Itamar Drechsler

 Curriculum Vitae   

Areas of Research: 

Asset Pricing, Financial Intermediation, Macro-finance, Monetary Policy 

Working Papers:

• Credit Card Banking (with Hyeyoon Jung, Weiyu Peng, Dominik Supera, and Guanyu Zhou) 

March 2025 

• Monetary Policy and the Mortgage Market (with Alexi Savov, Philipp Schnabl, and Dominik Supera) [slides]

- Presented at the Federal Reserve's Jackson Hole Conference 2024

• Deposit Franchise Runs (with Alexi Savov, Philipp Schnabl, and Olivier Wang) [slides]

August 2024

• • Revise and Resubmit at the Journal of Finance

• Credit Crunches and the Great Stagflation  (with Alexi Savov and Philipp Schnabl)  [slides]

March 2023

• Revise and Resubmit at Quarterly Journal of Economics

• The Financial Origins of the Rise and Fall of American Inflation  (with Alexi Savov and Philipp Schnabl) [slides]

April 2021 

-      Marshall Blume Prize in Finance Research (First Prize), 2020-21

-     Yuki Arai Faculty Award for best paper in finance at NYU Stern, 2020-21       

• Liquidity and Volatility  (with Alan Moreira and Alexi Savov)  [slides]

      October 2021

• Revise and Resubmit (2nd round) at Journal of Financial Economics  

- Best Paper Award, FMA CBOE conference on derivatives and volatility

• The Shorting Premium and Asset Pricing Anomalies (with Qingyi Freda Drechsler)  

-    Internet Appendix containing additional tables and a formal model of the theory 

-     Winner of the 2014 Q Group Jack Treynor Prize

Notes: 

• Response to Begenau and Stafford (2023)

- The errors in their coding, data, and conceptual arguments 

• Note on Begenau and Stafford (2022) 

- The multiple logical errors in their argument

Works in Progress: 

• How the short rate determines the supply of ARMs (with Dominik Supera)

• Banks' Impact on Long-term Rates: Evidence from the COVID-era (with Dominik Supera)

• Mispricing and the Arbitrage Premium (with Qingyi Freda Drechsler) 

Publications:

• How Monetary Policy Shaped the Housing Boom (with Alexi Savov and Philipp Schnabl)

        Journal of Financial Economics, 144(3), June 2022, 992-1021

• Banking on Deposits: Maturity Transformation Without Interest Rate Risk (with Alexi Savov and Philipp Schnabl)   [slides]

      Journal of Finance, 76(3), June 2021, 1091-1143.

-  Winner of the 2021 Brattle Group Prize (Distinguished Paper)     

-  Yuki Arai Faculty Award for best paper in finance at NYU Stern, 2017-2018       

-  WFA 2018 Award for Best Paper on Financial Institutions     

• Liquidity, Risk Premia, and the Financial Transmission of Monetary Policy (with Alexi Savov and Philipp Schnabl)

      Annual Review of Financial Economics 10, November 2018, 309-328            

• The Deposits Channel of Monetary Policy (with Alexi Savov and Philipp Schnabl)

Quarterly Journal of Economics, 132(4), November 2017, 1819-1876. [Internet Appendix]  [Data].  

-    Winner of the Best Paper Prize in Corporate Finance at the 2015 SFS Cavalcade

-     Glucksman Institute Research Prize for best paper in finance at NYU Stern, 2015-2016

- Response to Begenau and Stafford (2023)

- Note on Begenau and Stafford (2022) 

• A Model of Monetary Policy and Risk Premia (with Alexi Savov and Philipp Schnabl)  [slides] Journal of Finance, 73(1), February 2018, 317-373. 

-    Winner of the 2018 Amundi Pioneer Prize (Distinguished Paper) 

• Who Borrows from the Lender of Last Resort? (with Thomas Drechsel, David Marques-Ibanez, and Philipp Schnabl)

Journal of Finance, 71(5), October 2016, 1933-1974. Lead article. 

• A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk (with Viral Acharya and Philipp Schnabl)

Journal of Finance, 69(6), December 2014, 2689-2739 [Internet Appendix]

-    Glucksman Institute Research Prize for best paper in finance at NYU Stern, 2011-2012

• Risk Choice Under High-Water Marks

        Review of Financial Studies, 27(7), July 2014, 2052-2096, [Internet Appendix]

• Uncertainty, Time-Varying Fear, and Asset Prices

Journal of Finance, 68(5), October 2013, 1843-1889, [Internet Appendix]

-     Winner of the 2013 Amundi Smith Breeden Prize (Distinguished Paper)

• Comment on: ``ambiguity shifts and the 2007-2008 financial crisis'' by Nina Boyarchenko

Carnegie-Rochester Series on Public Policy, Journal of Monetary Economics, 59(5), July 2012, 508-511

• What's Vol Got To Do With It (with Amir Yaron)

      Review of Financial Studies, 24(1), January 2011, 1-45. Lead Article

-  Winner of Best Paper Award at 2009 Utah Winter Finance Conference

Other Publications:

• A Tale of Two Overhangs: The Nexus of Financial Sector and Sovereign Credit Risks (with Viral Acharya and Philipp Schnabl)

Banque de France Financial Stability Review, 16, April 2012.

Writing on the 2023 Banking Turmoil: 

• Valuing the deposit franchise of the U.S. banking system

with Alexi Savov and Philipp Schnabl

• How the Deposit Franchise Offsets Losses on Long-term Bonds when Interest Rates Increase: A Simple Numerical Illustration

with Alexi Savov and Philipp Schnabl

• Why do Banks Invest in MBS (and what happened with Silicon Valley Bank)? 

with Alexi Savov and Philipp Schnabl

Silicon Valley Bank (SVB) was taken over by regulators on March 10, 2023. This is the second-largest bank failure in U.S. history, and the largest bank failure since the 2008 financial crisis. The proximate reason for the intervention was that SVB suffered a bank run after announcing a large loss on selling some of its mortgage-backed securities (MBS). The loss on MBS was caused by an increase in interest rates due to the Federal Reserve's monetary tightening. As of writing, there are increasing concerns about similar problems at other banks. This raises an important question: Why did SVB invest in MBS? We answer this question by explaining the business model of banking. We discuss why banks invest in MBS, why it exposes them to interest rate risk, and how they hedge this interest rate risk. We then offer some observations of why SVB in particular suffered a bank run.