Publications

With Pierpaolo Grippa, Marco Gross, Vikram Haksar, Ivo Krznar, Caterina Lepore, Fabian Lipinsky, Hiroko Oura, Sujan Lamichhane, Apostolos Panagiotopoulos

International Monetary Fund Climate Note 2022/005

Stress Testing at the IMF

With Jim Morsink, Liliana Schumacher

Handbook of Financial Stress Testing, Cambridge University Press, 2022, 511-556

Previously circulated as International Monetary Fund Departmental Paper 20/04

A Leverage Based Measure of Financial Stability

With Karol Jan Borowiecki, Alexander Tepper

Journal of Financial Intermediation 51, July 2022

Previously circulated as Federal Reserve Bank of New York, Number 688

The Rise of Digital Money

With Tommaso Mancini-Griffoli

Annual Review of Financial Economics 13, November 2021, 57-77

Previously circulated as International Monetary Fund Fintech Note 19/01

Asset Purchases and Direct Financing: Guiding Principles for Emerging Markets and Developing Economies during COVID-19 and Beyond

With Chris Erceg, Simon Gray, Ratna Sahay

International Monetary Fund Departmental Paper 21/23, October 2021

See the launch event

Forecasting Macroeconomic Risks

With Patrick Adams, Nina Boyarchenko, Domenico Giannone

International Journal of Forecasting 37(3), July-September 2021, 1173-91

Previously circulated as Federal Reserve Bank of New York, Number 914

Multimodality in Macro-financial Dynamics

With Nina Boyarchenko, Domenico Giannone

International Economic Review 62(2), May 2021, 861-86

Previously circulated as Federal Reserve Bank of New York Staff Reports Number 903

``Low-for-Long'' and Risk-Taking

International Monetary Fund Departmental Paper 20/15

See the Launch Event

Intraday Market Making with Overnight Inventory Costs

With Agostino Capponi, Michael Fleming, Erik Vogt, Hongzhong Zhang

Journal of Financial Markets 50, September 2020, 1-28

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 799

NKV: A New Keynesian Model with Vulnerability

With Fernando Duarte, Nellie Liang, Pawel Zabczyk

American Economic Association Papers and Proceedings 110, May 2020, 470-76

Previously circulated as Preprint

Risk-Taking Channel of Monetary Policy

With Arturo Estrella, and Hyun Song Shin

Financial Management, 48(3), Fall 2019, 725-38

Previously circulated as Centre for Economic Policy Research Discussion Paper, Number 12677

Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds

With Richard Crump and Erik Vogt

Journal of Finance 74(4), August 2019, 1931-73

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 723

A Monitoring Framework for Global Financial Stability

With Dong He, Nellie Liang, Fabio Natalucci

International Monetary Fund Staff Discussion Note 19/06

Vulnerable Growth

With Nina Boyarchenko and Domenico Giannone

American Economic Review 109(4), April 2019, 1263-89

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 794

Global Price of Risk and Stabilization Policies

With Daniel Stackman and Erik Vogt

IMF Economic Review 67(1), 215-260, March 2019

Previously circulated as Centre for Economic Policy Research Discussion Paper, Number 13435

Liquidity, Leverage, and Regulation 10 Years After the Global Financial Crisis

With John Kiff and Hyun Song Shin

Annual Review of Financial Economics 10, November 2018, 1-24

Previously circulated as Centre for Economic Policy Research Discussion Paper, Number 13350

Liquidity Policies and Systemic Risk

With Nina Boyarchenko

Journal of Financial Intermediation 35(B), July 2018, 45-60

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 661

Advancing the Frontiers of Monetary Policy

With Doug Laxton and Maury Obstfeld, editors

International Monetary Fund, Washington DC, April 2018

Monetary Policy and Financial Conditions: A Cross-Country Study

With Fernando Duarte, Federico Grinberg, Tommaso Mancini-Griffoli

In: Advancing the Frontiers of Monetary Policy, International Monetary Fund, pp. 83-106

Previously circulated as Centre for Economic Policy Research Discussion Paper, Number 12681

