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 …

This paper uses transaction-level data on UK inflation swaps to characterize who buys and
sells inflation risk, when, and with what price elasticity. This provides measures of expected …

We study the transmission of monetary policy through bank securities portfolios using
granular supervisory data on US bank securities, hedging positions, and corporate credit …

We use granular data sets–merged across the UK government bond, interest rate swap,
options and futures markets–to estimate exposures to interest rate risk at the sector level and …

We study the transmission of monetary policy through bank securities portfolios for the
United States using granular supervisory data on bank securities, hedging positions, and …

We use the term structure of bank CD rates to examine whether maturity-transformation risk
is priced into the rates banks offer customers. We find that depositors pay a significant cost …

We show that banks classify fixed-rate debt investment securities as held to maturity (HTM)
rather than as available for sale (AFS) when HTM classification provides preferred financial …

We study interest rate risk sharing across the financial system using novel data on cross-
sector interest rate swap positions. We show that pension funds and insurers (PF&I) are …

This paper studies a form of liquidity risk that we call 'Liquidity After Solvency Hedging'or
“LASH” risk. Financial institutions take LASH risk when they hedge against solvency risk …

I incorporate banks' spatial lending networks into a quantitative spatial general equilibrium
model with production to study the role of deposit allocations, and reallocations, for the real …