Yale School of Management

Published Papers

 

Books

(2015) The Maze of Banking (Oxford University Press; 2015).

(2012) Misunderstanding Financial Crises: Why We Don’t See Them Coming (Oxford University Press; 2012).

(2010) Slapped by the Invisible Hand: The Panic of 2007, (Oxford University Press).

Papers

(2012) "Risk Topography," (with Markus Brunnermeier and Arvind Krishnamurthy), in NBER Macroeconomics Annual 2011, Vol. 26, ed. D. Acemoglu and M. Woodford (University of Chicago Press), forthcoming.

(2012) "Securitization," (with Andrew Metrick), in The Handbook of the Economics of Finance, ed. G. Constantinides, M. Harris, and R. Stulz, forthcoming.

(2012) "Liquidity Mismatch Measurement," (with Markus Brunnermeier and Arvind Krishnamurthy), in Systemic Risk and Macro Modeling, ed. M. Brunnermeier and A. Krisnamurthy, National Bureau of Economic Research, 2012.

(2012) "The Fundamentals of Commodity Futures Returns" (with F. Hayashi and K. Geert Rouwenhorst), Review of Finance, forthcoming.

(2012) "Getting up to Speed on the Financial Crisis: A One-Weekend-Reader's Guide" (with Andrew Metrick), Journal of Economic Literature, forthcoming.

(2012) "The Safe-Asset Share" (with S. Lewellen & Andrew Metrick), American Economic Review, forthcoming.

(2012) “Who Ran on Repo?,” (with Andrew Metrick), submitted to Journal of Financial Intermediation.

(2011) "The Big Short Shrift: Review of 'The Big Short,' by Michael Lewis and 'The Greatest Trade Ever' by Gregory Zuckerman," Journal of Economic Literature (49)2, 450-453.

(2010) "Are Naked Credit Default Swaps Too Revealing?," Investment Dealers' Digest, (76)21, 22.

(2010) "The Right Recipe for Financial Reform" Investment Dealers' Digest, (76)19, 22.

(2010a) "Securitized Banking and the Run on Repo" (with Andrew Metrick), Journal of Financial Economics, forthcoming.

(2010) "Regulating the Shadow Banking System," (with Andrew Metrick), Brookings Papers on Economic Activity, forthcoming.

(2010b) "Haircuts," (with Andrew Metrick), Federal Reserve Bank of St. Louis Review.

(2010) "E-coli, Repo Madness, and the Financial Crisis," Business Economics 45, 164-173.

(2010) "Security Price Informativeness and Delegated Traders," (with Lixin Huang and Ping He), American Economic Journal: Microeconomics 2(4), 137-70.

(2009) "Information, Liquidity, and the (Ongoing) Panic of 2007," American Economic Review, Papers and Proceedings, Papers and Proceedings, vol. 99, no. 2, 567-572.

(2009) "The Subprime Panic," European Financial Management, (15)1 (January), 10-46.

- European Financial Management 2009 Best Paper Award (by vote of EFM Board)
- European Financial Management 2009 Readers’ Choice Best Paper Award
- European Financial Management 2009 Top Download Best Paper Award

(2009) "The Panic of 2007," in Maintaining Stability in a Changing Financial System, Proceedings of the 2008 Jackson Hole Conference, Federal Reserve Bank of Kansas City.

(2009) "Eat-or-be-Eaten: A Theory of Mergers and Merger Waves," (with Mathias Kahl and Richard Rosen), Journal of Finance, Journal of Finance 64(3).

(2009) "Bank Credit Cycles," (with Ping He), Review of Economic Studies, 75(4), 1181-1214.

(2008) "Blockholder Scarcity, Takeovers, and Ownership Structures," (with Mathias Kahl), Journal of Financial and Quantitative Analysis.

(2007) "SEC Regulation FD, Information, and the Cost of Capital," (with Armando Gomes and Leonardo Madureira), Journal of Corporate Finance vol. 13, no. 2-3:300-334.

- Winner of the Geewax, Terker & Company Prize in Investment Research
- Distinguished Paper Prize, special issue of the Journal of Corporate Finance

(2006) "Commodity Futures: A Japanese Perspective," (with Fumio Hayashi and Geert Rouwenhorst), Gendai Fainansu, No. 19 (in Japanese).

(2006) "Banking Panics and Endogenous Coalition Formation," (with Lixin Huang), Journal of Monetary Economics, Vol. 53 (7) (October): 1613-1629.

(2006) "Noise Traders," The New Palgrave: A Dictionary of Economics (with James Dow) (Palgrave MacMillan: New York), edited by Steven N. Durlauf and Lawrence E. Blume, forthcoming in 2008. NBER Working Paper No. 12256.

