The Anatomy of the CDS Market
Using novel position and trading data for single-name corporate credit default swaps (CDSs), we provide evidence that CDS markets emerge as...
Systemic Risk and the Dynamics of Temporary Financial Networks
This paper has two main objectives: first, to provide a formal definition of endogenous systemic risk that is firmly grounded in equilibrium dynamics...
Stationary Markov Equilibria for Approximable Discounted Stochastic Games
We identify a new class of uncountable-compact discounted stochastic games for which existence of stationary Markov equilibria can be established and...
On K-Class Discounted Stochastic Games
For a discounted stochastic game with an uncountable state space and compact metric action spaces, we show that if the measurable-selection-valued...
The Anatomy of the CDS Market
Using novel position and trading data for single-name corporate credit default swaps (CDSs), we provide evidence that CDS markets emerge as...
The Divergent Postcommunist Paths to Democracy and Economic Freedom
This paper presents evidence from 29 postcommunist countries that the economic transition has been more successful than the political transformation...
Why it doesn't make sense to hold bonds
Investor demand for bonds is very high. This column argues that this is surprising because under almost any likely inflation scenario, including...
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...
Cyber risk as systemic risk
The threat to the financial system posed by cyber risk is often claimed to be systemic. This column argues against this, pointing out that almost all...
Insurance and systemic risk: No easy conclusions
The IMF’s latest Global Financial Stability Report devotes for the first time a chapter to the systemic risks potentially associated with the...
Women in Finance
Across countries, banks have less gender diverse boards than other firms. Bank board diversity is particularly low in countries with greater gender...
Macro-Modelling, Default and Money
Mainstream macro-models have assumed away financial frictions, in particular default. The minimum addition in order to introduce financial...
Learning in Crowded Markets
We study how competition among investors affects the efficiency of capital allocation, the speed of capital, and welfare. In our model, investors...
Stress testing and macroprudential regulation: A transatlantic assessment
Since the onset of the Global Crisis in 2007-08, stress testing has emerged as a major component of the supervisory toolkit. This column introduces a...
