Publications

The Centre has a regular discussion paper series dedicated to academic research, as well as a special paper series focused on policy analysis. In addition, affiliated researchers publish a variety of books, reports and opinion pieces.

Opinion Pieces
Oct 2014
Regulation of the global insurance industry, an emerging challenge in international finance, has two central objectives: strengthening the oversight of insurance companies designated ‘systemically important’; and designing a global...
Discussion Papers
Sep 2014
DP 22
Jeffrey M Chwieroth, Cohen R Simpson and Andrew Walter
Sovereign default is often associated with the downfall of incumbent governments in democratic polities. Existing scholarship directs attention to the relationship between default and domestic politics and institutions rather than the broader...
Discussion Papers
Sep 2014
DP 21
Sebastien Lleo and Bill Ziemba
We provide a historical perspective focusing on Ziemba's experiences and research on the bond-stock earnings yield differential model (BSEYD) starting from when he first used it in Japan in 1988 through to the present in 2014. The model has...
Discussion Papers
Aug 2014
DP 20
Albert N. Shiryaev, Mikhail N. Zhitlukhin and Bill Ziemba
We study the land and stock markets in Japan circa 1990 and in 2013. While the Nikkei stock average in the late 1980s and its -48% crash in 1990 is generally recognized as a financial market bubble, a bigger bubble and crash was in the land market....
Discussion Papers
Aug 2014
DP 19
Kyle Moore and Chen Zhou
This paper empirically analyses the determinants of banks’ systemic importance. With applying a novel measure on the systemic importance to US bank holding companies in 2000–2010, we show that size is an important determinant of systemic...
Special Papers
Aug 2014
SP 5
Pawel Smaga
The aim of the study is to analyze the concept of systemic risk. The study reviews a multitude of systemic risk definitions in the literature. In addition, the paper identifies factors that contribute to the build-up of systemic risk (...
Discussion Papers
Aug 2014
DP 18
Sebastien Lleo and Bill Ziemba
In this paper, we extend the literature on crash prediction models in three main respects. First, we relate explicitly crash prediction measures and asset pricing models. Second, we present a simple, effective statistical significance test for crash...
Special Papers
Aug 2014
SP 4
Peter Sarlin
This paper discusses the role of risk communication in macroprudential oversight and of visualization in risk communication. Beyond the soar in data availability and precision, the transition from firm-centric to system-wide supervision imposes vast...
Discussion Papers
Jul 2014
DP 16
Calebe de Roure and Paolo Tasca
This paper approaches the PPP puzzle by using the Bitcoin/US Dollar exchange rate. The use of the virtual currency as macroeconomic laboratory allows us to remove frictions that previously impeded the empirical demonstration of the law of one price...
Discussion Papers
Jul 2014
DP 15
Leonard C. MacLean, Yonggan Zhao and Bill Ziemba
The optimal capital growth strategy or Kelly strategy, has many desirable properties such as maximizing the asympotic long run growth of capital. However, it has considerable short run risk since the utility is logarithmic, with essentially zero...

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