(2006) "Facts and Fantasies about Commodity Futures," (with Geert Rouwenhorst), Financial Analysts’ Journal, Vol. 62, No. 2 : 47-68.

(2006) "Special Purpose Vehicles and Securitization," (with Nicholas S. Souleles), chapter in The Risks of Financial Institutions, edited by Rene Stulz and Mark Carey (University of Chicago Press).

(2005) "Equilibrium Asset Prices under Imperfect Corporate Control," (with James Dow and Arvind Krishnamurthy), American Economic Review, 95(3).

- Winner of the Western Finance Association 2003 Best Corporate Finance Paper Prize.

(2004) "Capital, Labor, and the Firm: A Study of German Codetermination," (with Frank Schmid), Journal of the European Economic Association, 2(5).

- Winner of the Hicks Tinbergen Medal from the European Economics Association for the best paper published in the Journal of the European Economic Association during 2003 and 2004.

(2004) "Liquidity, Efficiency, and Bank Bailouts," (with Lixin Huang), American Economic Review 94(3).

- Reprinted in The Handbook of Liquidity and Crises (Oxford University Press; forthcoming), edited by F. Allen, E. Carletti, J. Krahnen, M. Tyrell.

(2003) "Financial Intermediation," (with Andrew Winton) in The Handbook of the Economics of Finance: Corporate Finance, ed. George Constantinides, Milton Harris, and Rene Stulz. (Elsevier Science; 2003) (NBER Working Paper # 8928).

(2003) "Banking Panics and the Origin of Central Banking," (with Lixin Huang), in Evolution and Procedures in Central Banking, edited by David Altig and Bruce Smith, Cambridge University Press.

(2000) "Universal Banking and the Performance of German Firms," (with Frank Schmid), Journal of Financial Economics 58: 3-28.

(2000) "The Design of Bank Loan Contracts," (with James Kahn), Review of Financial Studies 13: 331-364.

(1999) "Berle and Means Revisited: Empirical Evidence from Austrian Cooperative Banking," (with Frank Schmid), Journal of Corporate Finance 5: 119-140.

(1999) "Pricing Free Bank Notes," Journal of Monetary Economics 44: 33-64.

(1999) "Comment on 'Private Money Creation and the Suffolk Banking System,'" Journal of Money, Credit, and Banking, Vol. 31, No. 3 (August 1999, Part 2).

(1998) "Banking in Transition Economies: Does Efficiency Require Instability?" (with Andrew Winton), Journal of Money, Credit, and Banking 30: 621-650.

(1997) "Noise Trading, Delegated Portfolio Management, and Economic Welfare," (with James Dow), Journal of Political Economy, Vol. 105, No. 5 : 1024-1050.

(1997) "Stock Market Efficiency and Economic Efficiency: Is There a Connection?," (with James Dow), Journal of Finance, Vol. 52, No. 3 : 1087-1130.

(1996) "Reputation Formation in Early Bank Note Markets," Journal of Political Economy, Vol. 104, No. 2, 346-397.

(1995) "Profitable Informed Trading in a Simple General Equilibrium Model of Asset Pricing," with James Dow, Journal of Economic Theory, Vol. 67, No. 2: 327-369.

(1995) "Corporate Control, Portfolio Choice, and the Decline of Banking," (with Richard Rosen), Journal of Finance, Vol. 50, No. 5: 1377-1420.

(1995) "Banks and Loan Sales: Marketing Non-Marketable Assets," (with George Pennacchi), Journal of Monetary Economics 35(3): 389-411.

(1995) "Banks and Derivatives," with Richard Rosen, National Bureau of Economic Research Macroeconomics Annual 1995 (MIT Press).

(1994) "Arbitrage Chains," (with James Dow), Journal of Finance Vol. 49: 819-850.

- Reprinted in New Research in Financial Markets, edited by Bruno Biais and Marco Pagano (Oxford University Press; 2001).

(1994) "Bank Regulation When 'Banks' and 'Banking' Are Not the Same," Oxford Review of Economic Policy (Winter, 1994), Vol. 10, No. 4: 106-119.

(1993) "Security Market Returns and the Social Discount Rate: A Note on Welfare and Overlapping Generations," (with James Dow), Economics Letters, Vol. 43: 23-26.

(1993) "Coordination Failure, Multiple Equilibria, and Economic Institutions," (with Henning Bohn), Economica, Vol. 60: 257-280.

(1993) "Churning Bubbles," (with Franklin Allen), Review of Economic Studies (previously entitled "Rational Finite Bubbles"), Vol. 60(4), no. 205: 813-836.

