Research areas:

Macro finance, financial intermediation, monetary policy, asset pricing

New Paper, Jackson Hole 2024:

Monetary Policy and the Mortgage Market (BibTeX)

(with Itamar Drechsler, Philipp Schnabl, and Dominik Supera)

   - Slides

   - August 2024

Notes on the 2023 regional banking crisis:

1. Banks and Interest Rates (slides from NYU Stern panel)

2. Why do banks invest in MBS?

3. Valuing the deposit franchise

4. Banking on deposits: a numerical example

5. SVB and Beyond: The Banking Stress of 2023 (NYU Stern e-book)

Working papers:

Deposit Franchise Runs (BibTeX)

(with Itamar Drechsler, Philipp Schnabl, and Olivier Wang)

   - Previously, "Banking on Uninsured Deposits"

   - Revise and Resubmit, Journal of Finance

   - August 2024

Credit Crunches and the Great Stagflation (BibTeX)

(with Itamar Drechsler and Philipp Schnabl)

   - Revise and Resubmit, Quarterly Journal of Economics

   - May 2022

   - Slides

The Financial Origins of the Rise and Fall of American Inflation (BibTeX)

(with Itamar Drechsler and Philipp Schnabl)

   - February 2020

   - Slides

   - VoxEU column

Liquidity and Volatility (BibTeX)

(with Itamar Drechsler and Alan Moreira)

   - Revise and Resubmit, Journal of Financial Economics

   - September 2021

   - Slides

Publications:

How Monetary Policy Shaped the Housing Boom (BibTeX)

(with Itamar Drechsler and Philipp Schnabl)

   - Journal of Financial Economics 144 (3), June 2022, 992-1021

   - June 2021

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

(with Itamar Drechsler and Philipp Schnabl)

   - Journal of Finance 76 (3), June 2021, 1091-1143

   - Brattle Group Prize (Distinguished Paper)

   - WFA Best Paper Award in Financial Intermediations

   - Yuki Arai Faculty Research Prize in Finance, NYU Stern

   - Slides

   - Data

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

   - 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

   - SFS Cavalcade Best Paper Prize in Corporate Finance

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

   - Slides

   - Data

   - Note on Begenau and Stafford (2022)

   - Response to Begenau and Stafford (2023)

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

   - Smith Breeden Prize (Distinguished Paper)

   - Online appendix

   - Wall Street Journal article