Econometric Modeling of Systemic Risk: Going Beyond Pairwise Comparison and Allowing for Nonlinearity
Financial instability and its destructive effects on the economy can lead to financial crises due to its contagion or spillover effects to other parts...
External Financial Dependence and Firms’ Crisis Performance across Europe
Economic research has often relied on a measure of external financial dependence that is constructed using U.S. data and applied to other countries...
Does it Pay to Buy the Pot in the Canadian 6/49 Lotto: Implications for Lottery Design
The Canadian 6/49 Lotto©, despite its unusual payout structure, is one of the few government sponsored lotteries that has the potential for a...
The City of London after Brexit
In March 2017 the UK government will apply for Article 50 of the Lisbon Treaty to end its membership in the European Union. This unprecedented step...
Monetary Easing and Financial Instability
We study optimal monetary policy in the presence of financial stability concerns. We build a model in which monetary easing can lower the cost of...
Collateral Constraints and Asset Prices
We study the effects of collateral constraints in an economy populated by investors with nonpledgeable labor incomes and heterogeneous preferences and...
What is the Expected Return on a Stock?
We derive a formula that expresses the expected return on a stock in terms of the risk-neutral variance of the market and the stock’s excess risk...
The Anatomy of the CDS Market
Using novel position and trading data for single-name corporate credit default swaps (CDSs), we provide evidence that CDS markets emerge as...
Systemic Risk and the Dynamics of Temporary Financial Networks
This paper has two main objectives: first, to provide a formal definition of endogenous systemic risk that is firmly grounded in equilibrium dynamics...
Stationary Markov Equilibria for Approximable Discounted Stochastic Games
We identify a new class of uncountable-compact discounted stochastic games for which existence of stationary Markov equilibria can be established and...
On K-Class Discounted Stochastic Games
For a discounted stochastic game with an uncountable state space and compact metric action spaces, we show that if the measurable-selection-valued...
The Anatomy of the CDS Market
Using novel position and trading data for single-name corporate credit default swaps (CDSs), we provide evidence that CDS markets emerge as...
The Divergent Postcommunist Paths to Democracy and Economic Freedom
This paper presents evidence from 29 postcommunist countries that the economic transition has been more successful than the political transformation...
Macro-Modelling, Default and Money
Mainstream macro-models have assumed away financial frictions, in particular default. The minimum addition in order to introduce financial...
Women in Finance
Across countries, banks have less gender diverse boards than other firms. Bank board diversity is particularly low in countries with greater gender...
Learning in Crowded Markets
We study how competition among investors affects the efficiency of capital allocation, the speed of capital, and welfare. In our model, investors...
