About

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.

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Publications and Accepted Papers

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

Stablecoins are a new form of private money. They are fragile but largely trade at par. How? We present a model and empirical work to examine a novel source of demand for stablecoins. Stablecoin owners are indirectly compensated for run risk by lending their coins to crypto speculators. The stablecoin can then support its $1 peg, but this arrangement links crypto speculation to traditional financial markets where stablecoins invest their reserves.

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.

Working Papers

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

Corporate cash piles vary across companies and over time. A firm’s cash holding is an implicit position in a low-return asset that is correlated across firms. Cash generates variation in beta estimates. We show how investors can hedge out the cash on firms’ balance sheets when making portfolio choices. We decompose stock betas into components that depend on the firm’s cash holding, return on cash, and cash-hedged return. Common asset pricing premia — size, value, and momentum — have large implicit cash positions. Portfolios of cash-hedged premia often have higher Sharpe ratios because firms’ cash returns are correlated.

Government Risk Distortions
Abstract · PDF

Market distortions caused by intermediaries and the government lead to persistent asset pricing implications because there is a lack of diversification of intermediary and government risk. In Japan, zombie firms borrow at below-market rates. Intermediary risk prices zombies but not overall Japanese equities. Zombies differ from other bank-dependent firms because zombies rely on the government to continue allowing forbearance. This is reflected in the pricing: a government risk factor prices only zombies, and a Japanese intermediary factor prices zombies because intermediary risk covaries with government risk. Government risk exposure also determines the returns of U.S. firms with large government dependence.

Where Collateral Sleeps (Updated 9/2025)
with Gary B. Gorton and Chase P. Ross
Abstract · PDF · SSRN

Banks can use the discount window to fend off a run by prepositioning assets with the Fed and borrowing against them. Following the March 2023 bank runs, policymakers have considered mandatory prepositioning, arguably the largest update to the lender-of-last-resort toolkit in over a century. We study the forces that shape the largest banks’ prepositioning. We show that run-prone uninsured-deposit flows causally drive prepositioning and that banks face a  pre-positioning stigma, even absent borrowing. Prepositioning is no panacea — banks still need good assets to borrow against — but it can help at the margin.

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Works in Progress

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

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Other Writing

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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