[7] Foreign Exchange Returns and Fixings around the Clock, w/ Mueller and Krohn, Journal of Finance (2023)
Bank of Canada blog HERE
[6] The Overnight Drift, w/ Boyarchenko and Larsen, Review of Financial Studies (2022)
An update and additional results (more equity indices + Treasuries) HERE
Federal Reserve Bank of New York BLOG HERE
Bloomberg Article HERE
Financial Times Article HERE
CEPR version HERE
[5] Subjective Bond Returns and Belief Aggregation w/ Buraschi and Piatti, Review of Financial Studies (2021)
[4] Central Bank Communication & the Yield Curve, w/ Leomboni, Vedolin, Venter, Journal of Financial Economics (2021)
Featured at The ECB and Its Watchers XXI (in Lucrezia Reichlin's presentation) HERE
VOX EU BLOG HERE
Data: ECB Communication and Risk Premium Shocks (updated 2021)
[3] Speculation, Disagreement and Interest Rates, w/ Buraschi, Management Science, (2020)
Working Paper includes construction of empirical proxy for sentiment (equation 21) from a wealth weighted average GDP growth belief. Also includes a theory section on survival in heterogeneous belief economies with risk tolerant agents.
[2] Bond Markets and Unconventional Policy, w/ Buraschi, Handbook of Fixed Income, (2016)
[1] Bond Markets and Conventional Policy, w/ Buraschi, Handbook of Fixed Income, (2016)