CV and Research

PDF Curriculum Vitae / resume

Disclaimer: The views presented in the papers below are those of the respective author(s) and do not necessarily represent those of the Federal Reserve Bank of Boston or the Federal Reserve System.

Working papers (active)

Should the government be paying investment fees on $3 trillion of tax-deferred retirement assets?
With Stephen Zeldes (Columbia University). (Conditionally accepted at the Review of Financial Studies)
Traditional (EET) retirement accounts are funded with pre-tax money, Roth (TEE) retirement accounts with after-tax money. For this reason, Traditional retirement accounts have more assets and pay more fees. The excess fees are implicitly paid by the government. We estimate that the U.S. government is paying fees of $13.5 billion a year on its $3 trillion implicit account.
AbstractPresentationsPDF – Internet Appendix updated 2023-12-05

The Full Story of Runs
With Jun Kyung Auh (Yonsei University) and Hayong Yun (Michigan State University, Broad College of Business)
We examine repo lenders’ behavior during the last days of a hedge fund that encountered financial difficulties. We observe at first lender coordination in providing the borrower with financial slack, followed by a run as condition deteriorate further.
(PDF draft coming soon)

Runs and Flights to Safety: Are Stablecoins the New Money Market Funds?
With Kenechukwu Anadu (FRB Boston) et al.
We show that stablecoins, like money market funds, are subject to flight-to-quality: in times of stress, capital flows from stablecoins and blockchains deemed unsafe to ones deemed safe. We also show that, like money market funds, stablecoins “break the buck” at a certain price threshold.
PDF updated 2023-08-24. Featured on Liberty Street Economics blog, Part 1 2023-07-12 [link], Part 2 2024-03-08 [link]

Non-Bank Financial Institutions and Banks’ Fire-Sale Vulnerabilities
With Nicola Cetorelli (FRB New York) and Lina Lu (FRB Boston)
We quantify banks’ significant fire-sale exposures to twelve separate nonbank segments and identify network-like externalities driven by the interconnectedness across nonbank types in terms of asset holdings.
PDF updated 2023-10-06. Featured on Liberty Street Economics blog, 2023-04-18 [link].

How much equity can a distressed bank raise?
A simple model that derives (i) the maximum amount that can be raised in an offering and (ii) the maximum discount that can be offered, as a function of the value of pre-existing equity. Rights offerings raise more capital than public offerings, suggesting a potential tradeoff between investor protection and financial stability.
(PDF draft coming soon)

Navigli di Milano, Conca di Viarenna

Published and accepted papers

Loan Terms and Collateral: Evidence from the Bilateral Repo Market
With Jun Kyung Auh (Yonsei University). Journal of Finance, 2022, 77(6), p. 2993-3425 
Using a proprietary dataset of bilateral repurchase agreements, we show that when collateral quality drops, spread rises, haircut rises, but also–less obviously–maturity gets longer. Riskier loans are cheaper for the borrower on a risk-adjusted basis suggesting a combination of lender optimism and reaching for yield.
AbstractPresentationsPDF updated 2022-2-14

Linking policy to outcomes: a simple framework for debt maturity management. In Debt management in Uncertain Times. Proceedings of the first Public Debt Management Network Conference, Ministero dell’Economia e delle Finanze, Rome – Italy, ISBN 978-88-945665-0-5, p. 59–80 (2020).
With Winthrop T Smith (Wells Fargo) and Christopher Cameron (U.S. Department of the Treasury).
We introduce a new way to think about debt management policy. Our results indicate that the U.S. Treasury may be able to reduce cost of borrowing without increasing refinancing risk.1
AbstractPresentationsPDF updated 2019-7-11

Dilution and True Economic Gain From Cryptocurrency Block Rewards, 168 Tax Notes 1213 (Aug. 17, 2020).
With Abraham Sutherland (University of Virginia Law School).
There is no good tax treatment for proof-of-stake rewards, but the current U.S. treatment is probably the least good.

Taxing blockchain forks, Stanford Journal of Blockchain Law & Policy, 2020, 3(2), p. 197–227.
With Gina Pieters (University of Chicago).
There is no good tax treatment for cryptocurrency forks, but the current U.S. treatment is probably the least good.
Abstract – PDF updated 2019-10-28

Tax distortions and bond issue pricing, Journal of Financial Economics, 2018, No. 129, p. 382–393
Previously titled “Why are municipal bonds issued at a premium?” and “Tax-efficient Issuance and Trading of Tax-exempt bonds”.
Unlike taxable bonds, tax-exempt bonds are regularly issued at a premium. I argue that this is a form of tax arbitrage that potentially costs the U.S. Treasury $1.7 billion a year.
AbstractPresentationsPDF – Internet Appendix updated 2017-10-01

Working papers (NOT CURRENTLY ACTIVE)

Capital gains taxes and trading incentives
2014 job market paper.
Realizing capital gains on appreciated taxable bonds is less expensive than on tax-exempt bonds. Accordingly, I show that property-casualty insurance companies are very reluctant to realize gains on tax-exempt bonds, but only mildly reluctant to sell taxable bonds.
AbstractPresentationsPDF updated 2019-12-19

Tricks of the trade? Pre-issuance price maneuvers by underwriter-dealers
With Jun Kyung Auh (Georgetown University/Yonsei University) and You Suk Kim (Federal Reserve Board of Governors). 
We use unmasked regulatory data to examine the behavior of securities dealers affiliated with the underwriters of corporate bond issues. We find that, before and after the new issue event, affiliated dealers bid aggressively for the issuer’s pre-existing bonds.
AbstractPresentationsPDF updated 2019-7-11

Do taxes or information drive demand for bond insurance?
For tax-exempt bonds, default insurance may have positive tax consequences. However, I show that in practice for the average insured bond these consequences are likely negative, and very small in absolute value. Observed issuance patterns are consistent with insurance creating value by reducing uncertainty about bond quality.
AbstractPresentationsPDF updated 2018-3-22

Does fixed point iteration converge to the correct asset price in dynamic models with taxes?
With Diego Vega (Cornerstone).
Taxes may cause asset prices to be recursively dependent (e.g., the more you pay today, the more depreciation deductions you get in the future, the more you are willing to pay today). We show that fixed point iteration (that thing you do when you allow a circular reference in Excel) is usually a very safe solution technique. However, we also provide intuition about cases in which it doesn’t work.
Abstract – PDF updated 2018-4-6

Quantifying Tail Risk for Hedge Funds
With Ravi Sastry (Amazon).
We propose an innovative way to measure and predict tail risk for hedge funds.
AbstractPresentationsPDF updated 2015-7-30

Navigli di Milano, Cascina San Cristoforo

Footnotes

  1. Disclaimer: The analysis and conclusions set forth in this paper are those of the author(s), and do not necessarily reflect those of or indicate concurrence by other members of the Treasury staff, Treasury’s senior officials, the Treasury Department, or the United States government.