Influential research by members of the Financial Markets Group has been published in some of the most recognised international journals in the field.
Click to see a collection of notable FMG working papers which have been published in American Economic Review, Econometrica, Journal of Finance, Journal of Financial Economics, Journal of Political Economy, Quarterly Journal of Economics, Review of Economic Studies, and Review of Financial Studies.
Macroprudential stress tests
Current stress testing of banks is focused on the resiliency of individual banks to exogenous shocks. This column describes how the next generation of...
Macroprudential Stress Tests and Policies: Stretching for Robust and Implementable Frameworks
Non-supervisory bank stress testing is becoming firmly embedded in the post-crisis macroprudential frameworks of major financial sectors around the...
Did central banks cause the last financial crisis? Will they cause the next?
Recent history suggests that raising interest rates higher than warranted by macroeconomic prospects would not be the right policy for financial...
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...
Artificial intelligence and the stability of markets
Artificial intelligence is increasingly used to tackle all sorts of problems facing people and societies. This column considers the potential benefits...
Artificial intelligence, financial risk management and systemic risk
Artificial intelligence (AI) is rapidly changing how financial institutions are operated and regulated. The authors discuss the benefits and danger...
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...
Are banks still special?
Banks have long played a special role in the financial system. Individuals and institutions use banks to access the payment system, and central banks...
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...
Contractual Externalities and Systemic Risk
The Review of Economic Studies, Volume 84, Issue 4, Pages 1789–1817.
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...
Business Regulation and Poverty
Using panel data for 189 economies from 2004 to 2016, we show that business-friendly regulations are correlated with the poverty headcount at the...
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...
The Dynamics of Financially Constrained Arbitrage
We develop a model in which financially constrained arbitrageurs exploit price discrepancies across segmented markets. We show that the dynamics of...
