Clock Games: Theory and Experiments, with John Morgan; Games and Economic Behavior, forthcoming, 2006 version, slides.
    Timing games with pre-emption and waiting motive as well as information clustering.

A Note on Liquidity Risk Management, with Motohiro Yogo; American Economics Review (Papers and Proceedings), 2009, 99(2), 578-583, slides.
    Duration hedging might give the wrong prescription for minimizing rollover risk.

Deciphering the Liquidity and Credit Crunch 2007-08, Journal of Economic Perspectives, 2009, 23(1), 77-100, slides.
    NBER 08 longer version

Carry Trades and Currency Crashes, with Stefan Nagel and Lasse Pedersen, NBER Macroeconomics Annual 2008, 2009, 23, 313-347, slides.
    Currency crash risk caused by sudden unwinding of carry trades may discourage speculators from taking on large enough positions to enforce UIP. 

Market Liquidity and Funding Liquidity, with Lasse Pedersen; Review of Financial Studies, 2009, 22 (6), 2201-2199, slides.
    Market liquidity and the funding of traders are mutually reinforcing, giving rise to "liquidity phenomena" like fragility, commonality and flight to quality.

Do Wealth Fluctuations Generate Time-varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation, with Stefan Nagel, American Economic Review, 2008, 98(3), 713-736.
    Wealth shocks do not change the fraction individuals invest in risky assets, suggesting that individuals' risk aversion is not time-varying.

Money Illusion and Housing Frenzies, with Christian Julliard; Review of Financial Studies, 2008, 21(1), 135-180, slides.
    The confusion between changes in nominal and real interest rates boosts real house prices when inflation declines.

Optimal Beliefs, Asset Prices and the Preference for Skewed Returns, with Christian Gollier and Jonathan Parker; American Economics Review (Papers and Proceedings), 2007, 97(2), 159-165.
    Different households overinvest in different positively skewed assets, making portfolio returns idiosyncratically skewed and lowering returns on these skewed assets.

Optimal Expectations, with Jonathan Parker; American Economics Review, 2005, 95(4), 1092-1118.
    A structural model of "optimal" belief distortions due to anticipatory utility.

Predatory Trading, with Lasse Pedersen; Journal of Finance, 2005, 60(4), 1825-1863.
    Barclays Global Investors Award for the best conference paper at the European Finance Association, 2003.
    Nominated for Smith Breeden Prize for the best article published in the Journal of Finance, 2005.
    When a large trader has to liquidate, "predators" also sell and withdraw liquidity. This leads to price overshooting and systemic risk.

Information Leakage and Market Efficiency; Review of Financial Studies, 2005, 18(2), 417-457.
    BGI/Micheal Brennan Award (runner up) for the best paper published in the Review of Financial Studies, 2005.
    Information leakage lowers market efficiency in the long run.

Hedge Funds and the Technology Bubble, with Stefan Nagel; Journal of Finance, 2004, 59(5), 2013-2040.
    Winner of Smith Breeden Prize for the best article published in the Journal of Finance, 2004.
    Hedge funds were riding the technology bubble instead of exerting a price correcting force.

Learning to Re-optimize Consumption at New Income Levels: A Rationale for Prospect Theory; Journal of European Economic Association,  2004, 2(1), 98-114.
    Rationalizes three elements of Prospect Theory.

Bubbles and Crashes, with Dilip Abreu; Econometrica, 2003, 71(1), 173-204.
    Bubbles persist since each rational arbitrageur does not know when other arbitrageurs will attack.

Synchronization Risk and Delayed Arbitrage, with Dilip Abreu; Journal of Financial Economics, 2002, 66, 341-360.
    Reprinted in The Psychology of World Equity Markets, edited by Werner De Bondt, Edward Elgar Publishing Ltd. Cheltenham, U.K.
    Models the Wile E. Coyote effect, since synchronization risk leads to market timing by arbitrageurs and delays arbitrage.

Disclosure Requirements and Stock Exchange Listing Choice in an International Context, with Steven Huddart and John S. Hughes. Journal of  Accounting and Economics, 1999, 26(1-3), 237-269.
    Competition among exchanges leads to a "race to the top" in disclosure standards.

Book

Asset Pricing under Asymmetric Information - Bubbles, Crashes, Technical Analysis and Herding
Oxford University Press, 2001.

Manuscripts

CoVaR, with Tobias Adrian, slides.
    Predicting and measuring a financial institution's contribution to systemic risk that internalizes externalities and avoids procyclicality.

Complexity in Financial Markets, with Martin Oehmke, slides.

An Economic Model of the Planning Fallacy, with Filippos Papakonstantinou and Jonathan Parker, slides.

Leadership, Coordination and Mission-Driven Management, with Patrick Bolton and Laura Veldkamp.
    Winner of JP Morgan Prize for the best paper at the Utah Winter Finance Conference, 2008.
   Overconfident leaders make more precise mission statement which enhances coordination among the followers by reducing the leaders' time-inconsistency problem.  

Contrasting Different Forms of Price Stickiness: Exchange Rate Overshooting and the Beggar Thy Neighbor Policy, with Clemens Grafe; October 1999.
    Contrasts retail and whole sale price stickiness in the new open macroeconomic setting. 

Work in Progress

A Macroeconomic Model with a Financial Sector, with Yuliy Sannikov, slides.

The Maturity Rat Race, with Martin Oehmke, slides.

Computational Complexity and Information Asymmetry in Financial Products, with Sanjeev Arora, Boaz Barak, and Rong Ge, slides.

Liquidity and Systemic Risk.

Other Publications

The Fundamental Principles of Financial Regulation, 11th Geneva Report on the World Economy, with Andrew Crockett, Charles Goodhart, Avi Persaud and Hyun Shin, 2009.

Bubbles, Entry in The New Palgrave Dictionary of Economics, edited by Steven Durlauf and Lawrence Blume, 2nd edition, 2009.

Inflation Illusion, Credit and Asset Pricing: A Comment, on Monika Piazzesi and Martin Schneider's article in "Asset Pricing and Monetary Economics," edited by John Y. Campbell, 2008.