Publications

The Greek government appointed in January 2020 a Commission chaired by Nobel Prize winner Christopher Pissarides to propose a growth plan. The...

We examine how the tail risk of currency returns over the past 20 years were impacted by central bank (monetary and liquidity) measures across the...

This paper examines how market power affects coverage in a general class of insurance models. We show that market power decreases coverage for...

The existing literature has documented “reaching for yield” - the phenomenon of investing more in risky assets when interest rates drop - among...

I propose a novel method to identify the exogenous monetary shock from the signaling effect of a Fed announcements in real time. The method relies on...

Journal of Financial Economics, 150(1), 46-67

Pedro Duarte Neves says stress tests must evolve to capture systemic, liquidity and cyber risks.

Management Science, 0(0).

This policy note summarises the main empirical findings on the effectiveness of macroprudential policy: macroprudential policy contributes to a...

There is little direct empirical evidence on the investment behavior of wealthy households. Based on a proprietary database of investment portfolios...

We develop a dynamic model of DeFi lending that incorporates the following key features: 1) borrowing and lending are decentralized, anonymous...

This paper shows that, in a world dominated by vehicle currencies, firms engaging in international operations retain currency risk and hedge it real...

The paper develops a model of bubbles that can be taken to the data and explain the behavior of asset prices and their statistics. We depart from the...

The British Accounting Review, 55 (4),101171

Investors have limited and time-varying attention. These constraints are heterogeneous across investors, which can create asymmetric information and...