Macroeconomic and Fiscal Consequences of Quantitative Easing
With Christopher Erceg, Marcin Kolasa, Jesper Lindé, Pawel Zabczyk
NBER Macroannual April 2026, forthcoming
Previously circulated as International Monetary Fund Working Paper 25/158
Robust Econometrics for Growth-at-Risk
With Yuya Sasaki, Yulong Wang
Journal of Econometrics 255, May 2026
US Treasury Market Functioning from the GFC to the Pandemic
With Michael Fleming and Kleopatra Nikolau
Annual Review of Financial Economics 17, November 2025, 49-76
Previously circulated as Federal Reserve Bank of New York Staff Reports 1146
Trade Policy Uncertainty and Stock Market Tail Risk
With Andrea Deghi, Mahvash Qureshi, Mustafa Yasin Yenice
Economics Letters, July 2025
A Medium-Scale DSGE Model for the Integrated Policy Framework
With Vitor Gaspar and Francis Vitek
International Journal of Central Banking, 20(4), October 2024, 1-123
Previously circulated as International Monetary Fund Working Paper 22/15
Macro-Financial Stability in the COVID-19 Crisis: Some Reflections
With Fabio Natalucci and Mahvash Quereshi
Annual Review of Financial Economics, 15, November 2023, 29-54
Previously circulated as International Monetary Fund Working Paper 22/251
The Term Structure of Growth-at-Risk
With Federico Grinberg, Nellie Liang, Sheheryar Malik, Eva Yu
American Economic Journal: Macroeconomics, 14(3), July 2022, 283–323
Previously circulated as International Monetary Fund Working Paper 18/180
A Leverage Based Measure of Financial Stability
With Karol Jan Borowiecki, Alexander Tepper
Journal of Financial Intermediation 51, July 2022
Previously circulated as Federal Reserve Bank of New York, Number 688
With Tommaso Mancini-Griffoli
Annual Review of Financial Economics 13, November 2021, 57-77
Previously circulated as International Monetary Fund Fintech Note 19/01
Forecasting Macroeconomic Risks
With Patrick Adams, Nina Boyarchenko, Domenico Giannone
International Journal of Forecasting 37(3), July-September 2021, 1173-91
Previously circulated as Federal Reserve Bank of New York, Number 914
Multimodality in Macro-financial Dynamics
With Nina Boyarchenko, Domenico Giannone
International Economic Review 62(2), May 2021, 861-86
Previously circulated as Federal Reserve Bank of New York Staff Reports Number 903
Intraday Market Making with Overnight Inventory Costs
With Agostino Capponi, Michael Fleming, Erik Vogt, Hongzhong Zhang
Journal of Financial Markets 50, September 2020, 1-28
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 799
NKV: A New Keynesian Model with Vulnerability
With Fernando Duarte, Nellie Liang, Pawel Zabczyk
American Economic Association Papers and Proceedings 110, May 2020, 470-76
Previously circulated as Preprint
Risk-Taking Channel of Monetary Policy
With Arturo Estrella, and Hyun Song Shin
Financial Management, 48(3), Fall 2019, 725-38
Previously circulated as Centre for Economic Policy Research Discussion Paper, Number 12677
Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds
With Richard Crump and Erik Vogt
Journal of Finance 74(4), August 2019, 1931-73
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 723
With Nina Boyarchenko and Domenico Giannone
American Economic Review 109(4), April 2019, 1263-89
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 794
Global Price of Risk and Stabilization Policies
With Daniel Stackman and Erik Vogt
IMF Economic Review 67(1), 215-260, March 2019
Previously circulated as Centre for Economic Policy Research Discussion Paper, Number 13435
Liquidity, Leverage, and Regulation 10 Years After the Global Financial Crisis
With John Kiff and Hyun Song Shin
Annual Review of Financial Economics 10, November 2018, 1-24
Previously circulated as Centre for Economic Policy Research Discussion Paper, Number 13350
Liquidity Policies and Systemic Risk
With Nina Boyarchenko
Journal of Financial Intermediation 35(B), July 2018, 45-60
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 661
Monetary Policy, Financial Conditions, and Financial Stability
With Nellie Liang
International Journal of Central Banking 14(1), January 2018, pp. 73-131
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 690
Market Liquidity after the Financial Crisis
With Michael Fleming, Or Shachar and Erik Vogt
Annual Review of Financial Economics 9, November 2017, pp. 43-83
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 796
Risk Management and Regulation
Journal of Risk 20(1), October 2017, pp. 23-57
Also circulated as International Monetary Fund Departmental Paper 18/13
Dealer Balance Sheets and Bond Liquidity Provision
With Nina Boyarchenko and Or Shachar
Journal of Monetary Economics 89, August 2017, pp. 92-109
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 803
Decomposing Real and Nominal Yield Curves
With Michael Abrahams, Richard K. Crump, Emanuel Moench, Rui Yu
Journal of Monetary Economics 84, December 2016, pp. 182–200
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 570
With Markus K. Brunnermeier
American Economic Review 106(7), July 2016, pp. 1705–1741
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 348
Financial Stability Monitoring
