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...
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...
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...
Capital Structure, Investment, and Fire Sales
We study a dynamic general equilibrium model in which firms choose their investment level and their capital structure, trading off the tax advantages...
The Optimal Consumption Function in a Brownian Model of Accumulation Part B: Existence of Solutions of Boundary Value Problems
In Part A of the present study, subtitled 'The Consumption Function as Solution of a Boundary Value Problem' Discussion Paper No. TE/96/297, STICERD...
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...
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...
The SSM sails past the starting line seekinghigh-quality supervision and level playing field
Remarks by Ignazio Angeloni, Member of the Supervisory Board of the European Central Bank on the occasion of the International conference on “Start of...
Destabilizing carry trades
We offer a model of currency carry trades in which carry traders earn positive excess returns if they successfully coordinate on supplying excessive...
How insurers differ from banks: Implications for systemic regulation
Having completed the regulatory framework for systemically important banks, the Financial Stability Board is turning to insurance companies. The...
Regulating the global insurance industry: Motivations and challenges
Regulation of the global insurance industry, an emerging challenge in international finance, has two central objectives: strengthening the oversight...
Network Risk and key Players: A Structural Analysis of Interbank Liquidity
We model banks’ liquidity holding decision as a simultaneous game on an interbank borrowing network. We show that at the Nash equilibrium, the...
