Research highlights
Influential research by members of the Financial Markets Group has been published in some of the most recognised international journals in Economics and Finance, such as the American Economic Review, Econometrica, the Journal of Finance, the Journal of Financial Economics, the Journal of Political Economy, the Quarterly Journal of Economics, the Review of Economic Studies, and the Review of Financial Studies. A sample of recent papers is below.
Research highlight
Informational Black Holes in Financial Markets
Journal of Finance, 78 (6), 3099-3140
Research highlight
Corporate Capture of Blockchain Governance
Review of Financial Studies, 36 (4), 1364–1407
Research highlight
Asset Management Contracts and Equilibrium Prices
Journal of Political Economy, 130(12), 3146-3201
Research highlight
Measuring the welfare cost of asymmetric information in consumer credit markets
Journal of Financial Economics, 146 (3), 821-840
Research highlight
Heterogeneous Global Booms and Busts
American Economic Review, 112 (7), 2178-2212
Research highlight
Central Bank Swap Lines: Evidence on the Lender of Last Resort
The Review of Economic Studies, 89(4), 1654–1693
Research highlight
Market efficiency in the age of big data
Journal of Financial Economics, 145(1), 154-177
Research highlight
Public Procurement in Law and Practice
American Economic Review, 112 (4), 1091-1117
Research highlight
Exchange Rate Exposure and Firm Dynamics
The Review of Economic Studies, 89 (1), 481-514
All publications
Towards a measure of financial fragility
This paper proposes a measure of financial fragility that is based on eco- nomic welfare in a general equilbrium model calibrated against UK data. The...
Comparing downside risk measures for heavy tailed distribution
Using regular variation to define heavy tailed distributions, we show that prominent downside risk measures produce similar and con- sistent ranking...
Rare events and annuity market participation
We investigate whether a rare event (like the default of the annuity provider) can explain the annuity market participation puzzle. High risk aversion...
The Dynamics of venture capital contracts
We analyze the degree of contract completeness with respect to staging of venture capital investments using a hand-collected German data set of...
Subadditivity re–examined: the case for value-at-risk
This paper explores the potential for violations of VaR subadditivity both theoretically and by simulations, and finds that for most practical...
On modelling endogenous default
Not only in the classic Arrow-Debreu model, but also in many mainstream macro models, an implicit assumption is that all agents honour their...
The Future of Central Banking
A central bank will usually be primarily concerned about three aspects of stability. These are the maintenance of: (1) domestic price stability, (2) external stability of the value of the currency, and (3) overall systemic stability in the financial system.
Politics and the Creation of a European SEC: The Optimal UK Strategy – Constructive Inconsistency
This paper analyses the factors influencing whether a European Securities and Exchange Commission (ESEC) will be created and confirms the primary role...
An Essay on the interactions between the Bank of England's forecasts, the MPC's policy adjustments, and the eventual outcome
There are long, (and often variable), lags between a change in interest rates and its effect on real output and inflation. Hence policy should be...
Minority blocks and takeover premia
This paper analyses takeovers of companies owned by atomistic shareholders and by one minority blockholder, all of whom can only decide to tender or...
Reforming public pensions in the US and the UK
This essay describes the current debate on reforming Social Security in the US, along with a brief description of how the program works. Along the way...
Optimal intergenerational risk sharing
This paper studies optimal intergenerational transfer policy under stochastic labor income and capital returns. It has implications for Social...
Long-term debt and hidden borrowing
We consider borrowers with the opportunity to raise funds from a competitive banking sector that shares information, and from an alternative hidden...
Simulated nonparametric estimation of dynamic models with applications to finance
This paper introduces a new class of parameter estimators for dynamic models, called Simulated Nonparametric Estimators (SNE). The SNE minimizes...
Dynamic portfolio and mortgage choice for homeowners
We investigate the impact of owner-occupied housing on financial portfolio and mortgage choice under stochastic inflation and real interest rates. To...