Shadow Banking and Market Based Finance

With Bradley Jones

Financial Stability Review 22, April 2018, pp. 13-24

Also circulated as International Monetary Fund Departmental Paper 18/14

Monetary Policy, Financial Conditions, and Financial Stability

With Nellie Liang

International Journal of Central Banking 14(1), January 2018, pp. 73-131

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 690

Market Liquidity after the Financial Crisis

With Michael Fleming, Or Shachar and Erik Vogt

Annual Review of Financial Economics 9, November 2017, pp. 43-83

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 796

Risk Management and Regulation

Journal of Risk 20(1), October 2017, pp. 23-57

Also circulated as International Monetary Fund Departmental Paper 18/13

Dealer Balance Sheets and Bond Liquidity Provision

With Nina Boyarchenko and Or Shachar

Journal of Monetary Economics 89, August 2017, pp. 92-109

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 803

Macroprudential Policy: A Case Study from a Tabletop Exercise

With Patrick de Fontnouvelle, Emily Yang, Andrei Zlate

Economic Policy Review 23(1), Federal Reserve Bank of New York, February 2017, pp. 1-30

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 742

Decomposing Real and Nominal Yield Curves

With Michael Abrahams, Richard K. Crump, Emanuel Moench, Rui Yu

Journal of Monetary Economics 84, December 2016, pp. 182–200

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 570

CoVaR

With Markus K. Brunnermeier

American Economic Review 106(7), July 2016, pp. 1705–1741

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 348

Financial Stability Monitoring

With Daniel Covitz and Nellie Liang

Annual Review of Financial Economics 7, December 2015, pp. 357-395

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 601

Regression-Based Estimation of Dynamic Asset Pricing Models

With Richard K. Crump and Emanuel Moench

Journal of Financial Economics 118(2), November 2015, pp. 211-244

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 493

Discussion of "Systemic Risk and the Solvency-Liquidity Nexus of Banks"

International Journal of Central Banking 11(3), June 2015, pp. 229-240

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 722

Financial Stability Policies for Shadow Banking

In: Shadow Banking Within and Across National Borders, edited by Stijn Claessens, Douglas Evanoff, George Kaufman, Luc Laeven, World Scientific Studies in International Economics 40, January 2015

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 664

Financial Intermediaries and the Cross-Section of Asset Returns

With Erkko Etula and Tyler Muir

Journal of Finance 69(6), December 2014, pp. 2557-2596

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 464

2015 Amundi-Smith-Breeden Distinguished Paper Prize

Procyclical Leverage and Value-at-Risk

With Hyun Song Shin

Review of Financial Studies 27(2), February 2014, pp. 373-403

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 338

Repo and Securities Lending

With Brian Begalle, Adam Copeland, and Antoine Martin

In: Risk Topography: Systemic Risk and Macro Modeling, edited by Markus K. Brunnemeier and Arvind Krishnamurthy,

National Bureau of Economic Research Conference Report, University of Chicago Press, 2014, pp. 131-148

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 529

Shadow Banking

With Zoltan Pozsar, Adam Ashcraft, and Hayley Boesky

Economic Policy Review 19(2), Federal Reserve Bank of New York, December 2013

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 458

Pricing the Term Structure with Linear Regressions

With Emanuel Moench and Richard Crump

Journal of Financial Economics 110(1), October 2013, pp. 110-138

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 340

Discussion of "An Integrated Framework for Multiple Financial Regulations"

International Journal of Central Banking 9(1), January 2013, pp. 153-166

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 583

Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007-09

With Paolo Colla and Hyun Song Shin

NBER Macroeconomics Annual 2012, 27, edited by Daron Acemoglu, Jonathan Parker, and Michael Woodford, May 2013, pp. 159 - 214

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 528

Shadow Banking: A Review of the Literature

With Adam B. Ashcraft

Palgrave Dictionary of Economics, October 2012

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 580

Financial Intermediary Balance Sheet Management

With Hyun Song Shin

Annual Review of Financial Economics 3, December 2011, pp. 289-307

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 532

Financial Amplification of Foreign Exchange Risk Premia

With Erkko Etula and Jan J. J. Groen

European Economic Review 55(3), April 2011, pp. 354-370

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 461

Hedge Fund Tail Risk

With Markus K. Brunnermeier and Hoai-Luu Nguyen

In: Quantifying Systemic Risk, ed. by Joseph G. Haubrich and Andrew W. Lo, University of Chicago Press, 2013

