Research

Job Market Paper

Who Holds U.S. Bonds and How It Shapes the Yield Effects of QE and QT

Presentations: Federal Reserve Board 2026

How much do quantitative easing (QE) and tightening (QT) move bond yields? The answer turns on the slope of aggregate bond demand: who holds bonds, how sensitive their demand is to yields, and how fast they rebalance. I estimate heterogeneous investor demand in the U.S. bond market across four asset classes, Treasuries, agency MBS, corporate bonds, and municipal bonds, from sector-level portfolio-share data spanning 1985 to 2025, using granular, QE-shock, and heteroskedasticity-based instruments. I measure each sector’s demand against the non-bond asset it actually trades off against, and I let each sector rebalance at its own speed. Both elasticities and speeds differ sharply across sectors: financial intermediaries and foreign investors are inelastic, and the largest long-term holders, insurers and pension funds, barely respond within the quarter but reach a positive long-run slope over the following year. Because these sectors hold most of the market, aggregate demand is inelastic, and more so at low yields, which amplifies QE’s price impact and dampens QT’s. Feeding the estimated demand system through market clearing, I find that historical QE compressed yields substantially and spilled over to corporate and municipal markets. QT is smaller, a further $900 billion of runoff raising Treasury yields by about 15 basis points, because demand is more elastic at the higher yields prevailing during QT.

Working Papers

Mortgage Credit Without Capitalization: Evidence from Place-Based GSE Lending (with Wenchuan Zhao)

Presentations: AREUEA-ASSA 2027 (scheduled), Lugano Real Estate and Urban Economics Conference 2026 (scheduled), Zurich–Oxford Doctoral Symposium on Real Estate Markets 2026 (scheduled), Econometric Society European Meeting 2026 (scheduled), Federal Housing Finance Agency 2026, FMA Europe 2026, UEA Summer School 2026, UEA European Meeting 2026

Credit market expansions can improve welfare or distort it, depending on supply conditions and how credit is allocated. We show that the Duty-to-Serve program relaxed credit rationing in a market with elastic housing supply, increasing homeownership without raising house prices.

Expectations and Risk Premiums in Illiquid Real Assets (with Jiro Yoshida)

Presentations: Quad Real Estate Conference 2026, AREUEA National 2026, CBRE 2026, MIT 2026, USC 2026, Real Estate Finance and Investment Symposium 2025

Commercial real estate markets lack systematic measures of inflation, market expectations, and risk premiums. We develop an asset-pricing–based approach and apply it to major U.S. office, industrial, and retail markets to estimate these measures.

Climate Risk in Financial Contracts: Evidence from Leases, Loans, Bonds, and Mergers

Presentations: MIT Climate and Real Estate Symposium 2024, FIRS PhD Session 2024, Hitotsubashi 2023

Climate risk encompasses newly recognized bad states of the world that affect future asset values. When contracting parties increasingly anticipate this risk, do financial contract designs become more complete by specifying more future climate contingencies?

Notes

A Note on Identification of Difference-in-Discontinuities in Cross-Sectional Settings

Presentations: Econometric Society Asian Meeting 2024, IAAE 2024

In cross-sectional setting of the difference-in-discontinuities (diff-in-disc) design, identifying the conventional local average treatment effect (LATE) additionally requires random assignment of comparison groups.