Dynamic industry uncertainty networks and the business cycle
Journal of Economic Dynamics and Control, 159, 104793
The calming of short-term market fear and its long-term consequences: The central banks’ dilemma
We study the short-term effects and long-term consequences of Fed crisis interventions on market fears — the risk perception of large asset price...
DP 127
Options-based systemic risk, financial distress, and macroeconomic downturns
Journal of Financial Markets, 65, 100834
Moral hazard, the fear of the markets, and how central banks responded to Covid-19
While the direct economic consequences of Covid-19 have been significant, the impact on the financial markets has been more nuanced. This column uses...
Options-based systemic risk, financial distress, and macroeconomic downturns
In this study, we propose an implied forward-looking measure for systemic risk that employs the information from put option prices, the Systemic...
DP 107
