The author is especially grateful to Darrell Duffie, Angelo Ranaldo, and Paul Söderlind as well as Raphael Auer, Georgia Bush (discussant), Jens Christensen, Lauren Cohen, Egemen Eren (discussant), Nils Friewald, Ben Hébert, Bob Hodrick, Arvind Krishnamurthy, Ji Yong Lee (discussant), Yeonjeong Lee (discussant), Hanno Lustig, Matteo Maggiori, Edouard Mattille, Albert Menkveld (discussant), Vitaly Orlov, Christopher Polk, Vesa Pursiainen, Ricardo Reis, Marzena Rostek, Jonas Schirm, Andreas Schrimpf, Stefan Scharnowski (discussant), Andrea Vedolin, Adrien Verdelhan (discussant), Jonathan Wallen, and Matthias Weber for their comments and suggestions while working on this project. The author also thanks the UniCredit Foundation for the 8th Econ Job Market Best Paper Award, the SFA for the 2021 Best Paper Award in International Finance, and the Qatar Centre for Global Banking and Finance at King’s College London for the Runner-up Young Economist Prize 2022, as well as seminar and conference participants at Stanford University, the University of St.Gallen, the Inter Finance PhD Seminar, the 33rd Australasian Finance and Banking Conference, 2021 SWFA Meetings, Imperial College London, the 37th International Conference of the French Finance Association, 2021 IBEFA Summer Meetings, the 33rd Asian Finance Conference, the 2021 Oxford-ETH Macro-finance Conference, the 2021 World Finance Conference, the 2nd PhD Student Symposium at the University of Texas at Austin, BIS, the 2021 DGF Meeting and Doctoral Workshop, the 2021 FMA Meeting, the 2021 SFA Meeting, the 2022 AFA Meeting, Babson College, BI Oslo, ESCP Paris, Copenhagen Business School, Cornerstone Research, CUHK, INSEAD, Wharton, UVA Darden, Northeastern University, Analysis Group, Baruch College, Federal Reserve Board, and Tilburg University. Parts of this paper were written during the author’s research stay at the Stanford Graduate School of Business, whose hospitality is gratefully acknowledged. All errors are the author’s own.
