* denotes peer-reviewed publication.
Hedge funds and the Treasury market
Rising hedge fund leverage affects monetary policy implementation, with Matthew McCormick. Dallas Fed Economics (2026).
*Hedge funds and the Treasury cash-futures basis trade, with Daniel Barth. Journal of Monetary Economics, 154 (2025).
What risks are posed by hedge fund arbitrage in the Treasury market?
The cross-border trail of the Treasury basis trade, with Daniel Barth, Daniel Beltran, Matthew Hoops, Emily Liu, and Maria Perozek. FEDS Notes (2025).
Why is $1.4 trillion in hedge fund Treasury positions "missing" from the financial accounts?
Reaching for duration and leverage in the Treasury market, with Daniel Barth, Phillip Monin and Oleg Sokolinskiy (2024). Data.
What has driven the growth in Treasury futures positions?
Recent developments in hedge funds' Treasury futures and repo positions: Is the basis trade "back"? with Daniel Barth and Robert Mann. FEDS Notes (2023).
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?
Repo market structure and intermediation
Sponsored repo, with Adam Copeland (2024). How do dealers and customers access central clearing in repo?
The $12 trillion U.S. repo market: Evidence from a novel panel of intermediaries, with Sam Hempel and Julia Shephard. FEDS Notes (2025).
Just how big is the repo market and what drives its size?
The rise of sponsored service for clearing repo, with Adam Copeland. Federal Reserve Bank of New York Liberty Street Economics, (2025).
Repo market intermediation: Dealer cash and collateral flow management across the U.S. repo market, with Samuel Hempel, Robert Mann and Mark Paddrik. OFR Brief 24-07 (2024).
How do intermediaries manage collateral across segments of the repo market?
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?
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).
Proportionate margining for repo transactions, with Matthew McCormick. FEDS Notes (2025).
How can repo margins be structured to balance safety and liquidity?
Reserve scarcity and the operating framework
The central bank balance-sheet trilemma, with Burcu Duygan-Bump. FEDS Notes (2026).
Why is it hard to pin down the "right" size of a central bank's balance sheet?
Monitoring reserve scarcity through nonbank cash lenders, with Stefan Gissler, Sam Hempel, Patrick McCabe, Borghan Narajabad. FEDS Notes (2025).
What do money market fund and FHLB activity tell us about reserve scarcity?
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?
*Central banker to the world: Foreign reserve management and U.S. money market liquidity, with Ron Alquist and Karlye Dilts Stedman (2022), forthcoming Journal of International Economics.
How does the precautionary demand of foreign central banks affect the repo market?
GARP Best Risk Management Paper award winner, 2023
Treasury market stress
*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.
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?
Methodology and earlier work
*The term structure of the price of variance risk, with Marianne Andries, Thomas Eisenbach and Martin Schmalz. Review of Finance, 6 (2025) 1699-1720.
*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.
Select press citations
Bloomberg: 1, 2, 3, 4, 5, 6; Finadium: 1, 2; Financial Times: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10; Marketwatch: 1, 2; New York Times: 1, 2 (opinion); Risk.net: 1, 2; Reuters: 1, 2, 3, 4; Other: Axios, Chartbook, The Economist, RealClearMarkets, Limitless by Jeanna Smialek.
Conference discussions
Liquidity flows to bank-affiliated broker dealers by Jennie Bai, Erik Bostrom, Sebastian Infante, and Victoria Ivashina (Booth Treasury Markets Conference, 2026).
What quantity of reserves is sufficient? by Yilin (David) Yang (MFA, 2026).
The development of domestic bond markets by Amanda Dos Santos (ITAM Finance Conference, 2026).
Lending to hedge funds: Does competition erode bank risk management? by Christian Bittner and Stephan Jank (AFA, 2026).
Granular Treasury demand with arbitrageurs by Jansen, Li and Schmid (STFM Conference, 2025).
The effect of primary dealer constraints on intermediation in the Treasury market by Bräuning and Stein (Evolving Structure of the Financial Services Industry Conference, 2024).
HFTs and dealer banks: Liquidity and price discovery in FX trading by Huang, O'Neill, Ranaldo and Yu (Evolving Structure of the Financial Services Industry Conference, 2024).
Entry and exit in Treasury auctions by Allen, Hortaçsu, Richert, and Wittwer (SEA, 2024).
Money market funds and the pricing of near-money assets by Doerr, Eren, and Malamud (STFM Conference, 2023).
The ring-fencing bonus by Erten, Neamţu, and Thanassoulis (NFA, 2023).
Price informativeness and FOMC return reversals by Boguth, Fisher, Grégoire, and Martineau (MFA, 2023).