Research
Publications
Intermediary Balance Sheet Constraints and the Treasury Yield Curve, June 2022, joint with Benjamin Hebert and Wenhao Li. Accepted at Journal of Financial Economics.
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market, joint with Salil Gadgil, Michael Gordy and Clara Vega, 2022, Forthcoming at Management Science
Bank Balance Sheet Constraints at the Center of Liquidity Problems, Remarks on “Liquidity Dependence: Why Shrinking Central Bank Balance Sheets Is an Uphill Task” by Acharya, Chauhan, Rajan, and Steffen, 2022 Jackson Hole Economic Policy Symposium Proceedings.
Are Intermediary Constraints Priced?, joint with Benjamin Hebert and Amy Wang, February 2021, Forthcoming at Review of Financial Studies
CIP Deviations, the Dollar, and Frictions in International Capital Markets joint with Jesse Schreger, Forthcoming at Handbook in International Economics. Vol 6, 2022
Sovereign Risk, Currency Risk and Corporate Balance Sheets, joint with Jesse Schreger, 2022, Forthcoming at Review of Financial Studies
Sovereign Bond Portfolios, Bond Risks and Credibility of Monetary Policy, joint with Carolin E. Pflueger and Jesse Schreger, Journal of Finance, 75 (6), 2020.
Financial Intermediation Channel in the Global Dollar Cycle, Remarks on “Mind the Gap in Sovereign Debt Markets: The U.S. Treasury Basis and the Dollar Factor,” by Krishnamurthy and Lustig, 2019 Jackson Hole Economic Policy Symposium Proceedings.
The Dollar, Bank Leverage and Deviations from Covered Interest Rate Parity , joint with Stefan Avdjiev, Catherine Koch and Hyun Song Shin, American Economic Review: Insights, 1 (2), September 2019. Internet Appendix
US Treasury Premium, joint with Joanne Im and Jesse Schreger, Journal of International Economics, Volume 112, May 2018. Data
Deviations from Covered Interest Rate Parity, joint with Alexander Tepper and Adrien Verdelhan, Journal of Finance, 73(3), June 2018. Internet Appendix. Replication Code
Local Currency Sovereign Risk, joint with Jesse Schreger, Journal of Finance, 71(3), June 2016. Internet Appendix, Data
Working Papers
[New] Quantitative Tightening Around the Globe: What Have We Learned?, March 2024, joint with Kristin Forbes and Mathew Luzzetti
International Portfolio Frictions, November 2023, joint with Alessandro Fontana, Petr Jakubik, Ralph Koijen, and Hyun Song Shin
USD Asset Holding and Hedging Around the Globe , March 2023, joint with Amy Huber
U.S. Banks and Global Liquidity, joint with Ricardo Correa and Gordon Liao, June 2022
Arbitrage Capital of Global Banks, joint with Alyssa Anderson and Bernd Schlusche, previously circulated as "Money Market Fund Reform and Arbitrage Capital", April 2021, R&R at Journal of Finance
Nonparametric HAC Estimation for Time Series Data with Missing Observations joint with Deepa Datta, International Finance Discussion Paper No.1060, Board of Governors of the Federal Reserve System, November 2012