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Published Papers

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Quarterly Journal of Economics

February 2021

Finance

Banking Crises without Panics

Matthew BaronEmil VernerWei Xiong

Quarterly Journal of Economics

February 2021

AEJ: Microeconomics

Crisis Management: Analyzing Default Risk and Liquidity Demand during Financial Stress

Jason AllenAli HortacsuJakub Kastl

AEJ: Microeconomics

American Economic Review

September 2020

Finance

Self-Fulfilling Debt Dilution: Maturity and Multiplicity in Debt Models

Mark A. AguiarManuel Amador

American Economic Review

September 2020

Annals of Probability

September 2020

Finance

Inverting the Markovian projection, with an application to local stochastic volatility models

Daniel LackerMykhaylo ShkolnikovJiacheng Zhang

Annals of Probability

September 2020

SIAM Journal on Control and Optimization

August 2020

Finance

Viscosity Solutions for controlled McKean-Vlasov jump-diffusions

Matteo BurzoniVincenzo IgnazioMax ReppenMete Soner

SIAM Journal on Control and Optimization

August 2020

Finance and Stochastics

August 2020

Finance

Conditional Davis pricing

Kasper LarsenMete SonerGordan Zitkovic

Finance and Stochastics

August 2020

The Review of Corporate Finance Studies

August 2020

Finance

Banks’ Non-Interest Income and Systemic Risk

Markus BrunnermeierGang Nathan DongDarius Palia

The Review of Corporate Finance Studies

August 2020

Journal of Econometrics

July 2020

Posterior Distribution of Nondifferentiable Functions

Toru KitagawaJosé Luis Montiel OleaJonathan PayneAmilcar Velezd

Journal of Econometrics

July 2020

Journal of Econometrics

July 2020

Econometrics

High Frequency Traders and the Price Process

Yacine Ait-SahaliaCelso Brunetti

Journal of Econometrics

July 2020

Journal of Political Economy

June 2020

Labor Economics

Leisure Luxuries and the Labor Supply of Young Men

Mark A. AguiarMark BilsKerwin CharlesErik Hurst

Journal of Political Economy

June 2020

Review of Economics and Statistics

June 2020

An Econometric Model of International Long-run Growth Dynamics for Long-horizon Forecasting

Review of Economics and Statistics

June 2020

Annals of Probability

June 2020

Finance

Mean field systems on networks, with singular interaction through hitting times

Mykhaylo ShkolnikovSergey Nadtochiy

Annals of Probability

June 2020

Brookings Papers on Economic Activity

June 2020

Finance

Corporate Debt Overhang and Credit Policy

Markus BrunnermeierArvind Krishnamurthy

Brookings Papers on Economic Activity

June 2020

International Journal of Industrial Organization

May 2020

Finance

Auctions in Financial Markets

International Journal of Industrial Organization

May 2020

AER Papers and Proceedings

May 2020

Macroeconomics

Banking Panics as Endogenous Disasters and the Welfare Gains from Macroprudential Policy

Mark GertlerNobuhiro KiyotakiAndrea Prestipino

AER Papers and Proceedings

May 2020

Journal of Econometrics

May 2020

Econometrics

High-Frequency Factor Models and Regressions

Yacine Ait-SahaliaIlze KalninaDacheng Xiu

Journal of Econometrics

May 2020

Journal of Econometrics

April 2020

Inference in SVARs Identified with External Instruments

Jose L. Montiel OleaJames StockMark W. Watson

Journal of Econometrics

April 2020

Review of Financial Studies

March 2020

Economic Consequences of Housing Speculation

Zhenyu GaoMichael SockinWei Xiong

Review of Financial Studies

March 2020

Journal of Econometrics

February 2020

Econometrics

A projection-based conditional dependence measure with applications to undirected graphical models

Jianqing FanYang FengLucy Xia

Journal of Econometrics

February 2020

Review of Financial Studies

February 2020

Finance

Asset Price Bubbles and Systemic Risk

Markus BrunnermeierSimon RotherIsabel Schnabel

Review of Financial Studies

February 2020