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

14

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Top 4,425

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11,746

SSRN CITATIONS
Rank 576

SSRN RANKINGS

Top 576

in Total Papers Citations

916

CROSSREF CITATIONS

852

Scholarly Papers (14)

1.
Downloads 2,419 ( 7,243)
Citation 8

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 2,379 (7,322)
Citation 6

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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 2021
Itamar Drechsler and Qingyi (Freda) Song Drechsler
Wharton School, Department of Finance and University of Pennsylvania - Wharton Research Data Services
Downloads 40 (534,815)
Citation 2

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2.
Downloads 2,006 ( 9,806)
Citation 152

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 1,949 (10,085)
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: 12 Jul 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 57 (459,081)
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 1,719 (12,370)
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: 02 Sep 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 27 (611,300)
Citation 8

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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 (829,489)
Citation 2
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banks, deposits, interest rate risk, maturity transformation

4.
Downloads 1,292 ( 19,530)
Citation 60

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 1,198 (21,517)
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: 27 May 2014
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 94 (347,670)
Citation 28

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5.

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 1,284 (19,699)
Citation 146

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

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
ProfessorNew York University - Leonard N. Stern School of Business, Wharton School, Department of Finance and New York University (NYU) - Department of Finance
Downloads 616 (54,438)
Citation 8

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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 2021
ProfessorNew York University - Leonard N. Stern School of Business, Wharton School, Department of Finance and New York University (NYU) - Department of Finance
Downloads 48 (496,315)

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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
ProfessorNew York University - Leonard N. Stern School of Business, Wharton School, Department of Finance and New York University (NYU) - Department of Finance
Downloads 40 (534,815)

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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
ProfessorNew York University - Leonard N. Stern School of Business, Wharton School, Department of Finance and New York University (NYU) - Department of Finance
Downloads 9 (754,319)
Citation 92
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credit default swaps, deleveraging, financial crises, forbearance, growth, sovereign debt

7.

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 694 (47,295)
Citation 4

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Inflation, monetary policy, banks, deposits, regulation Q

8.
Downloads 656 ( 50,713)
Citation 6

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 645 (51,208)
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: 24 May 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 11 (737,126)
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9.
Downloads 450 ( 81,210)
Citation 2

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 433 (84,241)

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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: 31 Jan 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 17 (686,993)

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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
Downloads 0
Citation 2
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banks, deposits, monetary policy, Mortgage lending, Private- label securitization, Securitization

10.

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
ProfessorNew York University - Leonard N. Stern School of Business, Wharton School, Department of Finance and New York University (NYU) - Department of Finance
Downloads 298 (129,153)
Citation 7

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

11.

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 119 (292,290)
Citation 1

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

12.

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 68 (413,941)

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financial sector bailouts, sovereign credit risk

13.

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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14.

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: 246
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 246

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