What Drives Repo Haircuts? Evidence from the UK Market
Using a unique transaction-level data, we document that only 60% of bilateral repos held by UK banks are backed by high quality collateral. Banks...
The Market Cost of Business Cycle Fluctuations
We propose a novel approach to measure the costs of aggregate economic fluctuations, that does not require specification of preferences or the data...
The spread of COVID-19 in London: Network effects and optimal lockdowns
Journal of Econometrics, 235 (2), 2125-2154
Research highlight
Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
Journal of Finance, 78 (1), 487-557
Network Risk and Key Players: A Structural Analysis of Interbank Liquidity
Journal of Financial Economics, 141(3), 831-859
How we learned to stop counting cases and worry about network effects instead
The commuter hub was key to the spread of COVID-19 in London. The authors of the article estimate it contributed to over 42% of all London cases. When...
The Spread of COVID-19 in London: Network Effects and Optimal Lockdowns
We generalise a stochastic version of the workhorse SIR (Susceptible-Infectious- Removed) epidemiological model to account for spatial dynamics...
Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
We propose a novel, and simple, Bayesian estimation and model selection procedure for crosssectional asset pricing. Our approach, that allows for both...
Consumption in Asset Returns
Consumption dynamics are hard to measure accurately in the data, yet they are the crucial ingredient of macro-finance asset pricing models. The...
What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models
The Review of Financial Studies, Volume 30, Issue 2, Pages 442–504.
An Information Based One-Factor Asset Pricing Model
Given a set of asset returns, an information-theoretic approach is used to estimate non-parametrically the pricing kernel to price the given cross...
Human capital and international portfolio diversification: A reappraisal
Journal of International Economics, Volume 99, Supplement 1, Pages S78-S96.
Information Asymmetries, Volatility, Liquidity and the Tobin Tax
Information asymmetries and trading costs, in a financial market model with dynamic information, generate a self-exciting equilibrium price process...
Human Capital and International Portfolio Diversification: A Reappraisal
We study the implications of human capital hedging for international portfolio choice. First, we document that, at the household level, the degree of...
Information Asymmetries, Volatility, Liquidity and the Tobin Tax
Information asymmetries and trading costs, in a financial market model with dynamic information, generate a self-exciting equilibrium price process...
Information Asymmetries, Volatility, Liquidity, and the Tobin Tax
We develop a tractable model in which trade is generated by asymmetry in agents' information sets. We show that, even if news are not generated by a...
