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 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.
Quantities and Covered-Interest Parity
with Tobias J. Moskowitz, Chase P. Ross, and Kaushik Vasudevan
Abstract · PDF · SSRN · NBER WP #32707 · FEDS WP #2024–061
Studies of intermediated arbitrage argue that bank balance sheets are an important consideration, yet little evidence exists on banks’ positioning in this context. Using confidential supervisory data (covering $25 trillion in daily notional exposures) we examine banks’ positions in connection with covered-interest parity (CIP) deviations. Exploiting cross-sectional variation in CIP deviations that have largely challenged existing theories, we document three novel forces that drive bases: 1) foreign safe asset scarcity, 2) market power and segmentation of banks specializing in different markets, and 3) concentration of demand. Our findings shed empirical light on the interplay of frictions influencing banks’ provision of dollar funding.
Making Money
with Gary B. Gorton and Chase P. Ross
Revise & Resubmit, Journal of Finance
Abstract · PDF · SSRN · NBER WP #29710
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
Leverage and Stablecoin Pegs
with Gary B. Gorton, Elizabeth C. Klee, Chase P. Ross, and Alexandros Vardoulakis
Revise & Resubmit, Journal of Financial and Quantitative Analysis
Abstract · PDF · SSRN · NBER WP #30796
Government Risk Distortions
Abstract · PDF
Zombie Asset Pricing
Abstract · PDF
Revise & Resubmit, Journal of Empirical Finance
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. While pre-positioning to the Fed can be costly, it allows banks to buy insurance against a bank run. But most banks don't pre-position. We use a novel dataset to study the forces that drive the largest banks’ pre-positioning behavior. The quantity and composition of collateral placed at the Fed tell us about the relative value of that insurance. We show that banks pre-position more in bad times but pre-position less when collateral is desirable elsewhere and when stigma is higher. 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.
Convenience Stores
with Gary B. Gorton and Chase P. Ross
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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