©2019 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.

NEWS

Upcoming Events

Expectation and Duration at the Effective Lower Bound” is forthcoming in the Journal of Financial Economics.

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

In November, I will be discussing Foley-Fisher, Narajabad, and Verani's "Who Limits Arbitrage?" at the Fed System Conference on Financial Institutions, Regulation, and Markets in Boston.

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.

January 2019

I presented "Securities Financing and Asset Markets: New Evidence" at the Fed Day-Ahead Conference.  Gary Gorton was the discussant.  Slides available here.

I discussed Arce, Gimeno, and Mayordomo's "Making Room for the Needy" in an AEA session on corporate QE.  Slides available here.

June 2019

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."

November 2018

I wrote a note on banks and the yield curve with Jonathan Yu.

"Securities Financing and Asset Markets: New Evidence" is now a Chicago Fed Working paper.

"Thomas, Contemplating" by Stefania D'Amico