Senior Economist
Federal Reserve Board
[email protected]
[email protected]
CV · SSRN · Google Scholar · LinkedIn
The contents of this website do not necessarily reflect the views of the Federal Reserve Board or its staff.I am a senior economist at the Board of Governors of the Federal Reserve System. My research interests include asset pricing, financial intermediation, and safe assets.
I received my Ph.D. in financial economics from the Yale School of Management. Previously, I was an economist at Morgan Stanley and a research associate at the Yale Program on Financial Stability.
Making Money
with Gary B. Gorton and Sharon Y. Ross
Forthcoming, Journal of Finance
Abstract · SSRN · NBER WP #29710
It is hard for private agents to produce money that circulates at par with no questions asked about its backing. Stablecoins, digital tokens designed to maintain a stable value, are the newest iteration of privately produced money. We study stablecoins to understand how privately produced money develops a convenience yield. We document that most stablecoins have low — and often negative — convenience yields. We show that four forces help them command a larger convenience yield: aggregate factors, reputation, technology, and dollar demand. Coin-specific variation in these forces has become increasingly important, helping explain why some stablecoins gain wider adoption.
The Treasury Collateral Spread and Levered Safe-Asset Production
Accepted, Management Science
2020 BlackRock Applied Research Award Finalist
Abstract · SSRN
Leverage and Stablecoin Pegs
with Gary B. Gorton, Elizabeth C. Klee, Sharon Y. Ross, and Alexandros Vardoulakis
Accepted, Journal of Financial and Quantitative Analysis
Abstract · SSRN · NBER WP #30796 · VoxEU Column
Investor Information and Bank Instability During the Euro Crisis
with Silvia Iorgova
Journal of Financial Stability (2023)
Abstract · Published Version
Who Ran on Repo?
with Gary B. Gorton and Andrew Metrick
AEA Papers and Proceedings (2020)
Abstract · Published Version
Risk and Specialization in Covered-Interest Arbitrage (Updated 8/2025)
with Tobias J. Moskowitz, Sharon Y. Ross, and Kaushik Vasudevan
Revise & Resubmit, Journal of Finance
Abstract · SSRN · NBER WP #32707 · FEDS WP #2024–061
Prevailing theories of financial intermediation assume an integrated financial sector with frictionless risk-sharing. However, we identify substantial risk-sharing frictions linked to intermediary specialization using the cross-section of covered-interest parity (CIP) deviations as a laboratory. Obtaining confidential supervisory data covering $25 trillion in daily bank exposures, we document that CIP arbitrage is risky for banks, which take on maturity mismatches and purchase risky assets to hedge their currency exposure from derivatives. These risks lead intermediaries to specialize in markets where they have expertise in managing them. Our results highlight the importance of intermediary specialization and its impact on risk premia.
Cash-Hedged Stock Returns
with Landon J. Ross and Sharon Y. Ross
Revise & Resubmit, Review of Asset Pricing Studies
2023 SWFA best paper award winner in investments
2022 FMA best paper semifinalist in investments
Abstract · SSRN · FEDS WP #2022–055 · OFR WP #22–03
Where Collateral Sleeps
with Gary B. Gorton and Sharon Y. Ross
Abstract · SSRN
Banks can use the discount window to fend off a run by pre-positioning their assets with the Fed and borrowing against them. Pre-positioning insures against runs but can be costly. We study the forces driving the largest banks’ pre-positioning behavior. Banks pre-position more in bad times but less when stigma is higher or collateral is desirable elsewhere. We document a pre-positioning stigma that banks face when disclosing they have placed collateral with the Fed, even absent borrowing. Riskier banks are more likely to disclose because the signaling value outweighs stigma for these banks. 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.
Safe-Asset Migration
Abstract · SSRN
The Fragility of Perfectly Safe Digital Money
with Elizabeth C. Klee, Arazi Lubis, Sharon Y. Ross, and Alexandros Vardoulakis
Proposal selected for presentation at the special issue conference of the Review of Finance on “The Future of Payments—CBDC, Digital Assets and Digital Capital Markets” co-organized by CEPR, ECB, and Bocconi, September 2025
© Chase P. Ross 2025 ⁂ All Rights Reserved