At the announcement of a new policy, agents form a view of state-contingent policy actions
and impact. We develop a method to estimate this state-contingent perception and …

The resilience of the US Treasury market is limited by dealer balance sheets that are not
sufficiently large and flexible to effectively intermediate this market in a``dash for cash," as …

This paper presents a dynamic asset pricing model of Treasury bonds with banks subject to
both capital and liquidity requirements. Capital requirements and households' preference for …

We study dealers' bidding behavior in the Bank of England's quantitative easing (QE)
reverse auctions. Using a novel data set on both accepted and rejected offers together with …

This paper demonstrates that repo markets play a crucial role in the manufacturing of safe
assets. We overcome endogeneity concerns regarding repo market activity and the safety …

There are competing narratives regarding the causes of the war in Ukraine. One focuses on
the provocation by the United States and the North Atlantic Treaty Organization, while others …

Central banks have used asset purchase programs to keep markets operational in times of
crisis. We model how central bank asset purchases alleviate dealers' balance-sheet …

The resilience of the US Treasury market is limited by dealer balance sheets that are not
sufficiently large and flexible to effectively intermediate this market in a “dash for cash,” as …

Uncertainty pervades financial markets. How financial market participants form expectations
when faced with uncertainty is therefore central to the study of financial markets. This thesis …

Safe assets play an important economic role as a store of value. Remarkably, gold is
generally not considered a safe asset despite the fact that both gold and government bonds …