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.
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.
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.
I presented "Duration Effects in Macro-Finance Models of the Term Structure" at the CAMF Asset Pricing Workshop in York. Slides available here.
Also at the workshop, Dimitri Vayanos featured some of my work in his keynote lecture on "Price Pressures in Financial Markets and the Macroeconomy."