December 2019

I have posted a new working paper "Central Clearing and Systemic Liquidity Risk," joint with Anna Paulson of the Chicago Fed and Travis Nesmith and Todd Prono of the Board.  The paper discusses ways in which central counterparties (CCPs), as a byproduct of their risk-management, tend to place extra liquidity demands on the financial sector during stressful periods.  Comments welcome!

Expectation and Duration at the Effective Lower Bound” was published in the Journal of Financial Economics.  The working paper version is still available here.

February 2020

"Central Clearing and Systemic Liquidity Risk" is now a FEDS working paper.

I have posted a preliminary (and somewhat incomplete) draft of "Capital Constraints and Risk Shifting: An Instrumental Approach," joint with Alejandro Drexler.

Upcoming Events

"Credit Risk, Liquidity, and Lies" is forthcoming in the International Journal of Central Banking.

At the (virtual) World Risk and Insurance Economics Conference in August, I will be presenting "Capital Constraints and Risk Shifting" and discussing "Are Financial Constrained Firms more Sensitive to Shocks?" by Bustos, Engist, Martinsson, and Thomann

November 2019

I discussed Foley-Fisher, Narajabad, and Verani's "Who Limits Arbitrage?" at the Fed System Conference on Financial Institutions, Regulation, and Markets in Boston.  Slides available here.

October 2019

I have posted a draft of a new paper, "Duration Effects in Macro-Finance Models of the Term Structure."  The paper incorporates Vayanos-Vila-type effects of asset supply into more-familiar structural models of the yield curve and estimates one such model, which incorporates observable macro factors, on the data.  Comments are very welcome!

I presented "Duration Effects in Macro-Finance Models of the Term Structure" at FRB San Francisco / Bank of Canada Conference on Fixed Income Markets.  Michael Gallmeyer was the discussant.  Slides available here.

©2020 by Thomas B. King

The views expressed on this site do not reflect official positions of the Federal Reserve Bank of Chicago or the Federal Reserve System.