We show a significant loss in US Treasury market functionality when intensive use of dealer
balance sheets is needed to intermediate bond markets, as in March 2020. Although yield …

I exploit a Dutch reform in the regulatory discount curve that makes the liabilities of pension
funds and insurance companies (P&Is) more sensitive to changes in 20-year interest rates …

We present a Gordon-growth-model-based formula for wealth-income ratios and empirically
examine its implications on long-run cross-country differences in wealth-income ratios …

Risk premia increase with government debt. Debt-to-GDP ratios positively predict stock
returns at short and long horizons in the US and other advanced economies. Higher debt is …

We devise a simple model of liquidity demand and supply to deepen the understanding of
dealers' liquidity provision in currency markets. Drawing on a globally representative data …

In the 1980s, the first doubts about the validity of the Sharpe Single Index Model to explain
the cross-sectional expected returns of financial assets appeared. Since then, the financial …

We propose that intermediaries' capital constraints cause contagion in the pricing efficiency
for assets managed by a common intermediary. We first use a simple model to demonstrate …

We study the evolution of municipal bond issuers' debt structure over 100 years. We identify
two significant declines in maturities in the 1930s and 1980s, accounting for a 50% decline …

How should monetary policy respond to evolving financial conditions? To answer this
question we develop and Bayesian estimate a dynamic macro model with a detailed …

In this paper, we add new evidence to a long-debated macroeconomic question, namely,
whether money growth has predictive power for inflation or put differently, whether money …