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.

Discussion Papers
Aug 2016
DP 62
This paper has two main objectives: first, to provide a formal definition of endogenous systemic risk that is firmly grounded in equilibrium dynamics of temporary financial networks (i.e., short-term lending and investment networks); and...
Discussion Papers
Aug 2016
DP 61
For a discounted stochastic game with an uncountable state space and compact metric action spaces, we show that if the measurable-selection-valued, Nash payoff selection correspondence of the underlying one-shot game contains a sub-...
Discussion Papers
Aug 2016
DP 60
We identify a new class of uncountable-compact discounted stochastic games for which existence of stationary Markov equilibria can be established and we prove two new existence results for this class. Our approach to proving existence in...
Discussion Papers
Mar 2016
DP 59
Do Disaster risk and Fortune risk fetch a premium or discount in the pricing of individual assets? Disaster risk and Fortune risk are measures for the co-movement of individual stocks with the market, given that the state of the world is extremely...
Discussion Papers
Mar 2016
DP 58
The selection of upper order statistics in tail estimation is notoriously difficult. Most methods are based on asymptotic arguments, like minimizing the asymptotic mse, that do not perform well in finite samples. Here we advance a data driven method...
Discussion Papers
Feb 2016
DP 57
We study the effects of volatility on the probability of financial crises by constructing a cross-country database spanning 211 years. We find that volatility is not a significant predictor of crises whereas unexpected high and low volatilities are...
Discussion Papers
Feb 2016
DP 56
Rui Gong, Jieshuang He and Frank Page
We construct a model of a principal-agent game of network formation (over layered networks) with asymmetric information and we consider the following two questions: (1) Is it possible for the principal to design a mechanism that links the reports of...
Discussion Papers
Feb 2016
DP 55
We answer the following question: Does regulating the banking network increase systemic risk in the entire financial network in the presence of unregulated shadow banks? In order to answer this question, we introduce a formal definition of systemic...
Discussion Papers
Jan 2016
DP 54
Philippe Mueller, Alireza Tahbaz-Salehi and Andrea Vedolin
We document that a trading strategy that is short the U.S. dollar and long other currencies exhibits significantly larger excess returns on days with scheduled Federal Open Market Committee (FOMC) announcements. We also show that these excess...
Discussion Papers
Jan 2016
DP 53
Many debt claims, such as bonds, are resaleable, whereas others, such as repos, are not. There was a fivefold increase in repo borrowing before the 2008 crisis. Why? Did banks’ dependence on non-resaleable debt precipitate the crisis? In this...

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