Discussion Papers

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...

We identify a new class of uncountable-compact discounted stochastic games for which existence of stationary Markov equilibria can be established and...

For a discounted stochastic game with an uncountable state space and compact metric action spaces, we show that if the measurable-selection-valued...

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...

We construct a model of a principal-agent game of network formation (over layered networks) with asymmetric information and we consider the following...

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...

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...

The Kelly Capital Growth Investment Strategy maximizes the expected utility of final wealth with a Bernoulli logarithmic utility function. In 1956...

While the debate on cost and market-value accounting has been raging for years, economists lack a framework allowing a comparison of their relative...

This paper proposes a theory of intermediation in which intermediaries emerge endogenously as the choice of agents. In contrast to the previous...

Economics and game theory are replete with examples of parameterized games. We show that all minimal Nash payoff USCOs belonging to the Nash...

We analyse bank runs under fundamental and asset liquidity risk, adopting a realistic description of bank default. We obtain an unique run equilibrium...

This paper analyzes the robustness of standard risk analysis techniques, with a special emphasis on the specifications in Basel III. We focus on the...

We study the importance of anticipated shocks (news) for understanding the comovement between macroeconomic quantities and asset prices. We find that...

Using a novel way to identify relationship and transaction banks, we study how banks’ lending techniques affect credit constraints of small and medium...

We consider a general equilibrium Lucas (1978) economy with one consumption good and two heterogeneous Epstein-Zin investors. The output is subject to...