This paper studies the effects of financial speculation on commodity futures returns, using publicly available data from the US Commodity Futures Trading Commission, aggregated by trader groups. We exploit the heteroskedasticity in the weekly data to identify exogenous variation in speculators'...

This paper studies how Treasury market dynamics depend on adjustments to the central bank balance sheet. We introduce a dynamic model of Treasury bonds with traditional and shadow banks. In the model, both Treasury and repo market disruptions arise as a joint consequence of three frictions: (i)...

This paper provides new evidence about the behavior of hedge funds during the disruptions that occurred in the Treasury market in March 2020. In contrast to some recent policy papers arguing that hedge funds were a major amplifier of those disruptions, we show that aggregate Treasury positions...

Financial intermediaries play a key role in the formation of asset prices. More specifically, the increasing importance of non-bank financial intermediaries has raised new questions about the risks that hedge funds pose to the financial system. We focus on the role that changes in hedge fund...