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
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...
Discussion Papers
Jan 2016
DP 52
The Kelly Capital Growth Investment Strategy maximizes the expected utility of final wealth with a Bernoulli logarithmic utility function. In 1956 Kelly showed that static expected log maximization yields the maximum asymptotic long run growth. Good...
Discussion Papers
Dec 2015
DP 51
Guillaume Plantin and Jean Tirole
While the debate on cost and market-value accounting has been raging for years, economists lack a framework allowing a comparison of their relative merits. This paper considers an agency model in which the measurement of an asset can be based on...
Discussion Papers
Nov 2015
DP 50
Briana Chang and Shengxing Zhang
This paper proposes a theory of intermediation in which intermediaries emerge endogenously as the choice of agents. In contrast to the previous trading models based on random matching or exogenous networks, we allow traders to explicitly choose...
Discussion Papers
Nov 2015
DP 49
Fabio Caccioli, Imre Kondor and Gábor Papp
The contour maps of the error of historical resp. parametric estimates for large random portfolios optimized under the risk measure Expected Shortfall (ES) are constructed. Similar maps for the sensitivity of the portfolio weights to small changes...
Discussion Papers
Oct 2015
DP 48
Lorenzo Bretscher, Christian Julliard and Carlo Rosa
We study the implications of human capital hedging for international portfolio choice. First, we document that, at the household level, the degree of home country bias in equity holdings is increasing in the labor income to financial wealth ratio....
Discussion Papers
Sep 2015
DP 47
Since increasing a bank's capital requirement to improve the stability of the financial system imposes costs upon the bank, a regulator should ideally be able to prove beyond a reasonable doubt that banks classified as systemically risky really...
Discussion Papers
Sep 2015
DP 46
Emre Ozdenoren and Kathy Yuan
We study effort and risk-taking behaviour in an economy with a continuum of principal-agent pairs where each agent exerts costly hidden effort. When the industry productivity is uncertain, agents have motivations to match the industry average effort...

Pages