Arbitrage Networks
This paper studies the general equilibrium implications of arbitrage trades in segmented financial markets. Arbitrageurs choose a category of trades...
The calming of short-term market fear and its long-term consequences: The central banks’ dilemma
Layered Networks, Equilibrium Dynamics, and Stable Coalitions
Dynamic Games and Applications, 13, 636–668
Layered Networks, Equilibrium Dynamics, and Stable Coalitions
An important aspect of network dynamics that has been missing from our understanding of network dynamics in various applied settings is the influence...
Moral hazard, the fear of the markets, and how central banks responded to Covid-19
While the direct economic consequences of Covid-19 have been significant, the impact on the financial markets has been more nuanced. This column uses...
Market Fragmentation and Contagion
We study the transmission of liquidity shocks from one sector of the economy to other sectors in a general equilibrium model with multiple trading...
The coronavirus crisis is no 2008
Many comparisons have been made between the coronavirus crisis and the global systemic crisis in 2008. This column argues that seen through the lens...
Information acquisition, price informativeness, and welfare
Journal of Economic Theory, Volume 177, Pages 558-593.
Information Acquisition, Price Informativeness and Welfare
We consider the market for a risky asset with heterogeneous valuations. Private information that agents have about their own valuation is reflected in...
Market Resilience
We propose a method to capture the notion of resilience, the dynamic aspect of liquidity in the limit order book, through the Threshold Exceedance...
Why macropru can end up being procyclical
Discretionary macroprudential policies aim to be countercyclical by adjusting risk-taking across the financial cycle. This column argues that the...
On the financial market consequences of Brexit
Brexit creates new opportunities and new risks for the British and EU financial markets. Both could benefit, but a more likely outcome is a fall in...
A proposed research and policy agenda for systemic risk
The long-running Greek crisis and China’s recent stock market crash are the latest threats to the stability of the global financial system. But as...
Are asset managers systemically important?
Some financial authorities have proposed designating asset managers as systemically important financial institutions (SIFIs). This column argues that...
Europe’s proposed capital markets union: Disruption will drive investment and innovation
The proposed EU capital markets union aims to revitalise Europe’s economy by creating efficient funding channels between providers of loanable funds...
Walrasian foundations for equilibria in segmented markets
Mathematics and Financial Economics, Volume 8, pages 249–264.