(1993) "Trading, Communication and the Response of Asset Prices to News," (with James Dow), Economic Journal, Vol. 103, No, 418.

(1993) "Security Baskets and Index-Linked Securities," (with George Pennacchi), Journal of Business, Vol. 66, No. 1: 1-29.  (Lead article.)

(1993) "Money Market Funds and Finance Companies: Are They the Banks of the Future?," (with George Pennacchi), in Structural Change in Banking (Irwin Publishing: Homewood, IL), Michael Klausner and Lawrence White, eds.

(1992) "Asymmetric Information, Market Microstructure, and Stock Price Manipulation," (with Franklin Allen), European Economic Review 36: 624-30.

(1991) "The Origins of Banking Panics: Models, Facts, and Bank Regulation," (with Charles Calomiris), in Financial Markets and Financial Crises, ed. Glenn Hubbard (University of Chicago Press). 

- Reprinted in U.S. Bank Regulation in Historical Perspective, edited by Charles Calomiris (Cambridge University Press; 2000).

(1990) "Financial Intermediaries and Liquidity Creation," (with George Pennacchi), Journal of Finance 45:1, 49-72.

(1990) "Market Discipline and the Valuation of Bank Subordinated Debt," (with Anthony Santomero), Journal of Money, Credit and Banking 22(1): 119-28.

(1989) "Are Loan Sales Really Off-Balance Sheet?," (with George Pennacchi), Journal of Accounting, Auditing and Finance 4:2, 125-45.

(1988) "Banking Panics and Business Cycles," Oxford Economic Papers 40, 751-81;

- Reprinted in Quantitative Economic History, ed. by N.F.R. Crafts, N.H. Dimsdale, and S. Engerman (Clarendon Press, Oxford; 1992).
- Reprinted in Financial Crises, ed. by D. Gale and F. Allen (Edward Elgar), forthcoming.

(1987) "The Joint Production of Confidence: Endogenous Regulation and Nineteenth Century Commercial Bank Clearinghouses," (with Don Mullineaux), Journal of Money, Credit and Banking 19:4, 458-68.

(1987) "Bank Deregulation, Credit Markets, and the Control of Capital," (with Joseph Haubrich), Carnegie-Rochester Conference Series on Public Policy 26: 189-234.

(1985) "Clearinghouses and the Origin of Central Banking in the U.S.," Journal of Economic History 45:2., 277-83.

(1985) "Banking Theory and Free Banking History: A Review Essay," Journal of Monetary Economics 16:2 (September): 267-76.

(1985) "Bank Suspension of Convertibility," Journal of Monetary Economics 15(2): 177-93.

Other Publications

"Banking Panics: Déjà Vu All Over Again," DealBook column, New York Times, Monday, October 5, 2009.

"The Subprime Mess," The Milken Institute Review, First Quarter, 2009, 36-47.

"Banks, Banking, and Crises," NBER Reporter (2007, No. 4).

"Bank Liquidity Provision and Capital Regulation in Transition Economies," with Andrew Winton," Financial Sectors in Transition (William Davidson Institute), forthcoming.

"Banks Respond to a Changing World," Financial Times.

- Reprinted in Mastering Finance - Financial Times: The Definitive Guide to the Foundations and Frontiers of Finance (Prentice Hall; 1997).

Review of Strong Managers, Weak Owners, by Mark Roe, Review of Financial Studies, Vol. 9, No. 4 (1996).

"Comment on Alternate Models for Clearance and Settlement: The Case of the Single European Capital Market," Journal of Money, Credit, and Banking, Vol. 28, No. 4 (November 1996, Part 2).

"The Social Cost of Bank Capital," with Andrew Winton, in Rethinking Bank Regulation,

Proceedings of a Conference on Bank Structure and Competition, Federal Reserve Bank of Chicago, 1996.

"Banks and Corporate Finance in Germany," with Frank Schmid, in The New Tool Set, Proceedings of a Conference on Bank Structure and Competition, Federal Reserve Bank of Chicago, 1995.

Review of Banks, Finance, and Investment in Germany, by Jeremy Edwards and Klaus Fischer, Journal of Economic Literature 33 (1995): 28-30.

Review of Commercial Bank Liquidity Management, Discretionary Reserve Behavior, and the Allocation of Credit, 1863-1913, by J.M. Carter, Journal of Economic History, forthcoming.

Review of The Future of American Banking, by David Rogers, Contemporary Sociology, forthcoming.

"Pricing Bank Loans," with Jim Kahn, in FDICIA: An Appraisal, Proceedings of a Conference on Bank Structure and Competition, Federal Reserve Bank of Chicago, 1993.

"Privatizing Deposit Insurance: Comments on the Ely Proposal," The Cato Journal, Vol. 13, no. 2, Fall 1993.

