The Quanto Theory of Exchange Rates
We present a new, theoretically motivated, forecasting variable for exchange rates that is based on the prices of quanto index contracts, and show via...
Are banks still special?
Banks have long played a special role in the financial system. Individuals and institutions use banks to access the payment system, and central banks...
Consistent Measures of Systemic Risk
This paper presents a methodology to infer multivariate densities that characterize the asset values for a system of financial institutions, and...
Contractual Externalities and Systemic Risk
The Review of Economic Studies, Volume 84, Issue 4, Pages 1789–1817.
Competitive Screening of Customers with Non-Common Priors
This paper provides an explanation for the variety of contracts offered by competitive firms for seemingly identical products or services. I show that...
Business Regulation and Poverty
Using panel data for 189 economies from 2004 to 2016, we show that business-friendly regulations are correlated with the poverty headcount at the...
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...
Trend Growth Durations & Shifts
Policymakers and investors often conceptualize trend growth as simply a medium/long term average growth rate. In practice, these averages are usually...
Skills Diversity in Unity
At any point in time, skills gaps, mismatches, and shortages arise because of an imperfect correspondence between the singular sets of skills required...
Fundamentals versus market sentiments in the euro bond markets: Implications for QE
Despite the partial realignment of European long-term government bonds after the crisis in 2012, there has been some renewed divergence in yields in...
Brexit and systemic risk
Brexit is likely to cause considerable disruption for financial markets. Some worry that it may also increase systemic risk. This column revisits the...
The STEM Requirements of "Non-STEM" Jobs: Evidence from UK Online Vacancy Postings and Implications for Skills & Knowledge Shortages
Do employers in "non-STEM" occupations (e.g. Graphic Designers, Economists) seek to hire STEM (Science, Technology, Engineering, and Mathematics)...
Pipeline Risk in Leveraged Loan Syndication
Leveraged term loans are typically arranged by banks but distributed to institutional investors. Using novel data, we find that to elicit investors’...
The Optimal Consumption Function in a Brownian Model of Accumulation. Part C: A Dynamical System Formulation
This Paper continues the study of the Optimal Consumption Function in a Brownian Model of Accumulation, see Part A [2001] and Part B [2014]; a...
