Research
My current work considers financial intermediation & stability issues, with a focus on the U.S. money markets.
Working Papers
“The Value of Internal Liquidity Sources: Evidence from Broker-Dealers over the 2007 Financial Crisis,” with Cecilia Caglio and Antoine Martin.
SSRN working paper 3853206
SSRN working paper 3483761
“Deposit Stability in Uncertain Times: Evidence from the 1918 Influenza Pandemic,” with Haelim Anderson and Jin-Wook Chang.
SSRN working paper 4636429
"Repo Intermediation and Central Clearing: An Analysis of Sponsored Repo," with R. Jay Kahn
SSRN working paper 5066146
Academic Papers
“Reserves were not so ample after all,” with Darrell Duffie and Yilin Yang
Quarterly Journal of Economics (forthcoming).
“Repo over the Financial Crisis,” with Antoine Martin
Journal of Finance (forthcoming).
“Information Management in Times of Crisis,” with Haelim Anderson
Journal of Monetary Economics (May 2023) vol. 136, pp. 35-49.
“Interest Rates and the Market for New Automobiles,” with George Hall and Louis Maccini
Journal of Money, Credit, and Banking (August 2019) vol. 51(5), pp. 1137-1168.
“The Use of Collateral in Bilateral Repurchase and Securities Lending Agreements,” with Viktoria Baklanova, Cecilia Caglio, and Marco Cipriani
Review of Economic Dynamics, special issue on Fragmented Financial Markets (July 2019) vol. 33, pp.228-249.
"Do Long-Haul Truckers Undervalue Future Fuel Savings?" with Jacob Adenbaum and John J. Stevens
Energy Economics (June 2019) vol.81, pp. 1148-1166.
"Nonlinear Pricing and the Market for Settling Payments," with Rod Garratt
Journal of Money, Credit, and Banking (February 2019) vol. 51(1), pp. 195-226.
“Price Setting with Rapid Technology Adoption: the case of the PC industry,” with Adam Shapiro
Review of Economics and Statistics (July 2016) vol. 98(3), pp. 601-616.
“Repo Runds: Evidence from the Tri-Party Repo Market,” with Antoine Martin and Michael Walker
Journal of Finance (December 2014), vol. 69(6), pp. 2343-2380.
“Intertemporal Substitution and New Car Purchases,”
Rand Journal of Economics (Fall 2014), vol. 45(3), pp. 624-644.
“Repo and Securities Lending,” with Tobias Adrian, Brian Begalle, and Antoine Martin
Risk Topography: Systemic Risk and Macro Modeling. Ed. Markus K. Brunnermeier and Arvind Krishnamurthy. Chicago: University of Chicago Press, (2013).
“Seasonality, Consumer Heterogeneity and Price Indexes: The Case of Prepackaged Software,”
Journal of Productivity Analysis (February 2013), vol. 39(1), pp. 47-59.
“The Production Impact of `Cash-for-Clunkers’: Implications for Stabilization Policy,” with James Kahn
Economic Inquiry (January 2013), vol. 51(1), pp. 288-303.
“Measuring the Price of R&D Output,” with Dennis Fixler
Review of Income and Wealth (March 2012), vol. 58(1), pp.166-182.
“Inventories and the Automobile Market,” with Wendy Dunn, and George Hall
Rand Journal of Economics (Spring 2011) vol. 42(1) pp. 121-149.
“Response of Prices, Inventories, and Output to Temporary Changes in Demand,” with George Hall
Journal of Applied Econometrics (March 2011), vol. 26(2), pp.232-269.
“The Welfare Effects of Incentive Schemes,” with Cyril Monnet
Review of Economic Studies (January 2009), vol. 76(1), pp. 93-113.
“Learning Dynamics with Private and Public Signals,”
Economic Theory (June 2007), vol. 31(3), pp.523-538.
Federal Reserve Bank of New York publications (peer reviewed)
“The Global Dash for Cash: Why Sovereign Bond Market Functioning Varied across Jurisdictions in March 2020,” with Jordan Barone, Alain Chaboud, Cullen Kavoussi, Frank M. Keane, and Seth Searls,
Economic Policy Review, (December 2023) vol. 29(3).
“The Market Events of Mid-September 2019,” with Gara Afonso, Marco Cipriani, Anna Kovner, Gabriele La Spada, and Antoine Martin
Economic Policy Review, (August 2021), vol. 27(2).
“A Primer on the GCF Repo Service,” with Paul Agueci, Leyla Alkan, Isaac Davis, Antoine Martin, Kate Pingitore, Caroline Prugar, and Tyisha Rivas
Economic Policy Review (December 2015) vol. 21(2), pp. 1-38.
“Challenges in Identifying Interbank Loans,” with Olivier Armantier
Economic Policy Review (October 2015) vol 21(1), pp. 1-18.
“Key Mechanics of the U.S. Tri-Party Repo Market,” with Darrell Duffie, Antoine Martin, and Susan McLaughlin
Economic Policy Review (November 2012), vol. 18(3), pp.17-28.
Economic Policy Review (July 2012), vol. 18(2), pp.83-93.
Reference Papers
“Reference Guide to U.S. Repo and Securities Lending Markets,” with Viktoria Baklanova and Rebecca McCaughrin, OFR working paper (Sept 2015) and New York Federal Reserve Staff Report no. 740.
“The Tri-Party Repo Market before the 2010 Reforms,” with Antoine Martin and Michael Walker, New York Federal Reserve Staff Reports no. 477.
“Estimating Prices for R&D Investment in the 2007 R&D Satellite Accounts,” with Gabriel W. Medeiros and Carol A. Robbins, November 2007 BEA Paper.