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Working Papers

Beyond Incomplete Spanning: Convenience Yields and Exchange Rate Disconnect

(with Zhengyang Jiang, and Arvind Krishnamurthy)

What Determines the Government’s Funding Costs when r=g? Unpleasant Fiscal Asset Pricing Arithmetic

(with Jiang, Zhengyang and Van Nieuwerburgh, Stijn and Xiaolan, Mindy Z.,)

Financial and Total Wealth Inequality with Declining Interest Rates

(with Greenwald, Daniel and Leombroni, Matteo, and Van Nieuwerburgh, Stijn)

Quantifying U.S. Treasury Investor Optimism

(with Zhengyang Jiang, Stijn Van Nieuwerburgh and Mindy Z. Xiaolan) Reply to John Cochrane's 07/06 blog post

Spending Less After (Seemingly) Bad News

(with Mark J. Garmaise and Yaron Levi)

US Government Debt Valuation Puzzle

[Data] (with Zhengyang Jiang, Stijn Van Nieuwerburgh and Mindy Z. Xiaolan)

Manufacturing Risk-free Government Debt

(with Zhengyang Jiang, Stijn Van Nieuwerburgh and Mindy Z. Xiaolan)

Dollar Safety and the Global Financial Cycle

(with Zhengyang Jiang and Arvind Krishnamurthy)

Mind the Gap in Sovereign Debt Markets: The U.S. Treasury basis and the Dollar Risk Factor

(with Arvind Krishnamurthy)

  • Prepared for the 2019 Jackson Hole Symposium hosted by the Kansas City Federal Reserve Bank

Foreign Safe Asset Demand and the Dollar Exchange Rate

(with Zhengyang Jiang and Arvind Krishnamurthy)

Post-FOMC Announcement Drift in U.S. Bond Markets

(with Jordan Brooks and Michael Katz)

Complex Asset Markets

(with Andrea Eisfeldt and Lei Zhang), First Version, Aug. 2016

Firm Volatility in Granular Networks

(with Bryan Kelly and Stijn Van Nieuwerburgh)

Work on FX Markets:

Gravity in FX Rsquared: Understanding the Factor Structure in Exchange Rates

(with Robert Richmond) [slides]

Why Are Exchange Rates so Smooth? A Segmented Asset Markets Explanation

(with Yi-Li Chien and Kanda Naknoi) -Journal of Monetary Economics (accepted)

The Term Structure of Currency Carry Trade Risk Premia

[online appendix] [slides] (with Adrien Verdelhan and Andreas Stathopoulos)