The Dynamics of Financially Constrained Arbitrage
We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital, liquidity, and asset prices...
Global Capital Markets, Housing Prices, and Partisan Fiscal Policies
In recent years, global imbalances have channeled the excess savings of surplus countries toward the real estate markets of deficit countries. By...
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...
Multilateral surveillance: Ensuring a focus on key risks to global stability
The 2007/9 crisis and the ongoing transformation of the global economy call for a rethink of the scope of the Fund’s multilateral surveillance. This...
Signalling to Dispersed Shareholders and Corporate Control
The Review of Economic Studies, 82 (3), 922–962.
What the Swiss FX shock says about risk models
The Swiss central bank last week abandoned its euro exchange rate ceiling. This column argues that the fallout from the decision demonstrates the...
Averting financial crisis
Jeffrey Chwieroth and Jon Danielsson discuss the political challenges of the macroprudential agenda in the ESRC's annual flagship magazine Britain in...
Great Expectations, Veto Players, and the Changing Politics of Banking Crises
How have the politics of banking crises changed over the long run? Unlike existing static accounts, we offer a dynamic theory emphasizing how the...
The Federal Reserve as Global Lender of Last Resort, 2007-2010
Passage of the Dodd-Frank financial reform bill, in conjunction with a Supreme Court ruling supporting a Freedom of Information Act request, required...
Brave New World? Macro Prudential Policy and the new Political Economy of The Federal Reserve
The Financial Crisis that started in 2007 ushered in new responsibilities for central banks, particularly for what is termed “macro-prudential policy...
Reforming the Global Architecture of Financial Regulation: The G20, the IMF and the FSB
The global financial crisis that began in 2007 and deepened in 2008 exposed major weaknesses in financial and macroeconomic policy coordination, and...
Credit Risk Spillovers, Systemic Importance and Vulnerability in Financial Networks
How does the change in the creditworthiness of a financial institution or sovereign impact its creditors’ solvency? I address this question in the...
The Booms and Busts of Beta Arbitrage
Historically, low-beta stocks deliver high average returns and low risk relative to high-beta stocks, offering a potentially profitable investment...
International Correlation Risk
We document that cross-sectional FX correlation disparity is countercyclical, as exchange rate pairs with high average correlation become more...
Playing Favorites: How Firms Prevent the Revelation of Bad News
We explore a subtle but important mechanism through which firms manipulate their information environments. We show that firms control information flow...
Offsetting Disagreement and Security Prices
Portfolios often trade at substantial discounts relative to the sum of their components (e.g., closed-end funds, conglomerates). We propose a simple...
