Publications

Banks hold liquid and illiquid assets. An illiquid bank that receives a liquidity shock sells assets to liquid banks in exchange for cash. We...

We exploit a novel setting in which the same piece of information affects two sets of firms: one set of firms requires straightforward processing to...

This paper provides an alternative real options framework to assess how firms' strategic interaction under imperfect competition affects the...

We develop a dynamic industry model where financing frictions affect the entry decisions of new firms in the home market, as well as the riskiness of...

In the short-run, bond risk premia exhibit pronounced spikes around major economic and financial crises. In contrast, long-term bond risk premia...

Despite much work on hedging in incomplete markets, the literature still lacks tractable dynamic hedges in plausible environments. In this article, we...

In this paper I propose a regime-switching approach to explain why the U.S. nominal yield curve on average has been steeper since the mid-1980s than...

We analyze one frequent clause in bonds, covenant defeasance. Covenant defeasance allows the issuer to remove the bond’s covenants by placing the...

Because of limited liability, insolvent banks have an incentive to roll over bad loans, in order to hide losses and gamble for resurrection, even...

Bailing out banks requires overcoming debt overhang as well as dealing with adverse selection with respect to the quality of banks’ balance sheets, in...

Bailing out banks requires overcoming debt overhang as well as dealing with adverse selection with respect to the quality of banks’ balance sheets, in...

We estimate structurally a model of the term structure of interest rates that is consistent with no arbitrage but allows for demand pressures. The...

This paper provides first and second-order approximation methods for the solution of non-linear dynamic stochastic models in which the exogenous state...

We investigate the effect of the ability of “non-traditional” funds to short-sell the equity of their debtors. This enables the funds to vote on the...

We study a model where a capital provider learns from the price of a firm’s security in deciding how much capital to provide for new investment. This...

We use asset pricing insights to study importance of micro-level frictions for aggregate quantities. In our model, the relevant stochastic variable is...