Itamar Drechsler

Wharton School, Department of Finance

3641 Locust Walk

Philadelphia, PA 19104-6365

United States

http://https://sites.google.com/site/idrechsl/

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

15

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Top 4,186

in Total Papers Downloads

17,192

SSRN CITATIONS
Rank 393

SSRN RANKINGS

Top 393

in Total Papers Citations

2,407

CROSSREF CITATIONS

770

Scholarly Papers (15)

1.
Downloads 3,127 ( 7,537)
Citation 10

The Shorting Premium and Asset Pricing Anomalies

Number of pages: 61 Posted: 30 Jan 2014 Last Revised: 15 Jul 2021
Itamar Drechsler and Qingyi (Freda) Song Drechsler
Wharton School, Department of Finance and University of Pennsylvania - Wharton Research Data Services
Downloads 3,038 (7,727)
Citation 4

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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 Last Revised: 03 Jun 2023
Itamar Drechsler and Qingyi (Freda) Song Drechsler
Wharton School, Department of Finance and University of Pennsylvania - Wharton Research Data Services
Downloads 89 (536,277)
Citation 2

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2.
Downloads 2,531 (10,501)
Citation 374

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
Wharton School, Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 2,426 (11,035)
Citation 15

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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 Last Revised: 13 Jul 2023
Itamar Drechsler, Alexi Savov and Philipp Schnabl
Wharton School, Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 105 (476,060)
Citation 92

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Banking on Deposits: Maturity Transformation Without Interest Rate Risk

Number of pages: 92 Posted: 22 Mar 2017 Last Revised: 29 Jul 2020
Itamar Drechsler, Alexi Savov and Philipp Schnabl
Wharton School, Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 2,126 (13,686)
Citation 10

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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: 76 Posted: 14 May 2018 Last Revised: 03 Mar 2023
Itamar Drechsler, Alexi Savov and Philipp Schnabl
Wharton School, Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 78 (578,157)
Citation 146

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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
Wharton School, Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 1 (1,176,628)
Citation 1
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banks, deposits, interest rate risk, maturity transformation

4.

The Financial Origins of the Rise and Fall of American Inflation

NYU Stern School of Business
Number of pages: 77 Posted: 10 Mar 2020
Itamar Drechsler, Alexi Savov and Philipp Schnabl
Wharton School, Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 2,008 (15,206)
Citation 2

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Inflation, monetary policy, banks, deposits, regulation Q

5.
Downloads 1,583 (22,023)
Citation 111

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
Wharton School, Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 1,415 (25,667)
Citation 2

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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: 15 Jul 2023
Itamar Drechsler, Alexi Savov and Philipp Schnabl
Wharton School, Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 168 (327,612)
Citation 28

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6.

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, Amir Yaron and Amir Yaron
Wharton School, Department of Finance and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 1,384 (26,945)
Citation 203

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

7.
Downloads 1,263 (30,845)
Citation 9

Banking on Uninsured Deposits

Number of pages: 51 Posted: 19 Apr 2023
Itamar Drechsler, Alexi Savov, Philipp Schnabl and Olivier Wang
Wharton School, Department of Finance, New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 1,240 (31,157)
Citation 3

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Banking on Uninsured Deposits

NBER Working Paper No. w31138
Number of pages: 52 Posted: 17 Apr 2023 Last Revised: 28 Jun 2023
Itamar Drechsler, Alexi Savov, Philipp Schnabl and Olivier Wang
Wharton School, Department of Finance, New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 23 (953,603)
Citation 6
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8.
Downloads 973 (44,737)
Citation 5

Liquidity and Volatility

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 74 Posted: 08 Mar 2018 Last Revised: 19 Oct 2021
Itamar Drechsler, Alan Moreira and Alexi Savov
Wharton School, Department of Finance, University of Rochester - Simon Business School and New York University (NYU) - Department of Finance
Downloads 910 (48,404)
Citation 4

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liquidity, volatility, reversals, VIX, variance premium

Liquidity and Volatility

NBER Working Paper No. w27959
Number of pages: 73 Posted: 19 Oct 2020 Last Revised: 25 May 2023
Itamar Drechsler, Alan Moreira and Alexi Savov
Wharton School, Department of Finance, University of Rochester - Simon Business School and New York University (NYU) - Department of Finance
Downloads 63 (651,776)

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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
New York University (NYU) - Leonard N. Stern School of Business, Wharton School, Department of Finance and New York University (NYU) - Department of Finance
Downloads 678 (71,716)
Citation 15

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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 Last Revised: 29 Apr 2023
New York University (NYU) - Leonard N. Stern School of Business, Wharton School, Department of Finance and New York University (NYU) - Department of Finance
Downloads 74 (596,396)

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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
New York University (NYU) - Leonard N. Stern School of Business, Wharton School, Department of Finance and New York University (NYU) - Department of Finance
Downloads 64 (646,430)

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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
New York University (NYU) - Leonard N. Stern School of Business, Wharton School, Department of Finance and New York University (NYU) - Department of Finance
Downloads 9 (1,104,016)
Citation 92
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credit default swaps, deleveraging, financial crises, forbearance, growth, sovereign debt

10.
Downloads 653 (76,277)
Citation 24

How Monetary Policy Shaped the Housing Boom

NYU Stern School of Business
Number of pages: 68 Posted: 08 Mar 2019 Last Revised: 30 Apr 2021
Itamar Drechsler, Alexi Savov and Philipp Schnabl
Wharton School, Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 623 (79,816)

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Monetary Policy, Mortgage Lending, Banks, Securitization, Deposits, Private-Label Securitization

How Monetary Policy Shaped the Housing Boom

NBER Working Paper No. w25649
Number of pages: 52 Posted: 19 Mar 2019 Last Revised: 30 Jan 2023
Itamar Drechsler, Alexi Savov and Philipp Schnabl
Wharton School, Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 30 (885,748)

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How Monetary Policy Shaped the Housing Boom

CEPR Discussion Paper No. DP14252
Number of pages: 54 Posted: 14 Jan 2020
Itamar Drechsler, Alexi Savov and Philipp Schnabl
Wharton School, Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
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Citation 21
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banks, deposits, monetary policy, Mortgage lending, Private- label securitization, Securitization

11.

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
New York University (NYU) - Leonard N. Stern School of Business, Wharton School, Department of Finance and New York University (NYU) - Department of Finance
Downloads 401 (138,296)
Citation 7

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

12.

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
Wharton School, Department of Finance
Downloads 151 (358,529)
Citation 1

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

13.

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, Wharton School, Department of Finance and New York University (NYU) - Department of Finance
Downloads 88 (531,080)

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financial sector bailouts, sovereign credit risk

14.

Liquidity, Risk Premia, and the Financial Transmission of Monetary Policy

Annual Review of Financial Economics, Vol. 10, pp. 309-328, 2018
Posted: 08 Nov 2018
Itamar Drechsler, Alexi Savov and Philipp Schnabl
Wharton School, Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance

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15.

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

Posted: 31 May 2012
Itamar Drechsler
Wharton School, Department of Finance

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

Other Papers (1)

Total Downloads: 282
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
Wharton School, Department of Finance
Downloads 282

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