We develop a conceptual framework and an empirical methodology to analyze the effect of
rising interest rates on the value of US bank assets and bank stability. We mark-to-market …

We identify fixed-income mutual funds as an important contributor to the unusually high
selling pressure in liquid asset markets during the COVID-19 crisis. We show that mutual …

We model the impact of interest rates on the liquidity risk of banks. Banks hedge the interest
rate risk of their assets with their deposit franchise: when rates rise the value of their assets …

This paper reviews literature on the empirical relationship between vulnerabilities in the
financial system and the macroeconomy, and how monetary policy affects that connection …

We quantify the impact of bank market power on monetary policy transmission through
banks to borrowers. We estimate a dynamic banking model in which monetary policy affects …

We estimate a dynamic banking model to quantify the impact of a central bank digital
currency (CBDC) on the banking system. Our counterfactuals show that a one-dollar …

How does the shadow banking system respond to changes in capital regulation of
commercial banks? We propose a quantitative general equilibrium model with regulated …

Credit supply expansion boosts housing speculation and amplifies the housing cycle. The
surge in private-label mortgage securitization in 2003 fueled a large expansion in mortgage …

ABSTRACT I develop a structural model of mortgage demand and lender competition to
study how leverage regulation affects the UK mortgage market. Using variation in risk …

We develop an empirical approach for identifying specialization in bank lending using
granular data on borrower activities. We illustrate the approach by characterizing bank …