On Dividend Restrictions and the Collapse of the Interbank Market
Until recently, financial services regulation remained largely segmented along national lines. The integration of financial markets, however, calls...
Modelling a Housing and Mortgage Crisis
The purpose of this paper is to explore financial instability in this case due to a housing crisis and defaults on mortgages. The model incorporates...
Banking stability measures
The recent crisis underlined that proper estimation of distress-dependence amongst banks in a global system is essential for financial stability...
Interest Rate Forecasts: A Pathology
This is the first of three prospective papers examining how well forecasters can predict the future time path of short-term interest rates. Most prior...
Do errors in forecasting inflation lead to errors in forecasting interest rates?
In the first of three related, and consecutive, papers we showed that forecasts for short-term policy interest rates in NZ and UK deteriorated over...
Whatever became of the Monetary Aggregates?
Peston Lecture in honour of Maurice, Lord Peston, delivered at Queen Mary College, London, on 28th February 2007.
Endogenous state prices, liquidity, default, and the yield curve
We show, in an exchange economy with default, liquidity constraints and no aggregate uncertainty, that state prices in a complete markets general...
