Discussion Papers

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

How does the change in the creditworthiness of a financial institution or sovereign impact its creditors’ solvency? I address this question in the...

We document that cross-sectional FX correlation disparity is countercyclical, as exchange rate pairs with high average correlation become more...

In Part A of the present study, subtitled 'The Consumption Function as Solution of a Boundary Value Problem' Discussion Paper No. TE/96/297, STICERD...

We develop a tractable model in which trade is generated by asymmetry in agents' information sets. We show that, even if news are not generated by a...

We study a dynamic general equilibrium model in which firms choose their investment level and their capital structure, trading off the tax advantages...

We offer a model of currency carry trades in which carry traders earn positive excess returns if they successfully coordinate on supplying excessive...

We model banks’ liquidity holding decision as a simultaneous game on an interbank borrowing network. We show that at the Nash equilibrium, the...

Sovereign default is often associated with the downfall of incumbent governments in democratic polities. Existing scholarship directs attention to the...

We provide a historical perspective focusing on Ziemba's experiences and research on the bond-stock earnings yield differential model (BSEYD) starting...

We study the land and stock markets in Japan circa 1990 and in 2013. While the Nikkei stock average in the late 1980s and its -48% crash in 1990 is...

In this paper, we extend the literature on crash prediction models in three main respects. First, we relate explicitly crash prediction measures and...

This paper empirically analyses the determinants of banks’ systemic importance. With applying a novel measure on the systemic importance to US bank...

This paper approaches the PPP puzzle by using the Bitcoin/US Dollar exchange rate. The use of the virtual currency as macroeconomic laboratory allows...

The optimal capital growth strategy or Kelly strategy, has many desirable properties such as maximizing the asympotic long run growth of capital...

This paper shows that the current market infrastructure systemically prevents investors, both shareholders and bondholders, from exercising their...