At the announcement of a new policy, agents form a view of state-contingent policy actions
and impact. We develop a method to estimate this state-contingent perception and …

We construct a novel dataset of sector-level US Treasury holdings, covering the majority of
the market. Using this dataset, we estimate maturity-specific demand functions and …

I show that accounting for foreign investor base differences helps explain the heterogeneous
influence of the Global Financial Cycle on sovereign borrowing of emerging market …

We quantify the exposure of major financial markets to news shocks about global contagion
risk while accounting for local epidemic conditions. For a wide cross section of countries, we …

Market macrostructure studies the broad organization of financial markets into key players
and institutional features, and how this organization affects the level and dynamics of asset …

This paper develops a random-coefficient demand system to study how monetary policy is
transmitted through the bond market, utilizing granular portfolio holdings data across …

Company capital structure extends far beyond the simple choice between debt and equity. In
issuing publicly traded bonds, firms often employ complex entity structures, issuing diverse …

We quantify the exposure of major financial markets to news shocks about global contagion
risk while accounting for local epidemic conditions. For a wide cross section of countries, we …

Many active funds hold concentrated portfolios. Flow-driven trading in these securities
causes price pressure, which pushes up the funds' existing positions resulting in realized …

Household-based and intermediary-based asset pricing models disagree about the
elasticity of the allocations to intermediaries. Household-based models (eg, Lucas (1978); …