Publications

We document that a trading strategy that is short the U.S. dollar and long other currencies exhibits significantly larger excess returns on days with...

The Kelly Capital Growth Investment Strategy maximizes the expected utility of final wealth with a Bernoulli logarithmic utility function. In 1956...

Many debt claims, such as bonds, are resaleable, whereas others, such as repos, are not. There was a fivefold increase in repo borrowing before the...

While the debate on cost and market-value accounting has been raging for years, economists lack a framework allowing a comparison of their relative...

This paper proposes a theory of intermediation in which intermediaries emerge endogenously as the choice of agents. In contrast to the previous...

There has always been conflict between macro- and microeconomic regulation. Microeconomic policy reigns supreme during good times, and macro during...

Economics and game theory are replete with examples of parameterized games. We show that all minimal Nash payoff USCOs belonging to the Nash...

We analyse bank runs under fundamental and asset liquidity risk, adopting a realistic description of bank default. We obtain an unique run equilibrium...

How would a unilateral Greek default affect politics and policy elsewhere in Europe? A Greek default is more likely to strengthen voter support across...

Iceland has just announced it is getting rid of its capital controls. This column argues that the government’s plan is a credible, efficient and fair...

Many fear that a Greek default would lead voters elsewhere in Europe to favour default over austerity. This column argues that it is more likely to...

This paper analyzes the robustness of standard risk analysis techniques, with a special emphasis on the specifications in Basel III. We focus on the...

We study the importance of anticipated shocks (news) for understanding the comovement between macroeconomic quantities and asset prices. We find that...

Using a novel way to identify relationship and transaction banks, we study how banks’ lending techniques affect credit constraints of small and medium...

We consider a general equilibrium Lucas (1978) economy with one consumption good and two heterogeneous Epstein-Zin investors. The output is subject to...

We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital, liquidity, and asset prices...