Kathy Yuan

We develop a theory of liquidity transformation performed by market participants. An in-kind wrapper (e.g., a corporate bond ETF), issued by a fee...

We highlight the multiplier role of (public) safe assets by studying a model of a bank’s balance sheet. The bank optimally constructs a portfolio of...

Using an equilibrium network model and a large international panel of cross-border trade, we analyse empirically the drivers of foreign currency...

Using a unique transaction-level dataset covering the UK bilateral repo market, we show that only 61% of the repos are backed by high-quality...

We develop a dynamic model of DeFi lending that incorporates the following key features: 1) borrowing and lending are decentralized, anonymous...

Journal of Econometrics, 235 (2), 2125-2154