Publications

“Unconventional Monetary Policy and the (In)convenience of Treasuries” - Journal of Monetary Economics, V. 161, July 2026
with Andrew Hanson

“Central Banker to the World: Foreign Reserve Management and U.S. Money Market Liquidity” - Journal of International Economics, V. 163, Oct. 2026
with Ron Alquist and R. Jay Kahn

“Risk-On/Risk-Off: A Multifaceted approach to Measuring Global Investor Risk Bearing Capacity” - Journal of International Money and Finance, V. 159, Dec. 2025 ( RORO Index Dataset )
with Anusha Chari and Christian Lundblad

“Spillovers at the Extremes: The Macroprudential Stance and Vulnerability to the Global Financial Cycle” - Journal of International Economics, V. 136, May 2022
with Anusha Chari and Kristin Forbes

“Taper Tantrums: QE, its Aftermath and Emerging Market Capital Flows” - Review of Financial Studies, V. 34, Issue 3, Mar. 2021
with Anusha Chari and Christian Lundblad

Working Papers

“How High Does High Frequency Need to Be? A Comparison of Daily and Intradaily Monetary Policy Surprises” - FRBKC RWP 25-03
with Phillip An and Amaze Lusompa

This paper investigates the usefulness of daily data in measuring high-frequency monetary policy surprises, comparing various announcement-day asset price changes with their intradaily (30-minute) counterparts. We find that both frequencies are similarly distributed and often highly correlated, particularly for longer-horizon measures. In testing daily shocks for systematic contamination from non-monetary policy news, we find no evidence to suggest that contemporaneous news releases bias their measurement. Empirical applications, including high-frequency passthrough to Treasury yields and proxy SVAR models, suggest that daily shocks produce results comparable to those obtained with intradaily data. These findings suggest that although intradaily data remains invaluable for certain applications, daily data offer a practical and robust alternative for assessing monetary policy shocks, particularly when the event or reaction extends beyond a narrow window or when intradaily data is unavailable or infeasible.

“Capital Flows in Risky Times: Risk-on/ Risk-off and Emerging Market Tail Risk” - NBER WP 27927
with Anusha Chari and Christian Lundblad

Risk-on/risk-off shocks have pronounced distributional impacts on emerging market capital flows, with passive funds playing an increasingly pivotal role in amplifying these effects. Using panel quantile regressions on weekly EPFR fund flow data, this paper demonstrates that global risk-off shocks reshape the entire probability distribution of capital flows, with the worst outflow realizations reacting far more than the median. Passive funds, with their limited discretion and benchmarking mandates, react nearly three times more forcefully than active funds in the tails. This amplification traces to ETFs, concentrates in risk-off episodes, and stems from credit repricing and liquidity conditions, offering new insights into the mechanisms driving tail risk in emerging markets. Note: This paper has been substantially revised. The latest version (August 2026): Capital Flows in Risky Times: Risk-on/ Risk-off and the Amplifying Role of Passive Investment 

“Global Fund Flows and Emerging Market Tail Risk”
with Anusha Chari and Christian Lundblad

We study how passive investment shapes emerging market equity fund flows and returns. Using country-level data, we document sharply different responses to risk and risk aversion: while greater physical risk increases the dispersion of fund flows, greater risk aversion causes the flow distribution to collapse toward its median. These effects are particularly pronounced among passive funds, and greater passive exposure is associated with stronger cross-country return correlations following risk-off shocks. We rationalize these findings using a model with return-chasing investors and delegated portfolio management. Passive mandates require funds to trade benchmark constituents together, transforming investor withdrawals into synchronized flows and correlated price pressure. The resulting price movements feed back into subsequent flows through return chasing, amplifying the transmission of global risk-aversion shocks. 

“Unconventional Monetary Policy, (A)Synchronicity and the Yield Curve” - FRBKC Research WP 19-09

This paper examines unconventional monetary policy (UMP) spillovers between advanced economies, exploiting the asynchronous timing of policy normalization to shed light on the term structure implications of UMP divergence. Using high frequency data to identify monetary policy and contemporaneous news, I find that spillovers increase during UMP and strengthen during asynchronous normalization. Using a shadow rate term structure model, I find that international spillovers manifest through term premia, particularly at the effective lower bound. Identifying target, forward guidance, and Quantitative Easing (QE) shocks suggests term premium effects arise from QE and forward guidance, while target shocks do not generate spillovers.

Works in Progress

“US Monetary Policy and Equity Markets: Evidence from Security Level Data”
with Ricardo Correa and Horacio Sapriza