Itamar Drechsler

New York University (NYU) - Department of Finance

Assistant Professor of Finance

Stern School of Business

44 West 4th Street

New York, NY 10012-1126

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

11

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131

Scholarly Papers (11)

The Shorting Premium and Asset Pricing Anomalies

Number of pages: 61 Posted: 30 Jan 2014 Last Revised: 07 May 2016
Itamar Drechsler and Qingyi (Freda) Song Drechsler
New York University (NYU) - Department of Finance and University of Pennsylvania - Wharton Research Data Services
Downloads 1,727 (8,239)

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shorting, lending fees, shorting premium, anomalies, cross-section, asset pricing, concentrated risk, differences of opinion, segmentation, stock returns, value, momentum, idiosyncratic volatility, net share issuance

The Shorting Premium and Asset Pricing Anomalies

NBER Working Paper No. w20282
Number of pages: 56 Posted: 24 Jul 2014
Itamar Drechsler and Qingyi (Freda) Song Drechsler
New York University (NYU) - Department of Finance and University of Pennsylvania - Wharton Research Data Services
Downloads 26 (469,719)

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2.
Downloads 1,470 ( 10,928)

The Deposits Channel of Monetary Policy

Number of pages: 73 Posted: 11 Dec 2014 Last Revised: 31 Mar 2017
Itamar Drechsler, Alexi Savov and Philipp Schnabl
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 1,427 (11,232)

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Monetary policy, deposits, market power, bank lending, liquidity

The Deposits Channel of Monetary Policy

NBER Working Paper No. w22152
Number of pages: 69 Posted: 11 Apr 2016
Itamar Drechsler, Alexi Savov and Philipp Schnabl
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 43 (393,673)

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3.

What's Vol Got to Do With It

AFA 2009 San Francisco Meetings Paper
Number of pages: 63 Posted: 20 Mar 2008 Last Revised: 14 Dec 2011
Itamar Drechsler and Amir Yaron
New York University (NYU) - Department of Finance and University of Pennsylvania -- Wharton School of Business
Downloads 1,205 (14,964)
Citation 89

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Return Predictability, Variance Premium, Long Run Risks, Stochastic Volatility, Jump Risks

A Model of Monetary Policy and Risk Premia

Journal of Finance, Forthcoming
Number of pages: 63 Posted: 07 Nov 2013 Last Revised: 05 Jan 2017
Itamar Drechsler, Alexi Savov and Philipp Schnabl
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 1,049 (18,103)

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Monetary policy, leverage, risk premia, reaching for yield

A Model of Monetary Policy and Risk Premia

NBER Working Paper No. w20141
Number of pages: 64 Posted: 19 May 2014 Last Revised: 27 May 2014
Itamar Drechsler, Alexi Savov and Philipp Schnabl
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 40 (405,080)

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Banking on Deposits: Maturity Transformation Without Interest Rate Risk

Number of pages: 64 Posted: 22 Mar 2017 Last Revised: 05 May 2018
Itamar Drechsler, Alexi Savov and Philipp Schnabl
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 929 (21,737)

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Banks, maturity transformation, deposits, interest rate risk

Banking on Deposits: Maturity Transformation Without Interest Rate Risk

NBER Working Paper No. w24582
Number of pages: 65 Posted: 14 May 2018
Itamar Drechsler, Alexi Savov and Philipp Schnabl
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 10 (566,898)
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Banking on Deposits: Maturity Transformation Without Interest Rate Risk

CEPR Discussion Paper No. DP12950
Number of pages: 67 Posted: 31 May 2018
Itamar Drechsler, Alexi Savov and Philipp Schnabl
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
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banks, deposits, interest rate risk, maturity transformation

A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk

Journal of Finance, Forthcoming
Number of pages: 69 Posted: 19 Jun 2011 Last Revised: 01 Oct 2015
Viral V. Acharya, Itamar Drechsler and Philipp Schnabl
New York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 559 (43,839)
Citation 37

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Financial Crises, Sovereign Debt, Credit Default Swaps

A Pyrrhic Victory? - Bank Bailouts and Sovereign Credit Risk

NBER Working Paper No. w17136
Number of pages: 59 Posted: 20 Jun 2011
Viral V. Acharya, Itamar Drechsler and Philipp Schnabl
New York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 38 (413,063)
Citation 37

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A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk

NYU Working Paper No. 2451/31331
Number of pages: 59 Posted: 26 Jun 2013
Viral V. Acharya, Itamar Drechsler and Philipp Schnabl
New York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 28 (458,795)
Citation 37

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A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk

CEPR Discussion Paper No. DP8679
Number of pages: 62 Posted: 22 Dec 2011
Viral V. Acharya, Itamar Drechsler and Philipp Schnabl
New York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 9 (572,842)
Citation 37
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credit default swaps, deleveraging, financial crises, forbearance, growth, sovereign debt

7.

Liquidity Creation As Volatility Risk

Number of pages: 43 Posted: 08 Mar 2018
Itamar Drechsler, Alan Moreira and Alexi Savov
New York University (NYU) - Department of Finance, University of Rochester - Simon Business School and New York University (NYU) - Department of Finance
Downloads 293 (96,060)

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liquidity, volatility, reversals, VIX, variance premium

8.

A Tale of Two Overhangs: The Nexus of Financial Sector and Sovereign Credit Risks

Financial Stability Review, No. 16, April 2012
Number of pages: 6 Posted: 29 Apr 2012
Viral V. Acharya, Itamar Drechsler and Philipp Schnabl
New York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 189 (148,896)
Citation 4

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Sovereign Debt, Financial Crisis, Bailouts, Debt Overhang, Credit Default Swaps

9.

Risk Choice under High-Water Marks

Review of Financial Studies, Forthcoming
Number of pages: 61 Posted: 20 Nov 2011 Last Revised: 29 Jan 2014
Itamar Drechsler
New York University (NYU) - Department of Finance
Downloads 90 (265,147)

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high-water mark, hedge fund, risk, risk taking, dynamic, portfolio choice, option, restart

10.

A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk

Number of pages: 64 Posted: 17 May 2012 Last Revised: 17 May 2013
Viral V. Archarya, Itamar Drechsler and Philipp Schnabl
New York University (NYU) - Leonard N. Stern School of Business, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 63 (325,341)
Citation 1

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financial sector bailouts, sovereign credit risk

11.

The Role of Payout Horizon in Determining the Risks and Returns of Claims to Aggregate Cash Flows

Posted: 31 May 2012
Itamar Drechsler
New York University (NYU) - Department of Finance

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horizon, long run risk, duration, cointegration, value premium, zero coupon equity strips

Other Papers (1)

Total Downloads: 206    Citations: 35
1.

Uncertainty, Time-Varying Fear, and Asset Prices

Journal of Finance, Forthcoming
Number of pages: 56 Posted: 23 Mar 2009 Last Revised: 01 Jun 2012
Itamar Drechsler
New York University (NYU) - Department of Finance
Downloads 206
Citation 35

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time-varying Knightian uncertainty, jump shocks, index options, variance premium, long-run risk