Previously circulated as National Bureau of Economic Research, Chapter c12057

Shadow Banking Regulation

With Adam Ashcraft

Annual Review of Financial Economics 4, October 2012, pp. 99-140

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 559

Dodd-Frank One Year On: Implications for Shadow Banking

In: Dodd-Frank: One Year On, ed. by Viral Acharya, Thomas Cooley, Matthew Richardson, and Ingo Walter

CEPR Conference Volume, July 2011, pp. 59-65

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 533

The Federal Reserve's Commercial Paper Funding Facility

With Dina Marchioni and Karin Kimbrough

Economic Policy Review 17(1), May 2011, pp. 25-39

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 423

Financial Intermediaries and Monetary Economics

With Hyun Song Shin

Handbook of Monetary Economics 3A(12), ed. by Benjamin Friedman and Michael Woodford, 2010, pp. 601-650

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 398

The Changing Nature of Financial Intermediation and the Financial Crisis of 2007-09

With Hyun Song Shin

Annual Review of Economics 2, September 2010, pp. 603-618

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 439

Macro Risk Premium and Intermediary Balance Sheet Quantities

With Emmanuel Moench and Hyun Song Shin

IMF Economic Review 58, September 2010, pp. 179-207

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 428

Liquidity and Leverage

With Hyun Song Shin

Journal of Financial Intermediation 19(3), July 2010, pp. 418–437

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 328

Prices and Quantities in the Monetary Policy Transmission Mechanism

With Hyun Song Shin

International Journal of Central Banking 5(4), December 2009, pp. 131-142

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 396

Learning about Beta: Time-varying Factor Loadings, Expected Returns, and the Conditional CAPM

With Francesco Franzoni

Journal of Empirical Finance 16(4), September 2009, pp.537-556

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 193

The Shadow Banking System: Implications for Financial Regulation

With Hyun Song Shin

Financial Stability Review 13, September 2009, pp. 1-10

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 382

The Federal Reserve's Primary Dealer Credit Facility

With Christopher R. Burke and James J. McAndrews

Current Issues in Economics and Finance 15(4), Federal Reserve Bank of New York, August 2009

Money, Liquidity and Monetary Policy

With Hyun Song Shin

American Economic Review 99(2), May 2009, pp. 600-605

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 360

Inference, Arbitrage, and the Volatility of Asset Prizes

Journal of Financial Intermediation 18(1), January 2009, pp. 49-64

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 187

Disagreement and Learning in a Dynamic Contracting Model

With Mark Westerfield

Review of Financial Studies 22(10), January 2009, pp. 3873-3906

Previously circulated as Federal ReserveBank of New York Staff Reports, Number 269

2007 WFA/CRA International Best Paper in Corporate Finance Award

Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk

With Joshua Rosenberg

Journal of Finance 63(6), December 2008, pp. 2997-3030

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 254

Financial Intermediaries, Financial Stability, and Monetary Policy

With Hyun Song Shin

Jackson Hole Economic Symposium Proceedings 2008, Federal Reserve Bank of Kansas City, pp. 287-334

Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 346

Monetary Tightening Cycles and the Predictability of Economic Activity

With Arturo Estrella

Economics Letters 99(2), May 2008, pp. 260-264

Updated version circulated as Federal Reserve Bank of New York Staff Reports, Number 397

Liquidity, Monetary Policy, and Financial Cycles

With Hyun Song Shin

Current Issues in Economics and Finance 14(1), Federal Reserve Bank of New York, January/February 2008

Liquidity and Financial Contagion

With Hyun Song Shin

Financial Stability Review 11, February 2008, pp. 1-8

Measuring Risk in the Hedge Fund Sector

Current Issues in Economics and Finance 13(3), Federal Reserve Bank of New York, March/April 2007

What Financing Data Reveal about Dealer Leverage

With Michael Fleming

Current Issues in Economics and Finance 11(3), Federal Reserve Bank of New York, March 2005

The Degree of Openness and the Costs of Fixing the Exchange Rate

With Daniel Gros

Economics Letters 83(1), April 2004, pp. 141-146

A Stochastic Model of Self-Fulfilling Crisis in Fixed Exchange Rate Systems

With Daniel Gros

International Journal of Finance and Economics 4(2), May 1999, pp. 129-146