We examine how the tail risk of currency returns over the past 20 years were impacted by central bank (monetary and liquidity) measures across the...
As the financial authorities increase their use of artificial intelligence (AI), micro regulations, such as consumer protection and routine banking...
I propose a novel method to identify the exogenous monetary shock from the signaling effect of a Fed announcements in real time. The method relies on...
In this paper, we explore the consequences of low nominal interest rates for credit supply, macroeconomic outcomes and policy. Using the protracted...
We develop a dynamic model of DeFi lending that incorporates the following key features: 1) borrowing and lending are decentralized, anonymous...
This paper shows that, in a world dominated by vehicle currencies, firms engaging in international operations retain currency risk and hedge it real...
We propose the CoJPoD, a novel framework explicitly linking the cross-sectional and cyclical dimensions of systemic risk. In this framework, banking...
We study bank capital requirements as a tool to address climate-related financial risks and evaluate whether a prudential mandate for bank regulators...
Using hand-collected data spanning more than a decade on European banks’ sovereign debt portfolios, we show that the trust of residents of a bank’s...
We find some evidence of regulatory convergence in four distinct areas of business activity over the 2005-2019 period. This convergence is most...
We study the evolution of pay in US bank holding companies since 1986 using a structural model of the banking firm. The model incorporates a strong...
We develop a model in which long-term swap spreads are determined by end users’ demand for swaps, constrained dealers’ supply of swaps, and the risk...
We demonstrate that the co-existence of different motives for liquidity preferences profoundly affects the efficiency of financial intermediation...
Stochastic processes is one of the key operations research tools for analysis of complex phenomenon. This paper has a unique application to the study...
This paper investigates the role of sentiment in the US macro economy from 1920 to 1934. We use 2.4 million digitized articles from the Wall St...
