About

I am an economist at the Board of Governors of the Federal Reserve System. My research interests include asset pricing, financial intermediation, and macrofinance.

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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Updates

apr. 2023	I joined the Federal Reserve Board of Governors as an economist in the International Finance division, Global Capital Markets section
feb. 2023	Cash-Hedged Stock Returns won the best paper award in the investments category at the 2023 SWFA
dec. 2022	New paper posted: Leverage and Stablecoin Pegs
sep. 2022	Cash-Hedged Stock Returns is a semifinalist for the 2022 FMA best paper in the investments category
jun. 2022	New paper posted: Cash-Hedged Stock Returns
jan. 2022	New paper posted: Making Money

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Working Papers

Making Money
with Gary B. Gorton and Chase P. Ross
Abstract · PDF (latest) · SSRN · NBER WP #29710

It is hard for private agents to produce money that circulates at par with no questions asked about its backing. The last circulating privately-produced money in the U.S. existed before the Civil War when thousands of private banknotes circulated. After that, the U.S. government taxed them out of existence in favor of money backed by U.S. Treasury bonds. The question of privately-produced money has arisen again in the form of stablecoins, digital assets purportedly backed one-for-one with collateral. Stablecoins are currently used to facilitate crypto trading, but could stablecoins eventually circulate as a hand-to-hand currency? To address this question, we first study pre-Civil War bank notes to determine what forces pushed these moneys from a negative convenience yield to a positive convenience yield. We then take these results and ask whether the same forces affect stablecoins, pushing them toward positive convenience yields.

Leverage and Stablecoin Pegs
with Gary B. Gorton, Elizabeth C. Klee, Chase P. Ross, and Alexandros Vardoulakis
Abstract · SSRN · NBER WP #30796

Money is debt that circulates with no questions asked. Stablecoins are a new form of private money that circulate with many questions asked. We show how stablecoins can maintain a constant price even though they face run risk and pay no interest. Stablecoin holders are indirectly compensated for stablecoin run risk because they can lend the coins to levered traders. When speculative demand is strong, levered traders are willing to pay a premium to borrow stablecoins. Therefore, the stablecoin can support a $1 peg even with higher levels of run risk.

Government Risk Exposure: Zombies, Bailouts, and Government Suppliers
Abstract · PDF

Firms that depend on the government — through either implicit guarantees or direct sales — face a special risk: government risk. I show that this risk is priced and is not spanned by other factors. I study four cases: U.S. banks, U.S. auto companies, U.S. government suppliers, and Japanese zombie firms. The U.S. cases involve direct exposure to government risk, and a U.S. government risk factor prices portfolios formed from government-dependent firms. Japanese zombies rely on the government’s constraints through the intermediary sector, and covariance with government risk drives the intermediary asset pricing result in an environment of loan forbearance.

Cash-Hedged Stock Returns
with Landon J. Ross and Chase P. Ross
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.

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Works in Progress

Decomposing Deviations from Covered-Interest Parity
with Tobias J. Moskowitz, Chase P. Ross, and Kaushik Vasudevan

Convenience Stores
with Gary B. Gorton and Chase P. Ross

Pricing With Almost-Arbitrages
with Chase P. Ross

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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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