Cryptocurrencies: Financial stability and fairness
Cryptocurrencies are primarily held today for speculative reasons and see little economic use outside of that. This column argues that if private...
Cryptocurrencies: Policy, economics and fairness
Cryptocurrencies promise to replace fiat money with private money whose integrity is underpinned by algorithms, not government guarantees. While the...
Asset Encumbrance, Bank Funding and Fragility
We model asset encumbrance by banks subject to rollover risk and study the consequences for fragility, funding costs, and prudential regulation. A...
Domestic banks as lightning rods? Home bias and information during Eurozone crisis
European banks have been criticized for holding excessive domestic government debt during economic downturns, which may have intensified the diabolic...
The hierarchy of financial policies
Financial policy is determined in multiple domains by separate government authorities. This column explores the hierarchical ranking of these domains...
Ten Years After the Global Financial Crisis: Causes, Outcomes, Lessons Learnt
September 15th, 2008: financial services firm Lehman Brothers files for Chapter 11 bankruptcy protection, marking the largest default in U.S. history...
Information acquisition, price informativeness, and welfare
Journal of Economic Theory, Volume 177, Pages 558-593.
A Tale of Two Indexes: Predicting Equity Market Downturns in China
Predicting stock market crashes is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly...
Bankruptcy in Groups
We examine bankruptcy within business groups. Groups have incentives to support financially distressed subsidiaries as the bankruptcy of a subsidiary...
Which numerical computing language is best: Julia, MATLAB, Python or R?
Julia, MATLAB, Python and R are among the most commonly used numerical programming languages by economic researchers. In this post, Jon Danielsson and...
Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses
We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects (SE losses) into macroprudential...
A Comprehensive Multi-Sector Tool for Analysis of Systemic Risk and Interconnectedness (SyRIN)
This paper presents the Systemic Risk and Interconnectedness (SyRIN) tool. SyRIN allows a comprehensive assessment of systemic risk via quantification...
Learning from History: Volatility and Financial Crises
The Review of Financial Studies, Volume 31, Issue 7, Pages 2774–2805.
Cryptocurrencies are lousy investments
Are cryptocurrencies the future of money, Ponzi schemes, speculators’ dreams, or just a prosperity gospel? While there is money to be made in the...
