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...
Discussion Papers
The Quanto Theory of Exchange Rates
We present a new, theoretically motivated, forecasting variable for exchange rates that is based on the prices of quanto index contracts, and show via...
Consistent Measures of Systemic Risk
This paper presents a methodology to infer multivariate densities that characterize the asset values for a system of financial institutions, and...
Competitive Screening of Customers with Non-Common Priors
This paper provides an explanation for the variety of contracts offered by competitive firms for seemingly identical products or services. I show that...
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...
Skills Diversity in Unity
At any point in time, skills gaps, mismatches, and shortages arise because of an imperfect correspondence between the singular sets of skills required...
The STEM Requirements of "Non-STEM" Jobs: Evidence from UK Online Vacancy Postings and Implications for Skills & Knowledge Shortages
Do employers in "non-STEM" occupations (e.g. Graphic Designers, Economists) seek to hire STEM (Science, Technology, Engineering, and Mathematics)...
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...
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...
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...
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...
Disaster and Fortune Risk in Asset Returns
Do Disaster risk and Fortune risk fetch a premium or discount in the pricing of individual assets? Disaster risk and Fortune risk are measures for the...
Incentive Compatible Networks and the Delegated Networking Principle
We construct a model of a principal-agent game of network formation (over layered networks) with asymmetric information and we consider the following...
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...
