Stylised facts on the effectiveness of macroprudential policy
This policy note summarises the main empirical findings on the effectiveness of macroprudential policy: macroprudential policy contributes to a...
Should central banks abandon single point forecasts?
Single point forecasts for growth, inflation, interest rates, and so on are easy to comprehend and to check against outcomes, and are what otherwise...
Low Rates and Bank Loan Supply: Theory and Evidence from Japan
In this paper, we explore the consequences of low nominal interest rates for credit supply, macroeconomic outcomes and policy. Using the protracted...
On the Fragility of DeFi Lending
We develop a dynamic model of DeFi lending that incorporates the following key features: 1) borrowing and lending are decentralized, anonymous...
The spread of COVID-19 in London: Network effects and optimal lockdowns
Journal of Econometrics, 235 (2), 2125-2154
When artificial intelligence becomes a central banker
Artificial intelligence is expected to be widely used by central banks as it brings considerable cost saving and efficiency benefits. However, as this...
Granular Corporate Hedging Under Dominant Currency
This paper shows that, in a world dominated by vehicle currencies, firms engaging in international operations retain currency risk and hedge it real...
The market quality implications of speed in cross-platform trading: Evidence from Frankfurt-London microwave networks
Journal of Financial Markets, 66, 100853
Volatility and dark trading: Evidence from the Covid-19 pandemic
The British Accounting Review, 55 (4),101171
The legacy of cryptocurrencies
Crypto-promoters and financial authorities are split on the future of cryptocurrencies. Should crypto join the mainstream or remain in the wilderness...
Options-based systemic risk, financial distress, and macroeconomic downturns
Journal of Financial Markets, 65, 100834
Latent Fragility: Conditioning Banks' Joint Probability of Default on the Financial Cycle
We propose the CoJPoD, a novel framework explicitly linking the cross-sectional and cyclical dimensions of systemic risk. In this framework, banking...
The case against aggressive government action on crypto
The financial regulators have recently taken an active interest in cryptocurrencies, more than a decade after their law enforcement counterparts did...
What Silicon Valley Bank and Credit Suisse tell us about financial regulations
The downfall of Silicon Valley Bank and Credit Suisse has exposed failures in how we regulate the financial system. This column argues that the...
Green Capital Requirements
We study bank capital requirements as a tool to address financial risks and externalities caused by carbon emissions. Capital regulation can...
Lessons from the collapse of Silicon Valley Bank
The collapse of Silicon Valley Bank shows that banks still pose risks. Are they systemic? Jon Danielsson, Robert Macrae, and Nikola Tchouparov write...
