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
Revise & Resubmit, 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. Privately-produced money was last circulated in the U.S. before the Civil War as private banknotes. Stablecoins are new privately-produced money. Stablecoins are currently used to facilitate crypto trading. But could stablecoins eventually circulate as a hand-to-hand currency? We study pre-Civil War banknotes to determine what forces pushed these monies from a negative convenience yield to a positive convenience yield. We then ask whether the same forces affect stablecoins, pushing them toward positive convenience yields.
The Treasury Collateral Spread and Levered Safe-Asset Production
[Substantially revised draft posted May 2024]
Revise & Resubmit, Management Science
2020 BlackRock Applied Research Award Finalist
Abstract · SSRN
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
Quantities and Covered-Interest Parity
with Tobias J. Moskowitz, Sharon Y. Ross, and Kaushik Vasudevan
Abstract · SSRN · NBER WP #32707 · FEDS WP #2024–061
Studies of intermediated arbitrage argue that bank balance sheets are an important consideration, yet little evidence exists on banks’ positioning in this context. Using confidential supervisory data (covering $25 trillion in daily notional exposures) we examine banks’ positions in connection with covered-interest parity (CIP) deviations. Exploiting cross-sectional variation in CIP deviations that have largely challenged existing theories, we document three novel forces that drive bases: 1) foreign safe asset scarcity, 2) market power and segmentation of banks specializing in different markets, and 3) concentration of demand. Our findings shed empirical light on the interplay of frictions influencing banks’ provision of dollar funding.
Leverage and Stablecoin Pegs
with Gary B. Gorton, Elizabeth C. Klee, Sharon Y. Ross, and Alexandros Vardoulakis
Abstract · SSRN · NBER WP #30796 · VoxEU Column
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. While pre-positioning to the Fed can be costly, it allows banks to buy insurance against a bank run. But most banks don't pre-position. We use a novel dataset to study the forces that drive the largest banks’ pre-positioning behavior. The quantity and composition of collateral placed at the Fed tell us about the relative value of that insurance. We show that banks pre-position more in bad times but pre-position less when collateral is desirable elsewhere and when stigma is higher. 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
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
Convenience Stores
with Gary B. Gorton and Sharon Y. Ross
Capital in the Financial Crisis
with Timothy F. Geithner and Andrew Metrick
© Chase P. Ross 2024 ⁂ All Rights Reserved