Adrian, T., E. Etula, and T. Muir (2014). Financial Intermediaries and the Cross-Section of Asset Returns. The Journal of Finance 69(6), 2557â2596.
Adrian, T., R. K. Crump, and E. Moench (2013). Pricing the term structure with linear regressions. Journal of Financial Economics 110(1), 110â138.
- Anderson, C. and W. Liu (2021). Inferring intermediary risk exposure from trade. Working paper, Federal Reserve Board.
Paper not yet in RePEc: Add citation now
Arias, J. E., J. F. Rubio-Ramirez, and D. F. Waggoner (2018). Inference based on structural vector autoregressions identified with sign and zero restrictions: Theory and applications. Econometrica 86(2), 685â720.
- Begenau, J., M. Piazzesi, and M. Schneider (2020). Banksâ risk exposures. Working paper, Stanford University.
Paper not yet in RePEc: Add citation now
- Borio, C., R. N. McCauley, P. McGuire, and V. Sushko (2018). The failure of covered interest parity: Fx hedging demand and costly balance sheets. BIS Working Papers 590, Bank for International Settlements.
Paper not yet in RePEc: Add citation now
Boyarchenko, N., P. Gupta, N. Steele, and J. Yen (2018). Negative swap spreads. Federal Reserve Bank of New York Economic Policy Review 24(2), 1â14.
- Boyarchenko, N., T. M. Eisenbach, P. Gupta, O. Shachar, and P. Van Tassel (2020). Bankintermediated arbitrage. Staff Report 858, Federal Reserve Bank of New York.
Paper not yet in RePEc: Add citation now
Brunnermeier, M. K. and L. H. Pedersen (2009). Market liquidity and funding liquidity. Review of Financial Studies 22(6), 2201â2238.
- Chen, H., S. Joslin, and S. X. Ni (2018). Demand for crash insurance, intermediary constraints, and risk premia in financial markets. Review of Financial Studies 32(1), 228â265.
Paper not yet in RePEc: Add citation now
Chernenko, S. and M. Faulkender (2011). The two sides of derivatives usage: Hedging and speculating with interest rate swaps. Journal of Financial and Quantitative Analysis 46(6), 1727 â 1754.
Cieslak, A. and H. Pang (2020). Common shocks in stocks and bonds. Journal of Financial Economics forthcoming.
Cohen, L., K. B. Diether, and C. J. Malloy (2007). Supply and demand shifts in the shorting market. Journal of Finance 62(5), 2061â2096.
Collin-Dufresne, P. and B. Solnik (2001). On the term structure of default premia in the swap and libor markets. Journal of Finance 56, 1095â1115.
- Cortes, F. (2003). Understanding and modelling swap spreads. Quarterly bulletin 2003 q4, Bank of England.
Paper not yet in RePEc: Add citation now
De Long, B. J., A. Shleifer, L. H. Summers, and R. J. Waldmann (1990). Noise trader risk in financial markets. Journal of Political Economy 98(4), 703â738.
Domanski, D., H. S. Shin, and V. Sushko (2017). The hunt for duration: Not waving but drowning? IMF Economic Review 65(1), 113â153.
Drechsler, I., A. Savov, and P. Schnabl (2021). Banking on deposits: Maturity transformation without interest rate risk. Journal of Finance 76(3), 1091â1143.
- Driscoll, J. C. and R. A. Judson (2013). Sticky deposit rates. Finance and economics discussion series, Board of Governors of the Federal Reserve System.
Paper not yet in RePEc: Add citation now
Du, W., A. Tepper, and A. Verdelhan (2018). Deviations from Covered Interest Rate Parity. Journal of Finance 73(3), 915â957.
- Duarte, J., F. A. Longstaff, and F. Yu (2006, 07). Risk and return in fixed-income arbitrage: Nickels in front of a steamroller? Review of Financial Studies 20(3), 769â811.
Paper not yet in RePEc: Add citation now
- Duffie, D. (2017). Post-crisis bank regulations and financial market liquidity. Technical report, Banca dâItalia.
Paper not yet in RePEc: Add citation now
- Duffie, D. (2020). Still the worldâs safe haven? Working paper, Hutchins Center.
Paper not yet in RePEc: Add citation now
Duffie, D. and K. J. Singleton (1997). An econometric model of the term structure of interestrate swap yields. Journal of Finance 52, 1287â1321.
FeldhuÌtter, P. and D. Lando (2008). Decomposing swap spreads. Journal of Financial Economics 88, 375â405.
- Fleming, M. J. and J. V. Rosenberg (2008). How do treasury dealers manage their positions? Technical report.
