Published (and other available) papers (on RePec)
- “Optimal Financial Exclusion,” with Erwan Quintin, forthcoming AEJ: Microeconomics.
- “Dealers’ Insurance, Market Structure, and Liquidity,” with Francesca Carapella, forthcoming, Journal of Financial Economics.
- “The Collateral Cost of Clearing,” with Thomas Nellen, forthcoming, Journal of Money Credit and Banking
- “Relationships In The Interbank Market”, (2020) Review of Economic Dynamics 35, 170-191, with Jonathan Chiu and Jens Eisenshmidt.
- “A Theory of Repurchase Agreements, Collateral Re-use, and Repo Intermediation” (2019), Review of Economic Dynamics 33, 30-56 with Vincent Maurin and Piero Gottard
- Rational Opacity ” (2017) Review of Financial Studies 30, December, with Erwan Quintin
- We study why some corporations are more opaque than they could be.
- Limited disclosure and hidden orders in asset markets (with Erwan Quintin) Journal of Financial Economics, 2017
- The optimal organization of asset markets is characterized by hidden orders of expert investors and limited disclosure from the originators of assets to induce participation of non-experts.
- A search-based model of the interbank money market and monetary policy implementation (with Morten Bech) Journal of Economic Theory, 2016
- A simple model to understand the effects of monetary policy implementation, including large excess reserves, on the interbank market.
- Monetary Emissions Trading Mechanisms (with Ted Temzelides) International Journal of Game Theory, 2016
- We use insights from dynamic mechanism design in monetary economics to derive properties of optimal dynamic emissions trading mechanisms.
- Private Money and Banking Regulation (with Daniel Sanches) Journal of Money, Credit, and Banking, 2015
- How to regulate banking to achieve an efficient supply of liquidity?
- Efficient Contract Enforcement (with Thor Koeppl and Erwan Quintin) Economic Theory, 2014
- When the choice of institutions is endogenous what is the impact of inequality on the quality of institutions and ultimately on growth.
- Endogenous Credit Cycles (with Chao Gu, Fabrizio Mattesini and Randy Wright) Journal of Political Economy, 2013
- How endogenous credit limit can create exotic and interesting dynamics.
- Banking: A new monetarist approach (with Chao Gu, Fabrizio Mattesini and Randy Wright) Review of Economic Studies, 2013
- A mechanism approach to banking that emphasizes limited commitment.
- The Impact of Unconventional Monetary Policy on the Overnight Interbank Market (with Morten Bech) Reserve Bank of Australia 2013 Annual Conference Volume on “Liquidity and Funding Markets”
- We review different models of the overnight interbank market in light of the recent unconventional monetary policy.
- Money Talks (with Marie Hoerova and Ted Temzelides) Economic Letters, 2012
- We study credible information transmission by a benevolent short-lived central bank. Information transmission through monetary policy creates a distortion, thus, lending credibility.
- Central Counterparty Clearing and Systemic Risk Insurance in OTC Derivatives Markets (with Thor Koeppl) Revue d’Economie Financiere – The Unregulated Finance – 2012
- We argue that CCP clearing derivatives should require contributions to a systemic risk funds which goes beyond the standard collateral requirements (default funds, initial and variation margins).
Unpublished papers
- A Theory of Repurchase Agreements, Collateral Re-Use and Repo Intermediation (with Piero Gottardi and Vincent Maurin)
- We show that repurchase agreements (repos) arise as the instrument of choice to borrow in a competitive model with limited commitment. In equilibrium, lenders choose to re-use collateral. This increases the circulation of the asset and generates a “collateral multiplier” effect. Intermediation by dealers may endogenously arise in equilibrium, with chains of repos among traders.
- The Emergence and Future of Central Counterparties (with Thor Koeppl)
- We present a model of central counterparty clearing and derive some policy implications if regulations are put in place.
- Why Rent When You Can Buy : A Theory of Repurchase Agreements (with Borghan Narajabad)
- We show that repos are redundant in Walrasian markets. With bilateral trading, repos help restore efficiency. We obtain testable results on prices and market volumes.
- Endogenous adverse selection, market discipline, and central bank lending (with Marie Hoerova)What is the role of a central bank when market discipline is effective?