This article uses principal component methods to assess the importance of changes in the federal funds rate in driving interest rate changes across a broad array of credit markets. We find that most of the variability in interest rate changes across these markets is explained by a small number...

Remarks at 2010 CFA Institute Fixed Income Management Conference, Newport Beach, California.

Remarks at the Fordham Corporate Law Center Lecture, New York.

Remarks at the Fordham Corporate Law Center Lecture, New York.

Bank reserves in the United States increased dramatically at the end of 2008. Subsequent asset purchase programs in 2009 and 2011 more than doubled the quantity of reserves outstanding. These events required major adjustments in banks' balance sheets. We study the evolution of reserve holdings...

Remarks at 2010 CFA Institute Fixed Income Management Conference, Newport Beach, California.

This paper describes potential new markets for long-term inflation risk, and shows the relationship such markets would have to other potential new markets, markets for long-term claims on income aggregates. One inflation-risk market which would be very useful is a market for long-term (or...