Senior Economist
Federal Reserve Board
[email protected]
[email protected]
CV · SSRN · Google Scholar · LinkedIn
I am a senior economist at the Board of Governors of the Federal Reserve System. My research interests include financial intermediation, asset pricing, and digital assets.
I received my Ph.D. in financial economics at the Yale School of Management. Previously, I worked at the U.S. Treasury’s Office of Financial Research and the global economics research group at Goldman Sachs in New York.
The contents of this website do not necessarily reflect the views of the Federal Reserve Board or its staff.
Making Money
with Gary B. Gorton and Chase P. Ross
Forthcoming, Journal of Finance
Abstract · PDF · SSRN · NBER WP #29710
It is hard for private agents to produce money that circulates at par with no questions asked about its backing. Stablecoins, digital tokens designed to maintain a stable value, are the newest iteration of privately produced money. We study stablecoins to understand how privately produced money develops a convenience yield. We document that most stablecoins have low — and often negative — convenience yields. We show that four forces help them command a larger convenience yield: aggregate factors, reputation, technology, and dollar demand. Coin-specific variation in these forces has become increasingly important, helping explain why some stablecoins gain wider adoption.
Leverage and Stablecoin Pegs
with Gary B. Gorton, Elizabeth C. Klee, Chase P. Ross, and Alexandros Vardoulakis
Accepted, Journal of Financial and Quantitative Analysis
Abstract · PDF · SSRN · NBER WP #30796
Credit Distortions in Japanese Momentum
Journal of Empirical Finance (2025)
Abstract · PDF · SSRN
Persistent credit distortions have warped equity returns in Japan, where decades of subsidized bank credit to “zombie firms” suppressed momentum premiums. Controlling for zombies revives Japan’s momentum effect: momentum earns significant alpha after adjusting for zombies, and momentum’s expected return and Sharpe ratio triple. The zombie-adjusted factor commands a positive price of risk, becomes unspanned by other factors, and aligns more closely with international patterns. Why? Zombies depend on forbearance from their banks, and zombie losers’ outsized betas to bank returns depress momentum. Analysis of syndicated loan data confirms that firms with forbearance-prone lenders drive Japan's persistently low momentum returns.
Risk and Specialization in Covered-Interest Arbitrage (Updated 8/2025)
with Tobias J. Moskowitz, Chase P. Ross, and Kaushik Vasudevan
Revise & Resubmit, Journal of Finance
Abstract · PDF · SSRN · NBER WP #32707 · FEDS WP #2024–061
Prevailing theories of financial intermediation assume an integrated financial sector with frictionless risk-sharing. However, we identify substantial risk-sharing frictions linked to intermediary specialization using the cross-section of covered-interest parity (CIP) deviations as a laboratory. Obtaining confidential supervisory data covering $25 trillion in daily bank exposures, we document that CIP arbitrage is risky for banks, which take on maturity mismatches and purchase risky assets to hedge their currency exposure from derivatives. These risks lead intermediaries to specialize in markets where they have expertise in managing them. Our results highlight the importance of intermediary specialization and its impact on risk premia.
Cash-Hedged Stock Returns
with Landon J. Ross and Chase P. Ross
Revise & Resubmit, Review of Asset Pricing Studies
2023 SWFA best paper award winner in investments
2022 FMA best paper semifinalist in investments
Abstract · PDF · SSRN · FEDS WP #22–055 · OFR WP #22–03
Government Risk Distortions
Abstract · PDF
Where Collateral Sleeps
with Gary B. Gorton and Chase P. Ross
Abstract · PDF · SSRN
Banks can use the discount window to fend off a run by pre-positioning their assets with the Fed and borrowing against them. Pre-positioning insures against runs but can be costly. We study the forces driving the largest banks’ pre-positioning behavior. Banks pre-position more in bad times but less when stigma is higher or collateral is desirable elsewhere. We document a pre-positioning stigma that banks face when disclosing they have placed collateral with the Fed, even absent borrowing. Riskier banks are more likely to disclose because the signaling value outweighs stigma for these banks. Even though pre-positioning is no panacea — banks still need good assets to borrow against — it can help on the margin. Regulators and bankers alike should worry about where collateral sleeps each night.
The Fragility of Perfectly Safe Digital Money
with Elizabeth C. Klee, Arazi Lubis, Chase P. Ross, and Alexandros Vardoulakis
Proposal selected for presentation at the special issue conference of the Review of Finance on “The Future of Payments—CBDC, Digital Assets and Digital Capital Markets” co-organized by CEPR, ECB, and Bocconi, September 2025
Non-centrally Cleared Bilateral Repo Link
with Samuel J. Hempel, R. Jay Kahn, and Vy Nguyen
August 24, 2022, Office of Financial Research
Forecasting the Economy During COVID-19 Link · PDF
with Chase P. Ross
May 26, 2020, Yale Program on Financial Stability
Fed Actions Support Agency Mortgage REITs Link · PDF
with Chase P. Ross
April 22, 2020, Yale Program on Financial Stability
Flight from Maturity During the Coronavirus Crisis Link · PDF
with Chase P. Ross, Gary B. Gorton, and Andrew Metrick
March 26, 2020, Yale Program on Financial Stability
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