"Organizational Forms in Banking: Comments," with Richard Rosen, Journal of Banking and Finance, forthcoming.

"Comment on: 'Bank Regulation, Reputation and Rents: Theory and Policy Implications,' by A. Boot and S. Greenbaum, in Financial Intermediation in the Construction of Europe, edited by C. Mayer and X. Vives (Cambridge University Press: 1993).

"The Size of the Banking Industry and Managerial Entrenchment," with Richard Rosen, in Credit Markets in Transition, Proceedings of a Conference on Bank Structure and Competition, Federal Reserve Bank of Chicago, 1992.

"Nonbanks and the Future of Banking," with George Pennacchi, in Credit Markets in Transition, Proceedings of a Conference on Bank Structure and Competition, Federal Reserve Bank of Chicago, 1992.

Review of Asymmetric Information, Corporate Finance, and Investment (University of Chicago Press, 1990), edited by Glen Hubbard, Journal of Economic Literature, Vol. XXX (June 1992), 912-913.

"Comments on the Chilean Banking Experience," If Texas Were Chile: A Primer on Banking Reform, Phil Brock, ed. (ICS Press: San Francisco; 1992).

"Clearinghouses," The New Palgrave Dictionary of Money and Finance, John Eatwell, Murray Milgate, Peter Newman, eds., (London: Macmillan Press), forthcoming.

"Panics," The New Palgrave Dictionary of Money and Finance, John Eatwell, Murray Milgate, Peter Newman, eds., (London: Macmillan Press), forthcoming.

"The Opening of New Markets for Bank Assets," with George Pennacchi, in The Changing Market in Financial Services, ed. Alton Gilbert (Kluwer Academic Publishers: Norwell, MA; 1992).

"Financial Innovation and the Provision of Liquidity Services," with George Pennacchi, in Reform of Federal Deposit Insurance, ed. by James Barth and Dan Brumbaugh (Harper Collins Publishers; 1992).

"Mergers Alone Don't Cut Bank Costs," Wall Street Journal, op ed column, January 24,1992.

"The Growth and Evolution of the Loan Sales Market," in The Commercial Loan Resale Market, ed. by Jess Lederman, Linda Feinne and Mark Dzialga, (Probus Publishing: Chicago; 1991).

"Innovations in Loan Sales: Implicit Contracts to Sell Nonmarketable Assets," in The Commercial Loan Resale Market, ed. by Jess Lederman, Linda Feinne and Mark Dzialga, (Probus Publishing: Chicago; 1991).

"Banking Panics," in Business Cycles and Depressions: An Encyclopedia, ed. David Glasner (New York: Garland Publishing; 1997).

"Clearinghouses," in Business Cycles and Depressions: An Encyclopedia, ed. David Glasner (New York: Garland Publishing; 1997).

"The Loan Sales Market," with Joseph Haubrich, in Research in Financial Services, ed. George Kaufman, Vol. 2 (1990) (JAI Press Inc.).

"Banking Panics and the Stock Market in the Late 19th Century: Comments," in Crashes and Panics: The Lessons from History, ed. Eugene White (Dow Jones-Irwin, 1990).

"Public Policy and the Evolution of Banking Markets," in Bank System Risk: Charting a New Course, Proceedings of a Conference on Bank Structure and Competition, Federal Reserve Bank of Chicago, 1989: 233-52.

"Comments on 'The Role of Technological Change and Market Structure in Regulatory Reform' by Ronald R. Braeutigam," Journal of Financial Services Research 2:3 (September 1989): 205-11.

"The Market's Evaluation of Bank Risk: A Methodological Approach," with Anthony Santomero," in The Financial Services Industry in the Year 2000: Risk and Efficiency, Proceedings of a Conference on Bank Structure and Competition, Federal Reserve Bank of Chicago, 1988: 202-18.

"The Paradox of Loan Sales," with Joseph Haubrich, in Merging Commercial and Investment Banking, Proceedings of a Conference on Bank Structure and Competition, Federal Reserve Bank of Chicago, 1987: 123-44.

"Leading, Lagging and Coincident Indicators," in The Handbook of Economic and Financial Measures, ed. F. Fabozzi and H. Greenfield (Dow Jones-Irwin, 1984): 182-96.

 

"Private Bank Clearinghouses and the Origins of Central Banking," Business Review Federal Reserve Bank of Philadelphia (January-February 1984): 3-12.

"Forecasting with the Index of Leading Indicators," Business Review, Federal Reserve Bank of Philadelphia (November-December 1982): 15-27 (shortened version reprinted in The Chartered Financial Analysts Digest 13:2, Spring 1983).