Discussion Papers

We develop a dynamic model of DeFi lending that incorporates the following key features: 1) borrowing and lending are decentralized, anonymous...

This paper shows that, in a world dominated by vehicle currencies, firms engaging in international operations retain currency risk and hedge it real...

The paper develops a model of bubbles that can be taken to the data and explain the behavior of asset prices and their statistics. We depart from the...

Investors have limited and time-varying attention. These constraints are heterogeneous across investors, which can create asymmetric information and...

We survey thousands of affluent American investors to examine the relationship between personalities and investment decisions. The Big Five...

We develop a two-country model in which currency and bond markets are populated by different investor clienteles, and segmentation is partly overcome...

We study how passive investing affects asset prices. Flows into passive funds raise disproportionately the stock prices of the economy’s largest firms...

Will asset managers with large amounts of capital and high risk-bearing capacity hold large blocks and monitor aggressively? Both block size and...

We study bank capital requirements as a tool to address financial risks and externalities caused by carbon emissions. Capital regulation can...

We study dynamic portfolio choice in a calibrated equilibrium model where value and momentum anomalies arise because capital slowly moves from under-...

We ask why we observe multiple layers of decision-making in fund management with investors, sponsors, fund managers, and consultants, even if...

We show that supply-side effects arising from the bond holdings of open-end mutual funds affect corporate credit risk. In our model, funds exposed to...

Borrowers obtain liquidity by issuing securities backed by current period payoff and resale price of a long-lived collateral asset. They are privately...

We develop a model in which long-term swap spreads are determined by end users’ demand for swaps, constrained dealers’ supply of swaps, and the risk...

Using a comprehensive panel of 2,969,829 stock-day data provided by the Securities and Exchange Commission (MIDAS), we find that HFT activity in the...

We show that the collapse of the municipal bond insurance industry plays an important, but previously overlooked, role in driving regional variation...