Research

Publications:

• “Arbitrage Capital of Global Banks”, joint with Wenxin Du and Bernd Schlusche, Journal of Finance, forthcoming

• “Monetary Policy Pass-Through after the LCR”, joint with Manjola Tase, Economics Letters, 2023

• “Ambiguity in Securitization Markets”, Journal of Banking and Finance, 2019

• “Does Noninformative Text Affect Investor Behavior?”, joint with Yelena Larkin, Financial Management, 2019

• “Monetary Policy Implementation and Financial Vulnerability: Evidence from the Overnight Reverse Repurchase Facility”, joint with John Kandrac, The Review of Financial Studies, 2018

• “Experimental Finance,” joint with Robert Bloomfield, in Behavioral Finance: Investors, Corporations, and Markets, 2010

Working Papers:

• "The Importance of Repo Trading Relationships during Market Stress", joint with Sriya Anbil and Zeynep Senyuz, 2023, R&R at Journal of Financial Intermediation

• “Stop Believing in Reserves”, joint with Sriya Anbil, Ethan Cohen, and Romina Ruprecht, 2024, R&R at Journal of Finance 

• "LCR Premium in the Federal Funds Market", joint with Manjola Tase, 2023, under review

• “Is the US Treasury Repo Market Fragile?”,  joint with Sriya Anbil and Zeynep Senyuz, 2022

  • • FEDS version

Works In Progress:

• "Trading Relationships in the Federal Funds Market"

• “Bank Holdings and Systemic Risk in the US”, joint with Celso Brunetti, Jeffrey Harris, and Shawn Mankad

Policy Work:

• “The Recent Evolution of the Federal Funds Market and its Dynamics during Reductions of the Federal Reserve's Balance Sheet”, joint with Dave Na, 2024

• “An Analysis of the Interest Rate Risk of the Federal Reserve's Balance Sheet, Part 1: Background and Historical Perspective”, joint with Dave Na, Bernd Schlusche, and Zeynep Senyuz, 2022

• “An Analysis of the Interest Rate Risk of the Federal Reserve's Balance Sheet, Part 2: Projections under Alternative Interest Rate Paths”, joint with Philippa Marks, Dave Na, Bernd Schlusche, and Zeynep Senyuz, 2022

• “What Happened in Money Markets in September 2019?”, joint with Sriya Anbil and Zeynep Senyuz, 2020

• “How Have the Fed's Three Rate Hikes Passed Through to Selected Short-term Interest Rates?”, joint with Jane Ihrig, Mary-Frances Styczynski, and Gretchen Weinbach, 2017

• “Modeling Overnight RRP Participation”, joint with Jeff Huther, 2016

• “What Happened in Money Markets After the Fed's December Rate Increase?”, joint with Jane Ihrig, Ellen Meade, and Gretchen Weinbach, 2016