ALEXI SAVOV


Associate Professor of Finance

New York University Stern School of Business

asavov@stern.nyu.edu

Curriculum Vitae    Google Scholar

 

Research areas:

Macro finance, financial intermediation, monetary policy, empirical asset pricing, asset pricing theory

Working papers:

How Monetary Policy Shaped the Housing Boom (BibTeX)

(with Itamar Drechsler and Philipp Schnabl)

   - February 2019

Liquidity Creation as Volatility Risk (BibTeX)

(with Itamar Drechsler and Alan Moreira)

   - January 2018

   - Slides

Banking on Deposits: Maturity Transformation without Interest Rate Risk (BibTeX)

(with Itamar Drechsler and Philipp Schnabl)

   - Revise and resubmit, Journal of Finance

   - Winner, 2018 WFA Best Paper Award in Financial Intermediations

   - Winner, 2018 Yuki Arai Faculty Research Prize in Finance, NYU Stern

   - April 2018

   - Slides

   - Data

Publications:

Liquidity, Risk Premia, and the Financial Transmission of Monetary Policy (BibTeX)

(with Itamar Drechsler and Philipp Schnabl)

   - Annual Review of Financial Economics 10, November 2018, 309-328

A Model of Monetary Policy and Risk Premia (BibTeX)

(with Itamar Drechsler and Philipp Schnabl)

   - Journal of Finance 73 (1), February 2018, 317-373

   - Winner, 2018 Amundi Pioneer Prize (Distinguished Paper)

   - Slides

The Macroeconomics of Shadow Banking (BibTeX)

(with Alan Moreira)

   - Journal of Finance 72 (6), December 2017, 2381–2432

   - Lead article

   - Online Appendix

   - Slides

The Deposits Channel of Monetary Policy (BibTeX)

(with Itamar Drechsler and Philipp Schnabl)

   - Quarterly Journal of Economics 132 (4), November 2017, 1819-1876

   - Winner, 2015 SFS Cavalcade Best Paper Prize in Corporate Finance

   - Winner, 2016 Glucksman Institute Research Prize for Best Paper in Finance, NYU Stern

   - Data

Have Financial Markets Become More Informative? (BibTeX)

(with Jennie Bai and Thomas Philippon)

   - Journal of Financial Economics 122 (3), December 2016, 625-654

The Price of Skill: Performance Evaluation by Households (BibTeX)

   - Journal of Financial Economics 112 (2), May 2014, 213-231

   - Online appendix

The Puzzle of Index Option Returns (BibTeX)

(with George Constantinides and Jens Jackwerth)

   - Review of Asset Pricing Studies 3 (2), June 2013, 229-257

   - Online appendix

   - Option portfolio data

Asset Pricing with Garbage (BibTeX)

   - Journal of Finance 66 (1), January 2011, 177-201

   - Winner, 2011 Smith Breeden Prize (Distinguished Paper)

   - Online appendix

   - Wall Street Journal article