Credit Risk Spillovers, Systemic Importance and Vulnerability in Financial Networks
How does the change in the creditworthiness of a financial institution or sovereign impact its creditors’ solvency? I address this question in the...
International Correlation Risk
We document that cross-sectional FX correlation disparity is countercyclical, as exchange rate pairs with high average correlation become more...
The Optimal Consumption Function in a Brownian Model of Accumulation Part B: Existence of Solutions of Boundary Value Problems
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...
Information Asymmetries, Volatility, Liquidity, and the Tobin Tax
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...
Capital Structure, Investment, and Fire Sales
We study a dynamic general equilibrium model in which firms choose their investment level and their capital structure, trading off the tax advantages...
Destabilizing carry trades
We offer a model of currency carry trades in which carry traders earn positive excess returns if they successfully coordinate on supplying excessive...
How insurers differ from banks: Implications for systemic regulation
Having completed the regulatory framework for systemically important banks, the Financial Stability Board is turning to insurance companies. The...
Regulating the global insurance industry: Motivations and challenges
Regulation of the global insurance industry, an emerging challenge in international finance, has two central objectives: strengthening the oversight...
Network Risk and key Players: A Structural Analysis of Interbank Liquidity
We model banks’ liquidity holding decision as a simultaneous game on an interbank borrowing network. We show that at the Nash equilibrium, the...
Networked Default: Public Debt, Trade Embeddedness, and Partisan Survival in Democracies since 1870
Sovereign default is often associated with the downfall of incumbent governments in democratic polities. Existing scholarship directs attention to the...
Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world
We provide a historical perspective focusing on Ziemba's experiences and research on the bond-stock earnings yield differential model (BSEYD) starting...
Land and Stock Bubbles, Crashes and Exit Strategies in Japan Circa 1990 and in 2013
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...
The Determinants of Systemic Importance
This paper empirically analyses the determinants of banks’ systemic importance. With applying a novel measure on the systemic importance to US bank...
The Concept of Systemic Risk
The aim of the study is to analyze the concept of systemic risk. The study reviews a multitude of systemic risk definitions in the literature. In...
Does the Bond-Stock Earning Yield Differential Model Predict Equity Market Corrections Better Than High P/E Models?
In this paper, we extend the literature on crash prediction models in three main respects. First, we relate explicitly crash prediction measures and...
Macroprudential oversight, risk communication and visualization
This paper discusses the role of risk communication in macroprudential oversight and of visualization in risk communication. Beyond the soar in data...