We document extreme disruption in debt markets during the COVID-19 crisis: a severe price
crash accompanied by significant dislocations at the safer end of the credit spectrum …

We find that shocks to the equity capital ratio of financial intermediaries—Primary Dealer
counterparties of the New York Federal Reserve—possess significant explanatory power for …

We show that maturity transformation does not expose banks to interest rate risk—it hedges
it. The reason is the deposit franchise, which allows banks to pay deposit rates that are low …

We document a regime change in the Treasury market post-Global Financial Crisis (GFC):
dealers switched from net short to net long Treasury bonds. We construct “net-long” and “net …

We survey the growing literature emphasizing the role that supply and demand forces play
in shaping the term structure of interest rates. Our starting point is the Vayanos and Vila …

We develop a model in which specialized bond investors must absorb shocks to the supply
and demand for long-term bonds in two currencies. Since long-term bonds and foreign …

Poor financial health of intermediaries coincides with low asset prices and high risk
premiums. Is this because intermediaries matter for asset prices, or because their health …

We study the determinants of value creation in US commercial banks. We develop novel
measures of individual banks' productivities at collecting deposits and making loans that we …

Long-term interest rates in Europe fell sharply in 2014 to historically low levels. This
development is often attributed to yield-chasing in anticipation of quantitative easing by the …

We study risk management in financial institutions using data on hedging of interest rate and
foreign exchange risk. We find strong evidence that institutions with higher net worth hedge …