Regulator Model-Implied Beliefs
Financial regulations rely on regulator-controlled models to generate probabilistic forecasts which determine firm constraints. I refer to these...
DP 960
Anatomy of the Treasury Market: Who Moves Yields?
Factor regressions provide a model-agnostic way to identify what drives Treasury yields, but not which investors respond. We develop an equilibrium...
DP 959
Corporate Bond Multipliers: Substitutes Matter
Many economic questions require estimating the price effect of demand shifts (multipliers) in the bond market. Corporate bonds have salient...
DP 955