Why risk is so hard to measure
This paper analyzes the robustness of standard risk analysis techniques, with a special emphasis on the specifications in Basel III. We focus on the...
Dynamic Equilibrium with Rare Events and Heterogeneous Epstein-Zin Investors
We consider a general equilibrium Lucas (1978) economy with one consumption good and two heterogeneous Epstein-Zin investors. The output is subject to...
News Shocks and Asset Prices
We study the importance of anticipated shocks (news) for understanding the comovement between macroeconomic quantities and asset prices. We find that...
When Arm’s Length Is Too Far. Relationship Banking over the Credit Cycle
Using a novel way to identify relationship and transaction banks, we study how banks’ lending techniques affect credit constraints of small and medium...
Post-Crisis banking regulation: Evolution of economic thinking as it happened on Vox
This column introduces a new Vox eBook collecting some of the best Vox columns on financial regulations, starting with the fundamentals of financial...
Post-Crisis Banking Regulation: Evolution of economic thinking as it happened on Vox
This eBook collects some of the best Vox columns on financial regulations, starting with the fundamentals of financial regulations, moving on to bank...
The Dynamics of Financially Constrained Arbitrage
We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital, liquidity, and asset prices...
Europe’s proposed capital markets union: Disruption will drive investment and innovation
The proposed EU capital markets union aims to revitalise Europe’s economy by creating efficient funding channels between providers of loanable funds...
Global Capital Markets, Housing Prices, and Partisan Fiscal Policies
In recent years, global imbalances have channeled the excess savings of surplus countries toward the real estate markets of deficit countries. By...
Multilateral surveillance: Ensuring a focus on key risks to global stability
The 2007/9 crisis and the ongoing transformation of the global economy call for a rethink of the scope of the Fund’s multilateral surveillance. This...
What the Swiss FX shock says about risk models
The Swiss central bank last week abandoned its euro exchange rate ceiling. This column argues that the fallout from the decision demonstrates the...
Averting financial crisis
Jeffrey Chwieroth and Jon Danielsson discuss the political challenges of the macroprudential agenda in the ESRC's annual flagship magazine Britain in...
Brave New World? Macro Prudential Policy and the new Political Economy of The Federal Reserve
The Financial Crisis that started in 2007 ushered in new responsibilities for central banks, particularly for what is termed “macro-prudential policy...
Great Expectations, Veto Players, and the Changing Politics of Banking Crises
How have the politics of banking crises changed over the long run? Unlike existing static accounts, we offer a dynamic theory emphasizing how the...
The Federal Reserve as Global Lender of Last Resort, 2007-2010
Passage of the Dodd-Frank financial reform bill, in conjunction with a Supreme Court ruling supporting a Freedom of Information Act request, required...
Reforming the Global Architecture of Financial Regulation: The G20, the IMF and the FSB
The global financial crisis that began in 2007 and deepened in 2008 exposed major weaknesses in financial and macroeconomic policy coordination, and...