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
Jul 2015
DP 42
Christoph Aymanns, Fabio Caccioli, J. Doyne Farmer and Vincent W.C. Tan
Effective risk control must make a tradeoff between the microprudential risk of exogenous shocks to individual institutions and the macroprudential risks caused by their systemic interactions. We investigate a simple dynamical model for...
Discussion Papers
Jul 2015
DP 41
Rafael Matta and Enrico Perotti
We analyse bank runs under fundamental and asset liquidity risk, adopting a realistic description of bank default. We obtain an unique run equilibrium, even as fundamental risk becomes arbitrarily small. When safe returns are securitized and pledged...
Discussion Papers
Jul 2015
DP 40
Mike Burkart and Amil Dasgupta
We develop a dual-layered agency model to study blockholder monitoring by activist funds that compete for investor flow. Competition for flow affects the manner in which activist hedge funds govern as blockholders. In particular, funds inflate short...
Discussion Papers
Jun 2015
DP 39
Rui Gong, Frank Page and Myrna Wooders
We model the structure and strategy of social interactions prevailing at any point in time as a directed network and we address the following open question in the theory of social and economic network formation: given the rules of network and...
Discussion Papers
May 2015
DP 38
Daniel Beunza and Yuval Millo
The recent automation of the American stock market has replaced floor intermediaries with trading algorithms, calling into question the sociological claim that markets are structured by networks of intermediaries. Our study examines the social...
Discussion Papers
Apr 2015
DP 37
Andrew Baker
Macroprudential regulation, which has emerged as a new departure in financial regulation (albeit with a longer heritage), since the financial crash, is in a fluid, evolving and highly experimental phase. Understanding its future political economy...
Discussion Papers
Apr 2015
DP 36
Jon Danielsson and Chen Zhou
This paper analyzes the robustness of standard risk analysis techniques, with a special emphasis on the specifications in Basel III. We focus on the difference between Value–at–Risk and expected shortfall, the small sample properties of...
Discussion Papers
Mar 2015
DP 35
Georgy Chabakauri
We consider a general equilibrium Lucas (1978) economy with one consumption good and two heterogeneous Epstein-Zin investors. The output is subject to rare large drops or, more generally, can have non-lognormal distribution with higher cumulants....
Discussion Papers
Mar 2015
DP 34
Aytek Malkhozov and Andrea Tamoni
We study the importance of anticipated shocks (news) for understanding the comovement between macroeconomic quantities and asset prices. We find that four-quarter anticipated investment shocks are an important source of fluctuations for...
Discussion Papers
Mar 2015
DP 33
Thorsten Beck, Hans Degryse, Ralph De Haas and Neeltje van Horen
Using a novel way to identify relationship and transaction banks, we study how banks’ lending techniques affect credit constraints of small and medium-sized enterprises across emerging Europe. We link the lending techniques that banks use in...

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