Beyond Speculation: Payment Stablecoins for Real-time Gross Settlements joint with Thomas Hadeed and Ziming Zeng
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.
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.
- Stablecoins: Growth Potential and Impact on Banking, joint with John Caramichael
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.
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.
We show that currency hedging links external imbalances to exchange rate movements, cross-currency basis, and currency option skew.
- Revise and resubmit at RFS
We show that ample reserves are the key to support global banks’ dollar lending in money markets.
- Rare Disaster Probability and Options-Pricing, joint with Robert Barro
- Credit Migration and Covered Interest Rate Parity
- Asset Price Dynamics in Partially Segmented Markets, joint with Robin Greenwood and Sam Hanson
- Rethinking Operational Risk Capital Requirements, joint with Peter Sands and Yueran Ma
- Published version: Journal of Financial Regulation, 2018
- The Dominance of Uniswap v3 Liquidity joint with Dan Robinson
- Uniswap Returns for Passive Liquidity Providers joint with Austin Adams
- Average Marginal Income Tax Rates in New Zealand, 1907-2009 joint with Debasis Bandyopadhyay, Robert J. Barro, Jeremy Couchman, Norman Gemmell, and Fiona McAlister
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
- Stablecoins and Short-term Funding Market at the SNB-CIF 2023 conference