Vladyslav Sushko

TL;DR: This paper analyzed the links between US monetary policy, leverage and flows into bond funds, and found that prior to the crisis, banks drew on low funding rates and low-cost leverage to extend dollar credit to non-US borrowers.

TL;DR: This paper showed that the CIP deviations that are not due to transaction costs or bank credit risk can be explained by the demand to hedge USD forward and showed that measures of FX hedging demand, combined with proxies for the risks associated with CIP arbitrage, improve the explanatory power of standard regressions.

TL;DR: In this article, the combination of hedging demand and tighter limits to arbitrage is considered, which reflect tighter management of risks and bank balance sheet constraints, and empirical support for this framework is found both across currencies and over time.

TL;DR: This article analyzed the links between US monetary policy, leverage and flows into bond funds and found that prior to the crisis, banks drew on low funding rates and low-cost leverage to extend dollar credit to non-US orrowers.

TL;DR: In this paper, the authors examine how portfolio adjustments by long-term investors aimed at containing duration mismatches may have acted as an amplification mechanism in this process, and they find that any attempted rebalancing by increasing asset duration results in further downward pressure on interest rates.