I study the infrastructure of U.S. rates markets: how the plumbing of repo, Treasury, and money markets allocates liquidity across diverse sets of investors and influences financial stability and monetary policy. My work spans the mechanics of repo clearing and intermediation, the risks that come from levered arbitrage in the Treasury market, and the macro question of how many reserves the financial system needs.
Much of my recent research focuses on parts of this infrastructure that are large but hard to observe: non-centrally cleared bilateral repo, the cross-border structure of the basis trade, and foreign official investments in the Treasury market. I led the design of the OFR's pilot collection of non-centrally cleared bilateral repo data and have built several public data products, including a quarterly panel of mutual fund holdings from SEC N-PORT filings and a daily estimate of repo spread elasticity to Treasury General Account balances that can be found on this site.
I am a Principal Economist at the Federal Reserve Board of Governors. Previously I was at the Office of Financial Research. I received a PhD in finance from the University of Michigan's Ross School of Business, a master's in applied economics from the University of Rochester's Simon School, and a BA in mathematics and economics from Reed College.