Research

WORKING PAPERS

• Risk-based Capital for Stable Value Tokens, joint with Dan Fishman, Jeremy Fox-Geen, August 2024
  • Press: Bloomberg Money Stuff
• What Drives Crypto Asset Prices?, joint with Austin Adams, Markus Ibert, August 2024
  • Press: Bloomberg Money Stuff
• Beyond Speculation: Payment Stablecoins for Real-time Gross Settlements joint with Thomas Hadeed and Ziming Zeng
  • Slides, February 2024, OCC Symposium on the Tokenization of Real-World Assets and Liabilities
  • Video highlights from D.C. Fintech Week Best Paper Award 2023

• On-Chain Foreign Exchange and Cross-Border Payments joint with Austin Adams, Mary-Catherine Lader, David Puth, Xin Wan

  This paper studies the use of distributed ledger technologies in the trading and settlement of foreign exchange on public blockchains and international payments.

  • Slides, June 2023, Bank of Canada Networks in Modern Financial and Payments Conference
  • Code & Data
  • Press: Bloomberg, Nasdaq

• Macroprudential Considerations for Tokenized Cash

  This paper uses blockchain data to examines the use and financial stability risks associated with tokenized cash, a subset of payment stablecoins fully reserved with cash and cash equivalents.

  • VOXeu
• Stablecoins: Growth Potential and Impact on Banking, joint with John Caramichael
  • Press: Bloomberg Money Stuff, Central Banking, PYMNTS

• The Price Effects of Innovative Security Design, joint with Claire Celerier and Boris Vallee

  We assess the price impact of structured retail products on equity implied volatilities and dividends, and we devise a trading strategy that arbitrage dislocations in option prices.

• U.S. Dollar Currency Premium in Corporate Bonds, joint with John Caramichael and Gita Gopinath

  We isolate a U.S. dollar currency premium by comparing corporate bonds issued in the dollar and the euro by firms outside the U.S. and Eurozone.

  • Slides (NBER SI 2021)

• U.S. Banks and Global Liquidity, joint with Ricardo Correa and Wenxin Du

  We show that ample reserves are the key to support global banks’ dollar lending in money markets.

  • slides (NBER SI 2020)
  • Press: Bloomberg, WSJ, FT, Bank Policy Institute, SIFMA News

PUBLICATIONS

• The Hedging Channel of Exchange Rate Determination, joint with Tony Zhang

  We show that currency hedging links external imbalances to exchange rate movements, cross-currency basis, and currency option skew.

  • Accepted at Review of Financial Studies
  • VOXeu
• Rare Disaster Probability and Options-Pricing, joint with Robert Barro
  • Published version: Journal of Financial Economics, 2020
  • Data: Disaster probability time series; Updated (March 2021) U.S. disaster probabilities
• Credit Migration and Covered Interest Rate Parity
  • Published version: Journal of Financial Economics, 2020
  • Data: Corporate Basis and Residualized Credit Spreads
  • slides (BIS symposium on CIP May 2017)
  • Press: Bloomberg, John Cochrane’s Blog
• Asset Price Dynamics in Partially Segmented Markets, joint with Robin Greenwood and Sam Hanson
  • Published version: Review of Financial Studies, 2018
  • Code
• Rethinking Operational Risk Capital Requirements, joint with Peter Sands and Yueran Ma
  • Published version: Journal of Financial Regulation, 2018

NON-REFERRED MANUSCRIPT

• The Dominance of Uniswap v3 Liquidity joint with Dan Robinson
  • Data
  • Code
• Uniswap Returns for Passive Liquidity Providers joint with Austin Adams
  • Data
  • Code
• Average Marginal Income Tax Rates in New Zealand, 1907-2009 joint with Debasis Bandyopadhyay, Robert J. Barro, Jeremy Couchman, Norman Gemmell, and Fiona McAlister

OTHER WRITINGS

• Payment versus trading stablecoins, CEPR-VOXeu Column, March 2023

• Banks Dominate Payment Systems. The Risks Are All Too Clear, Op-Ed at Barron’s, March 2023

• How to preserve the singleness of money for tokenised forms of money?, June 2023

Select discussions

• Stablecoins and Short-term Funding Market at the SNB-CIF 2023 conference

• Anatomy of a Run: The Terra Luna Crash at WFA 2024