Anticipated and Repeated Shocks in Liquid Markets
We show that Treasury security prices in the secondary market decrease significantly before subsequent auctions and recover shortly after. This price...
Liquidity Hoarding
Banks hold liquid and illiquid assets. An illiquid bank that receives a liquidity shock sells assets to liquid banks in exchange for cash. We...
Complicated Firms
We exploit a novel setting in which the same piece of information affects two sets of firms: one set of firms requires straightforward processing to...
Strategic Investment, Industry Concentration, and the Cross Section of Returns
This paper provides an alternative real options framework to assess how firms' strategic interaction under imperfect competition affects the...
Financing Constraints, Firm Dynamics, Export Decisions, and Aggregate productivity
We develop a dynamic industry model where financing frictions affect the entry decisions of new firms in the home market, as well as the riskiness of...
Short Run Bond Risk Premia
In the short-run, bond risk premia exhibit pronounced spikes around major economic and financial crises. In contrast, long-term bond risk premia...
The relationship between the objectives and tools of macroprudential and monetary policy
Speaking notes for a debate on 28th March 2011 at the Financial Markets Group, London School of Economics.
Fiscal Dominance and the Long-Term Interest Rate
Very high government debt/GDP ratios will increase uncertainty about inflation and the future path of real interest rates. This will reduce...
Dynamic Hedging in Incomplete Markets: A Simple Solution
Despite much work on hedging in incomplete markets, the literature still lacks tractable dynamic hedges in plausible environments. In this article, we...
Switching Monetary Policy Regimes and the Nominal Term Structure
In this paper I propose a regime-switching approach to explain why the U.S. nominal yield curve on average has been steeper since the mid-1980s than...
Institutional trade persistence and long-term equity returns
The Journal of Finance, 66 (2). pp. 635-653.
Defeasance of Control Rights
We analyze one frequent clause in bonds, covenant defeasance. Covenant defeasance allows the issuer to remove the bond’s covenants by placing the...
Walking Wounded or Living Dead? Making Banks Foreclose Bad Loans
Because of limited liability, insolvent banks have an incentive to roll over bad loans, in order to hide losses and gamble for resurrection, even...
The U.S. political brawl over the causes of the crisis. Some Critical Comments
The Final Report of the National Commission on the Causes of the Financial and Economic Crisis in the United States was released on January 27 2011...
Bank Bailout Menus
Bailing out banks requires overcoming debt overhang as well as dealing with adverse selection with respect to the quality of banks’ balance sheets, in...