With Daniel Covitz and Nellie Liang
Annual Review of Financial Economics 7, December 2015, pp. 357-395
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 601
Regression-Based Estimation of Dynamic Asset Pricing Models
With Richard K. Crump and Emanuel Moench
Journal of Financial Economics 118(2), November 2015, pp. 211-244
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 493
Discussion of "Systemic Risk and the Solvency-Liquidity Nexus of Banks"
International Journal of Central Banking 11(3), June 2015, pp. 229-240
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 722
Financial Intermediaries and the Cross-Section of Asset Returns
With Erkko Etula and Tyler Muir
Journal of Finance 69(6), December 2014, pp. 2557-96
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 464
2015 Amundi-Smith-Breeden Distinguished Paper Prize
Procyclical Leverage and Value-at-Risk
With Hyun Song Shin
Review of Financial Studies 27(2), February 2014, pp. 373-403
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 338
Pricing the Term Structure with Linear Regressions
With Emanuel Moench and Richard Crump
Journal of Financial Economics 110(1), October 2013, pp. 110-138
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 340
Discussion of "An Integrated Framework for Multiple Financial Regulations"
International Journal of Central Banking 9(1), January 2013, pp. 153-166
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 583
With Adam Ashcraft
Annual Review of Financial Economics 4, October 2012, pp. 99-140
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 559
Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007-09
With Paolo Colla and Hyun Song Shin
NBER Macroeconomic Annual 2012, 27, edited by Daron Acemoglu, Jonathan Parker, and Michael Woodford, May 2013, pp. 159 - 214
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 528
Financial Intermediary Balance Sheet Management
With Hyun Song Shin
Annual Review of Financial Economics 3, December 2011, pp. 289-307
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 532
Financial Amplification of Foreign Exchange Risk Premia
With Erkko Etula and Jan J. J. Groen
European Economic Review 55(3), April 2011, pp. 354-370
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 461
Dodd-Frank One Year On: Implications for Shadow Banking
In: Dodd-Frank: One Year On, ed. by Viral Acharya, Thomas Cooley, Matthew Richardson, and Ingo Walter
CEPR Conference Volume, July 2011, pp. 59-65
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 533
Financial Intermediaries and Monetary Economics
With Hyun Song Shin
Handbook of Monetary Economics 3A(12), ed. by Benjamin Friedman and Michael Woodford, 2010, pp. 601-650
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 398
The Changing Nature of Financial Intermediation and the Financial Crisis of 2007-09
With Hyun Song Shin
Annual Review of Economics 2, September 2010, pp. 603-618
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 439
Macro Risk Premium and Intermediary Balance Sheet Quantities
With Emmanuel Moench and Hyun Song Shin
IMF Economic Review 58, September 2010, pp. 179-207
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 428
With Hyun Song Shin
Journal of Financial Intermediation 19(3), July 2010, pp. 418–437
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 328
Prices and Quantities in the Monetary Policy Transmission Mechanism
With Hyun Song Shin
International Journal of Central Banking 5(4), December 2009, pp. 131-142
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 396
Learning about Beta: Time-varying Factor Loadings, Expected Returns, and the Conditional CAPM
With Francesco Franzoni
Journal of Empirical Finance 16(4), September 2009, pp.537-556
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 193
Money, Liquidity and Monetary Policy
With Hyun Song Shin
American Economic Review 99(2), May 2009, pp. 600-605
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 360
Inference, Arbitrage, and the Volatility of Asset Prizes
Journal of Financial Intermediation 18(1), January 2009, pp. 49-64
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 187
Disagreement and Learning in a Dynamic Contracting Model
With Mark Westerfield
Review of Financial Studies 22(10), January 2009, pp. 3873-3906
Previously circulated as Federal ReserveBank of New York Staff Reports, Number 269
2007 WFA/CRA International Best Paper in Corporate Finance Award
Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk
With Joshua Rosenberg
Journal of Finance 63(6), December 2008, pp. 2997-3030
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 254
Monetary Tightening Cycles and the Predictability of Economic Activity
With Arturo Estrella
Economics Letters 99(2), May 2008, pp. 260-264
Updated version circulated as Federal Reserve Bank of New York Staff Reports, Number 397
The Degree of Openness and the Costs of Fixing the Exchange Rate
With Daniel Gros
Economics Letters 83(1), April 2004, pp. 141-146
A Stochastic Model of Self-Fulfilling Crisis in Fixed Exchange Rate Systems
With Daniel Gros
International Journal of Finance and Economics 4(2), May 1999, pp. 129-146