Discussion Papers

We model asset encumbrance by banks subject to rollover risk and study the consequences for fragility, funding costs, and prudential regulation. A...

Predicting stock market crashes is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly...

This paper presents the Systemic Risk and Interconnectedness (SyRIN) tool. SyRIN allows a comprehensive assessment of systemic risk via quantification...

We consider the market for a risky asset with heterogeneous valuations. Private information that agents have about their own valuation is reflected in...

We propose a method to capture the notion of resilience, the dynamic aspect of liquidity in the limit order book, through the Threshold Exceedance...

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 policy is now based around a countercyclical buffer, relating capital requirements for banks to the degree of excess credit in the...

We present a new, theoretically motivated, forecasting variable for exchange rates that is based on the prices of quanto index contracts, and show via...

This paper presents a methodology to infer multivariate densities that characterize the asset values for a system of financial institutions, and...

This paper provides an explanation for the variety of contracts offered by competitive firms for seemingly identical products or services. I show that...

Predicting stock market crashes is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly...

At any point in time, skills gaps, mismatches, and shortages arise because of an imperfect correspondence between the singular sets of skills required...

Do employers in "non-STEM" occupations (e.g. Graphic Designers, Economists) seek to hire STEM (Science, Technology, Engineering, and Mathematics)...

Financial instability and its destructive effects on the economy can lead to financial crises due to its contagion or spillover effects to other parts...

Economic research has often relied on a measure of external financial dependence that is constructed using U.S. data and applied to other countries...

The Canadian 6/49 Lotto©, despite its unusual payout structure, is one of the few government sponsored lotteries that has the potential for a...