Working Papers

These papers are working drafts of research which often appear in final form in academic journals. The published versions may differ from the working versions provided here.

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Anat R. Admati, Martin F. Hellwig
January 14, 2019

We take issue with claims that the funding mix of banks, which makes them fragile and crisis-prone, is efficient because it reflects special liquidity benefits of bank debt. Even aside from neglecting the systemic damage...

Juliane Begenau
January 14, 2019

Conditionally accepted at the Journal of Financial Economics

This paper develops a quantitative dynamic general equilibrium model in which households’ preferences for safe and liquid assets constitute a violation of Modigliani and Miller. I show...

Anat R. Admati
January 2019

A healthy and stable financial system enables efficient resource allocation and risk sharing. A reckless and distorted system, however, causes enormous harm. The cycles of boom, bust, and crisis that repeatedly plague banking and finance...

Zhengyang Jiang, Arvind Krishnamurthy, Hanno Lustig
December 4, 2018

US monetary policy has an outsized impact on the world economy, a phenomenon that Rey (2013) dubs the global financial cycle. Changes in the US dollar also have an outsized impact on the world economy,...

Benjamin Hébert, Michael Woodford
November 14, 2018

Revise and Resubmit, Econometrica

We propose a new approach to modeling the cost of information structures in rational inattention problems: the “neighborhood-based” cost functions. These cost functions have two properties that we view as desirable:...

Peter A.E. Koudijs, Laura Salisbury
November 13, 2018

R&R at Journal of Financial Economics

We study the impact of marital property legislation passed in the U.S. South in the 1840s on household investment. These laws protected the assets of newly married women from creditors...

Shai Bernstein, Rebecca Diamond, Timothy James McQuade, Beatriz Pousada
November 6, 2018

We characterize the contribution of immigrants to US innovation, both through their direct productivity as well as through their indirect spillover effects on their native collaborators. To do so, we link patent records to a...

Charles M. C. Lee, Edward M. Watts
October 9, 2018

This study examines how an increase in tick size affects algorithmic trading (AT), fundamental information acquisition (FIA), and the price discovery process around earnings announcements (EAs). Leveraging the SEC’s randomized “Tick Size Pilot” experiment, we...

Darrell Duffie
September 10, 2018

This note explains a new type of auction based on an existing derivatives risk-management technique known as “compression.” A compression auction can be used to convert centrally cleared contracts on an underlying benchmark, such as...

Lin William Cong, Charles M. C. Lee, Yuanyu Qu, Tao Shen
August 20, 2018

This study reports on the current state-of-affairs in the funding of entrepreneurship and innovations in China and provides a broad survey of academic findings on the subject. We discuss the implications of these findings for...

Paul Pfleiderer
August 2018

Forthcoming at Economica

In this essay I discuss how theoretical models in finance and economics are used in ways that make them “chameleons” and how chameleons devalue the intellectual currency and muddy policy debates....

Saumitra Jha, Moses Shayo
July 26, 2018

How can we help individuals handle financial decisions in an increasingly complex environment? We explore an easily scalable avenue for improving financial understanding: learning by online trading in stocks. We randomly assign 1345 adults incentives...

Darrell Duffie
July 19, 2018

In the years leading up to the financial crisis that began in 2007, the core of the financial system was vulnerable to major shocks emanating from any of a variety of sources. While this particular...

Laura Blattner, Luísa Farinha, Francisco Rebelo
June 26, 2018

Winner 2017 BlackRock Applied Research Award

AQR Top Finance Graduate Award 2018

We provide evidence that a weak banking sector contributed to low productivity following the European debt crisis. An unexpected increase in capital requirements...

Shai Bernstein, Emanuele Colonnelli, Davide Malacrino, Timothy James McQuade
June 19, 2018

New firm formation is a critical driver of job creation, and an important contributor to the responsiveness of the economy to aggregate shocks. In this paper we examine the characteristics of the individuals who become...

Rebecca Diamond, Michael J. Dickstein, Timothy James McQuade, Petra Persson
June 4, 2018

The Affordable Care Act (ACA) established health insurance marketplaces where consumers can buy individual coverage. Leveraging novel credit card and bank account micro-data, we identify new enrollees in the California marketplace and measure their health...

Saumitra Jha, Moses Shayo
May 25, 2018

Can participation in financial markets lead individuals to re-evaluate the costs of conflict, change their political attitudes and even their votes? Prior to the 2015 Israeli elections, we randomly assigned Palestinian and Israeli financial assets...

Juliane Begenau, Erik Strafford
May 2018

We decompose bank activities into passive and active components and evaluate the performance of the active components of the bank business model by controlling for passive maturity transformation strategies that can be executed in the...

Peter A.E. Koudijs, Laura Salisbury, Gurpal Sran
March 28, 2018

We study whether banks are riskier if managers have less liability. We focus on New England between 1867 and 1880 and consider the introduction of marital property laws that limited liability for newly wedded bankers....

Shai Bernstein, Timothy James McQuade, Richard R. Townsend
March 18, 2018

We investigate how the deterioration of household balance sheets affects worker productivity, and whether such effects mitigate or amplify economic downturns. To do so, we compare the output of innovative workers who were employed at...