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
Feb 2018
Cryptocurrencies are supposedly a new and superior form of money and investments – the way of the future. The author of this column, however, does not see the point of cryptocurrencies, finding them no better than existing fiat money or good...
Reports
Feb 2018
Ron Anderson, Chikako Baba, Jon Danielsson, Udaibir S. Das, Heedon Kang and Miguel Segoviano
Non-supervisory bank stress testing is becoming firmly embedded in the post-crisis macroprudential frameworks of major financial sectors around the world. The Monetary and Capital Markets Department (MCM) of the International Monetary Fund (IMF) and...
Discussion Papers
Nov 2017
DP 76
Ray Barrell, Dilly Karim and Corrado Macchiarelli
Macroprudential policy is now based around a countercyclical buffer, relating capital requirements for banks to the degree of excess credit in the economy. We consider the construction of the credit to GDP gap looking at different ways of extracting...
Opinion Pieces
Nov 2017
Artificial intelligence is increasingly used to tackle all sorts of problems facing people and societies. This column considers the potential benefits and risks of employing AI in financial markets. While it may well revolutionise risk management...
Special Papers
Nov 2017
SP 13
Artificial intelligence (AI) is rapidly changing how financial institutions are operated and regulated. The authors discuss the benefits and danger that AI may bring to the objectives of risk management and macroprudential supervision.
Discussion Papers
Nov 2017
DP 75
Lukas Kremens and Ian Martin
We present a new, theoretically motivated, forecasting variable for exchange rates that is based on the prices of quanto index contracts, and show via panel regressions that the quanto forecast variable is a statistically and economically...
Discussion Papers
Oct 2017
DP 74
Miguel Segoviano and Raphael André Espinoza
This paper presents a methodology to infer multivariate densities that characterize the asset values for a system of financial institutions, and applies it to quantify systemic risk. These densities, which are inferred from partial information but...
Discussion Papers
Sep 2017
DP 73
This paper provides an explanation for the variety of contracts offered by competitive firms for seemingly identical products or services. I show that two competing firms offering menus of non-linear price schedules to customers with biased beliefs...
Discussion Papers
Aug 2017
DP 72
Sebastien Lleo and Bill Ziemba
Predicting stock market crashes is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly for use on mature fi nancial markets. In this paper, we investigate whether traditional crash...
Discussion Papers
Jul 2017
DP 71
Inna Grinis
Policymakers and investors often conceptualize trend growth as simply a medium/long term average growth rate. In practice, these averages are usually taken over arbitrary periods of time, thereby ignoring the large empirical growth literature which...

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