financial Studies, May 2022.
9. When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response (with Valentin Haddad and Alan Moreira) Slides . Review of Financial Studies, October 2021.
Video Presentation at the AFA
8. Do Intermediaries Matter for Aggregate Asset Prices? (with Valentin Haddad). Journal of Finance, December 2021.
Winner of the 2022 Journal of Finance DFA Prize, First Place.
Video Presentation at the NBER Long-Term Asset Management
7. Mobile Collateral vs Immobile Collateral (with Gary Gorton and Toomas Laarits). Journal of Money Credit and Banking, September 2022.
Media Coverage: Bloomberg
6. Is Risk Mispriced in a Credit Boom? Prepared for the INET Private Debt Initiative.
5. Should Long-Term Investors Time Volatility? (with Alan Moreira). Journal of Financial Economics, March 2019 [Lead Article]
4. Volatility-Managed Portfolios (with Alan Moreira) [Internet Appendix]. Journal of Finance, August 2017. Slides. Video Presentation at the NBER Long-Term Asset Management. Media coverage: Financial Times (FT 2018), CNBC, USA Today
3. Financial Crises and Risk Premia. Quarterly Journal of Economics, May 2017.
2. Aggregate External Financing and Savings Waves (with Andrea Eisfeldt). Journal of Monetary Economics, December 2016
1. Financial Intermediaries and the Cross-Section of Asset Returns (with Tobias Adrian and Erkko Etula) [Web Appendix]. Journal of Finance, December 2014.
Winner of the 2015 Journal of Finance Amundi Smith Breeden Prize, Distinguished Paper.
Slides. Data. Video Presentation at the Utah Winter Finance Conference.
NBER discussion of He, Kelly, Manela (2017), a follow on to our paper using a different intermediary SDF
Other Material & Older Working Papers
The Cost of Capital of the Financial Sector (with Tobias Adrian and Evan Friedman).