We provide an estimate of the value of a cure using the joint behavior of stock prices and a vaccine progress indicator during the ongoing COVID-19 pandemic. Our indicator is based on the chronology of stage-by-stage progress of individual vaccines and related news. We construct a general...

We estimate the value of ending a pandemic using the joint behavior of stock prices and a vaccine progress indicator during 2020. In a general equilibrium model, the observed market response to vaccine progress serves to identify the expected rate of loss of wealth during the pandemic, which...

The 30-year U.S. swap spreads have been negative since September 2008. We offer a novel explanation for this persistent anomaly. Through an illustrative model, we show that underfunded pension plans optimally use swaps for duration hedging. Combined with dealer banks' balance sheet constraints,...

Banks strategically choose and dynamically restructure deposits and non-deposit debt in response to the minimum requirements on total capital and tangible equity. We derive the optimal strategic liability structure and show that it minimizes the protection for deposits, conditional on capital...

We investigate banks' benefits and costs of having access to LOLR. Integrating novel data sets we estimate the borrowing capacities of euro area banks at the ECB. Controlling for ratings, we find that banks with more fragile funding are likely to borrow more from the ECB during the great...

The proposal for banks to issue contingent capital that must convert into common equity when the banks’ stock price falls below a specified threshold, or “trigger,” does not in general lead to a unique equilibrium in equity and contingent capital prices. Multiple or no equilibrium arises...