Paper not yet in RePEc: Add citation now
Frame, W. S., A. Fuster, J. Tracy, and J. Vickery (2015). The rescue of fannie mae and freddie mac. Journal of Economic Perspectives 29(2), 25â52.
Fry, R. and A. Pagan (2005). Some issues in using vars for macroeconometric research. Technical report.
Fry, R. and A. Pagan (2011). Sign restrictions in structural vector autoregressions: A critical review. Journal of Economic Literature 49(4), 938â960.
GaÌrleanu, N. and L. H. Pedersen (2011). Margin-based asset pricing and deviations from the law of one price. Review of Financial Studies 24, 1980â2022.
Goldberg, J. and Y. Nozawa (2021). Liquidity supply in the corporate bond market. Journal of Finance 76(2), 755â796.
- Gourinchas, P.-O., W. Ray, and D. Vayanos (2020). A preferred-habitat model of term premia and currency risk. Working paper, London School of Economics.
Paper not yet in RePEc: Add citation now
Greenwood, R. and D. Vayanos (2014). Bond supply and excess bond returns. Review of Financial Studies 27(3), 663â713.
Greenwood, R., S. G. Hanson, J. C. Stein, and A. Sunderam (2017). Strengthening and streamlining bank capital regulation. Brookings Papers on Economic Activity 48(2), 479â565.
- Greenwood, R., S. G. Hanson, J. C. Stein, and A. Sunderam (2020). A quantity-driven theory of term premiums and exchange rates. Working paper, Harvard Business School.
Paper not yet in RePEc: Add citation now
- Hanson, S. G. (2014). Mortgage convexity. Journal of Financial Economics 113(2), 270â299.
Paper not yet in RePEc: Add citation now
- Hanson, S. G., A. K. Kashyap, and J. C. Stein (2010). A macroprudential approach to financial regulation. Journal of Economic Perspectives 25(1), 3â28.
Paper not yet in RePEc: Add citation now
He, Z. and A. Krishnamurthy (2013). Intermediary Asset Pricing. American Economic Review 103(2), 732â770.
He, Z., B. Kelly, and A. Manela (2017). Intermediary Asset Pricing: New Evidence from Many Asset Classes. Journal of Financial Economics 126(1), 1â35.
Hu, G. X., J. Pan, and J. Wang (2013). Noise as information for illiquidity. Journal of Finance 68, 2341â2382.
Jermann, U. (2020). Negative swap spreads and limited arbitrage. Review of Financial Studies 33(1), 212â238.
Klingler, S. and S. Sundaresan (2019). An explanation of negative swap spreads: Demand for duration from underfunded pension plans. Journal of Finance 74(2), 675â710.
Krishnamurthy, A. and A. Vissing-Jorgensen (2012). The aggregate demand for treasury debt. Journal of Political Economy 120(2), 233â267.
Lang, L. H., R. H. Litzenberger, and A. L. Liu (1998). Determinants of interest rate swap spreads. Journal of Banking and Finance 22, 1507â1532.
Liu, J., F. A. Longstaff, and R. E. Mandell (2006). The market price of risk in interest rate swaps: The roles of default and liquidity risks. Journal of Business 79, 2337â2359.
Loewenstein, M. and G. A. Willard (2006). The limits of investor behavior. Journal of Finance 61(1), 231â258.
- Lowenstein, R. (2000). When Genius Failed: The Rise and Fall of Long-Term Capital Management. New York: Random House.
Paper not yet in RePEc: Add citation now
Malkhozov, A., P. Mueller, A. Vedolin, and G. Venter (2016). Mortgage risk and the yield curve. Review of Financial Studies 29(5), 1220â1253.
Perli, R. and B. P. Sack (2003). Does mortgage hedging amplify movements in long-term interest rates? Journal of Fixed Income 13(3), 7 â 17.
- Siriwardane, E., A. Sunderam, and J. Wallen (2021). Segmented arbitrage. Working paper, Harvard Business School.
Paper not yet in RePEc: Add citation now
Spiegel, M. (1998). Stock price volatility in a multiple security overlapping generations model. Review of Financial Studies 11, 419â447.
- TBAC (2021, February). Treasury borrowing advisory committee report to treasury. Technical report.
Paper not yet in RePEc: Add citation now
Uhlig, H. (2005). What are the effects of monetary policy on output? results from an agnostic identification procedure. Journal of Monetary Economics 52, 381â419.
Vayanos, D. and J.-L. Vila (2021). A preferred-habitat model of the term structure of interest rates. Econometrica 89, 77â112.