Discussion Papers

Our concerns on the potential impact of the proposed new Basel Capital Accord (Basel II) were first expressed following the release of the second...

This paper is a theoretical study of the transmission mechanism of monetary policy in the presence of an endogenous role of bank capital. The basic...

This paper studies how the introduction of social learning with costs to delay affects coordination games with incomplete information. We present a...

Financial contagion is modeled as an equilibrium phenomenon in a dynamic setting with incomplete information and multiple banks. The equilibrium...

This paper investigates the benefits of allowing households to compensate the portfolio distortion due to their housing consumption through...

Housing and pension wealth are shown to be important determinants of personal sector consumption and retirement behaviour in the UK. Housing and state...

The concept of risk-based capital requirements enjoys widespread support. Effective implementation, however, requires that risk be measured accurately...

We study a very general setting, and propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of First and...

We study the effects of sterilised intervention operations executed on behalf of the Swiss National Bank (SNB) using tick-by-tick transactions data...

It is typically less profitable for an opportunistic borrower to divert inputs than to divert cash. Suppliers, therefore, may lend more liberally than...

This paper proposes new performance decomposition measures that allow us to analyse the sources of returns on the international equity holdings of a...

Ambivalence in the regulatory definition of capital adequacy for credit risk has recently stirred the financial services industry to collateral loan...

Most of those who take macro and monetary policy decisions are agents. The worst penalty which can be applied to these agents is to sack them if they...

Despite being largely unconstrained in their investment decisions, we find evidence of clustering in the performance of a large cross-section of UK...

Speculative Attacks can be modeled as a coordination game with multiple equilibria if the state of the economy is common knowledge. With private...

Several authors have proposed series expansion methods to price options when the risk-neutral density is asymmetric and leptokurtic. Among these...