Cryptocurrencies: Policy, economics and fairness
Cryptocurrencies promise to replace fiat money with private money whose integrity is underpinned by algorithms, not government guarantees. While the...
Asset Encumbrance, Bank Funding and Fragility
We model asset encumbrance by banks subject to rollover risk and study the consequences for fragility, funding costs, and prudential regulation. A...
Domestic banks as lightning rods? Home bias and information during Eurozone crisis
European banks have been criticized for holding excessive domestic government debt during economic downturns, which may have intensified the diabolic...
Information acquisition, price informativeness, and welfare
Journal of Economic Theory, Volume 177, Pages 558-593.
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...
A Comprehensive Multi-Sector Tool for Analysis of Systemic Risk and Interconnectedness (SyRIN)
This paper presents the Systemic Risk and Interconnectedness (SyRIN) tool. SyRIN allows a comprehensive assessment of systemic risk via quantification...
Learning from History: Volatility and Financial Crises
The Review of Financial Studies, Volume 31, Issue 7, Pages 2774–2805.
Cryptocurrencies are lousy investments
Are cryptocurrencies the future of money, Ponzi schemes, speculators’ dreams, or just a prosperity gospel? While there is money to be made in the...
Market Resilience
We propose a method to capture the notion of resilience, the dynamic aspect of liquidity in the limit order book, through the Threshold Exceedance...
Information Acquisition, Price Informativeness and Welfare
We consider the market for a risky asset with heterogeneous valuations. Private information that agents have about their own valuation is reflected in...
Learning from History: Volatility and Financial Crises
We study the effects of stock market volatility on risk-taking and financial crises by constructing a cross-country database spanning up to 211 years...
Macroprudential stress tests
Current stress testing of banks is focused on the resiliency of individual banks to exogenous shocks. This column describes how the next generation of...
Cryptocurrencies don't make sense
Cryptocurrencies are supposedly a new and superior form of money and investments – the way of the future. The author of this column, however, does not...
Macroprudential Stress Tests and Policies: Stretching for Robust and Implementable Frameworks
Non-supervisory bank stress testing is becoming firmly embedded in the post-crisis macroprudential frameworks of major financial sectors around the...
Towards an understanding of credit cycles: do all credit booms cause crises?
Macroprudential policy is now based around a countercyclical buffer, relating capital requirements for banks to the degree of excess credit in the...
