Working papers
Reaching for duration and leverage in the Treasury market with Daniel Barth, Phillip Monin and Oleg Sokolinskiy (2024). Data.
The term structure of the price of variance risk with Marianne Andries, Thomas Eisenbach and Martin Schmalz (2023).
Central banker to the world: Foreign reserve management and U.S. money market liquidity with Ron Alquist and Karlye Dilts Stedman (2022). How does the precautionary demand of foreign central banks affect the repo market? GARP Best Risk Management Paper award winner, 2023
Hedge funds and the Treasury cash-futures disconnect, with Daniel Barth (2021). What risks are posed by hedge fund arbitrage in the Treasury market?
Corporate finance under safe asset scarcity, (2018). How does government borrowing affect the corporate sector?
Publications
Anatomy of the repo rate spikes in September 2019, with Mark Paddrik, Peyton Young, Matthew McCormick and Vy Nguyen. Journal of Financial Crises, 5 (2023) 1-25.
Identification is not causality, and vice versa, with Toni Whited. Review of Corporate Finance Studies, 7 (2018), 1-21. What do economists talk about when they talk about identification?
Estimating and testing dynamic corporate finance models, with Santiago Bazdresch and Toni Whited. Review of Financial Studies, 31 (2018), 322-361. Code.
How should economists use data to discipline dynamic models?
Identification with models and exogenous data variation, with Toni Whited. Foundations and Trends in Accounting, 10 (2016), 361-375.
Shorter papers and policy briefs
Repo market intermediation with Samuel Hempel, Robert Mann and Mark Paddrik. OFR Brief 24-07 (2024).
How do intermediaries manage collateral across segments of the repo market?
Money market fund repo and the ON RRP facility with Samuel Hempel, Calvin Isley and Patrick McCabe. FEDS Notes (2023).
What is the interaction between private repo and the Federal Reserve's reverse repo facility?
Recent developments in hedge funds' Treasury futures and repo positions: Is the basis trade "back"? with Daniel Barth and Robert Mann. FEDS Notes (2023).
Why is so much repo not centrally cleared? with Samuel Hempel, Robert Mann and Mark Paddrik. OFR Brief 23-01 (2023).
Non-centrally cleared bilateral repo, with Samuel Hempel, Vy Nguyen and Sharon Ross. OFR Blog (2022).
What do we know about non-centrally cleared bilateral repo?
Treasury market stress: Lessons from 1958 and today, with Vy Nguyen. OFR Brief 22-01 (2022).
What can we learn from two episodes of stress in Treasury markets over 60 years apart?
Negative rates in bilateral repo markets, with Samuel Hempel. OFR Brief 21-03 (2021).
Why were bilateral repo rates frequently negative in 2021?
Intraday timing of general collateral repo markets, with Kevin Clark, Adam Copeland, Antoine Martin, Mark Paddrik and Benjamin Taylor. Federal Reserve Bank of New York Liberty Street Economics (2021).
Why does so much repo activity occur early in the morning?
Who participates in cleared repo markets? with Luke Olson. OFR Brief 21-01 (2021).
How competitive are U.S. Treasury repo markets? with Adam Copeland, Antoine Martin, Matthew McCormick, William Riordan, Kevin Clark, and Tim Wessel. Federal Reserve Bank of New York Liberty Street Economics (2021).
Basis trades and Treasury market illiquidity, with Daniel Barth. OFR Brief 20-01 (2020).
How did hedge funds contribute to Treasury market illiquidity in March of 2020?