I am a sixth-year Finance Ph.D. student at the Stanford Graduate School of Business. I am interested in the finance of monetary policies. I use the insights and tools from finance to think about monetary economics.  

Contact: heesuroh@stanford.edu


Stanford University

09/2009 – 06/2013

M.S., Management Science and Engineering (economics and finance track)

B.S., Management Science and Engineering (financial and decision engineering track)


Stanford Graduate School of Business

09/2016 – present

Ph.D. candidate in finance

Working Papers

Abstract: With quantitative easing (QE), central banks buy long-term government bonds to lower long-term interest rates. QE removes from the market both the investment risk associated with ownership of the bonds and also the transaction services conveyed by these bonds, which include facilitating the matching of buyers and sellers in the bond market. To the extent that it lends its stock of bonds back to market participants, a central bank replaces these transaction services. In contrast, by not lending its bonds, the central bank further lowers long-term rates by increasing the scarcity of these transaction services. This amplification of the impact of QE on long-term rates through reduced bond lending allows the European Central Bank to achieve its QE rate objective more easily because the alternative of even greater purchases of bonds could be politically contentious.

Presentation: the 2019 Poster Session of the ECB Forum on Central Banking, the 7th FRBSF-BoC Conference on Advances in Fixed Income Macro-Finance Research, the 34th Australasian Finance and Banking Conference

  • This is a direct analog of Vanguard lending stocks to short-sellers. 

  • This paper is the first to consider the role of search frictions in the government bond market for monetary policy transmission. 

  • Identifying a specific monetary transmission channel is often very challenging. I use accidental leakage of confidential information. At 11:37 AM on November 23, 2016, CET, Reuters released an interview with an anonymous ECB official saying that the ECB would be lending more bonds in the future. Bond yields immediately jumped. There was another similar event on November 15, 2021. 

[Full Version with Online Appendix]

Joint with Angela Maddaloni (ECB)

Abstract: For a liquid bond market, it is important that bond holders actively lend their bonds. By being able to borrow bonds without delays, dealers can better intermediate trades in this market without carrying unnecessarily large inventories. The liquidity of the bond market is essential for many other financial markets such as the futures market or derivatives market. However, we show that nonbank financial institutions such as insurance companies or pension funds do not lend their bonds as actively as banks do. Even when they do lend bonds, they earn considerably less fees than banks. Because nonbanks hold much more bonds than banks in the euro-area, their inactive lending of bonds increases the scarcity of these assets and makes it costlier for investors to borrow bonds in the market.


Presentation: the European Central Bank​

Work in Progress

Front-Running Central Banks

Joint with Angela Maddaloni (ECB)

We show preliminary empirical evidence that hedge funds front-run the European Central Bank (ECB) in bond purchases. This front-running behavior became controversial when the German Constitutional Court deliberated the legality of the ECB’s asset purchase program. When conducting quantitative easing (QE) programs, central banks announce their plans to purchase bonds from the secondary market. These announcements of future bond purchases provide incentives for private investors to front-run central banks. Investors purchase bonds before central banks and subsequently sell their bond inventory to central banks, extracting oligopolistic rents. Central banks face a trade-off. On the one hand, front-running can further push up bond prices when plans for bond purchases are announced. This may support the QE objective of lowering yields. On the other hand, central banks incur losses from buying bonds at inflated prices.


Monetary Policy Passthrough Efficiency in the Wholesale Money Market

Joint with Stephan Jank (Deutsche Bundesbank) and Emanuel Mönch (Frankfurt School of Finance & Management)