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I am organizing a conference, together with colleagues from the Chicago and San Fransisco Feds and Notre Dame, on "Fixed Income Markets and Inflation," to be hosted in Chicago in May.  There is a joint special issue of the Journal of Financial Econometrics.


The call for papers is here.  Deadline is February 1.  If you have relevant work, please submit it!

Here is a new Economic Perspectives article, "Monetary Policy and the Stock Market in the Covid Era."  I show that the Fed's policy actions in 2020 - 21 boosted stock prices significantly by raising expected nominal profits, lowering risk-free rates, and compressing risk premia.

Here is a Chicago FedLetter with Stefania D'Amico on how much of the current round of monetary-policy tightening has already passed through to the macroeconomy.  It uses an updated version of our recent paper on anticipated monetary policy to take account of tightening that occurred in advance of actual policy-rate changes through the expectations channel.  (Data are as of August 2023.)

The article was mentioned by Bloomberg, among other outlets, and featured in a speech at the Petersen Institute by President Goolsbee.

"What Does Anticipated Monetary Policy Do?" was published in the Journal of Monetary Economics.

Substantially revised working paper version available here.  Draft of online appendix available here.

"Central Counterparties and Systemic Liquidity Risk" was published in the International Journal of Central Banking.

An updated and much-revised version of "Securities Financing and Asset Markets: New Evidence" is available.

I discussed Schmid, Valaitis, and Villa's "Government Debt Management with Real and Nominal Bonds" at the Bank of Canada/SF Fed conference on fixed-income and macro-finance research in Ottawa in May.  Slides available here.

I authored a chapter on inflation-hedging products, with Stefania D'Amico, for the Research Handbook of Financial Markets.  Working paper version available here.

We also have a new working paper, "One Asset Does Not Fit All: Inflation Hedging by Index and Horizon," which contains some related empirical work.

I have posted a draft of a new paper, "Real Yields and the Transmission of Central Bank Balance-Sheet Policies."  The paper investigates policy options when long-term nominal yields are constrained at their lower bound and, in particular, proposes inflation-indexed term lending as a potential way to provide stimulus in that environment.  Comments welcome!


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