Discussion Papers

For a discounted stochastic game with an uncountable state space and compact metric action spaces, we show that if the measurable-selection-valued...

We establish a new fixed point result for measurable-selection-valued correspondences with nonconvex and possibly disconnected values arising from the...

Effective risk control must make a tradeoff between the microprudential risk of exogenous shocks to individual institutions and the macroprudential...

We analyse bank runs under fundamental and asset liquidity risk, adopting a realistic description of bank default. We obtain an unique run equilibrium...

We develop a dual-layered agency model to study blockholder monitoring by activist funds that compete for investor flow. Competition for flow affects...

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...

The recent automation of the American stock market has replaced floor intermediaries with trading algorithms, calling into question the sociological...

Macroprudential regulation, which has emerged as a new departure in financial regulation (albeit with a longer heritage), since the financial crash...

This paper analyzes the robustness of standard risk analysis techniques, with a special emphasis on the specifications in Basel III. We focus on the...

We study the importance of anticipated shocks (news) for understanding the comovement between macroeconomic quantities and asset prices. We find that...

Using a novel way to identify relationship and transaction banks, we study how banks’ lending techniques affect credit constraints of small and medium...

We consider a general equilibrium Lucas (1978) economy with one consumption good and two heterogeneous Epstein-Zin investors. The output is subject to...

We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital, liquidity, and asset prices...

In recent years, global imbalances have channeled the excess savings of surplus countries toward the real estate markets of deficit countries. By...

The Financial Crisis that started in 2007 ushered in new responsibilities for central banks, particularly for what is termed “macro-prudential policy...

How have the politics of banking crises changed over the long run? Unlike existing static accounts, we offer a dynamic theory emphasizing how the...