Shadow Banks and Systemic Risks
We answer the following question: Does regulating the banking network increase systemic risk in the entire financial network in the presence of...
Exchange Rates and Monetary Policy Uncertainty
We document that a trading strategy that is short the U.S. dollar and long other currencies exhibits significantly larger excess returns on days with...
The Internationalization of the Renminbi
This special paper discusses the inclusion of the Chinese Renminbi in the international reserve asset Special Drawing Right (SDR) created by the...
Resaleable debt and systemic risk
Many debt claims, such as bonds, are resaleable, whereas others, such as repos, are not. There was a fivefold increase in repo borrowing before the...
A response to Professor Paul A. Samuelson's objectionxs to Kelly capital growth investing
The Kelly Capital Growth Investment Strategy maximizes the expected utility of final wealth with a Bernoulli logarithmic utility function. In 1956...
Bank Risk Premia and Abenomics: The Return of the Japan Premium in the Cross-Currency Swap Market
This paper studies the change of the Japanese banking sector during the last two decades through the lens of money market risk premia. It makes two...
Marking to Market versus Taking to Market
While the debate on cost and market-value accounting has been raging for years, economists lack a framework allowing a comparison of their relative...
Synthetic or Real? The Equilibrium Effects of Credit Default Swaps on Bond Markets
Review of Financial Studies, 28 (12): 3303-3337.
Information Asymmetries, Volatility, Liquidity and the Tobin Tax
Information asymmetries and trading costs, in a financial market model with dynamic information, generate a self-exciting equilibrium price process...
Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error
The contour maps of the error of historical resp. parametric estimates for large random portfolios optimized under the risk measure Expected Shortfall...
Endogenous Market Making and Network Formation
This paper proposes a theory of intermediation in which intermediaries emerge endogenously as the choice of agents. In contrast to the previous...
Endogenous Contractual Externalities
We study effort and risk-taking behaviour in an economy with a continuum of principal-agent pairs where each agent exerts costly hidden effort. When...
Interaction between monetary policy and bank regulation: Theory and European practice
The European Union has pursued a number of initiatives to create a safer and sounder financial sector for the single market. In parallel, bold...
