Publications

Cryptocurrencies are supposedly a new and superior form of money and investments – the way of the future. The author of this column, however, does not...

Exploitative momentum investing would shrivel in the absence of benchmarkers.

We present a new, theoretically motivated, forecasting variable for exchange rates that is based on the prices of quanto index contracts, and show via...

The Review of Economic Studies, 84 (4): 1789-1817. 

Predicting stock market crashes is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly...

We develop a model in which financially constrained arbitrageurs exploit price discrepancies across segmented markets. We show that the dynamics of...

Global or international liquidity has moved to centre stage in recent international policy, research and market discussions. Contrary to the approach...

We present a model of a financial market where some traders are “cursed” when investing in a risky asset, failing to fully appreciate what prices...

We present a new, theoretically motivated, forecasting variable for exchange rates that is based on the prices of quanto index contracts, and show via...

Despite the partial realignment of European long-term government bonds after the crisis in 2012, there has been some renewed divergence in yields in...

We analyze the implications of increases in the selection of, and information about, derivative financial products in a model in which investors...

This Paper continues the study of the Optimal Consumption Function in a Brownian Model of Accumulation, see Part A [2001] and Part B  [2014]; a...

The Review of Financial Studies, Volume 30, Issue 2, Pages 442–504.

The Quarterly Journal of Economics, 132 (1), 367-433. 

We study optimal monetary policy in the presence of financial stability concerns. We build a model in which monetary easing can lower the cost of...

Review of Financial Studies, 30 (1): 80-119.