Monetary Easing and Financial Instability
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...
On K-Class Discounted Stochastic Games
For a discounted stochastic game with an uncountable state space and compact metric action spaces, we show that if the measurable-selection-valued...
Stationary Markov Equilibria for Approximable Discounted Stochastic Games
We identify a new class of uncountable-compact discounted stochastic games for which existence of stationary Markov equilibria can be established and...
On the financial market consequences of Brexit
Brexit creates new opportunities and new risks for the British and EU financial markets. Both could benefit, but a more likely outcome is a fall in...
Cyber risk as systemic risk
The threat to the financial system posed by cyber risk is often claimed to be systemic. This column argues against this, pointing out that almost all...
Insurance and systemic risk: No easy conclusions
The IMF’s latest Global Financial Stability Report devotes for the first time a chapter to the systemic risks potentially associated with the...
Stress testing and macroprudential regulation: A transatlantic assessment
Since the onset of the Global Crisis in 2007-08, stress testing has emerged as a major component of the supervisory toolkit. This column introduces a...
Disaster and Fortune Risk in Asset Returns
Do Disaster risk and Fortune risk fetch a premium or discount in the pricing of individual assets? Disaster risk and Fortune risk are measures for the...
Incentive Compatible Networks and the Delegated Networking Principle
We construct a model of a principal-agent game of network formation (over layered networks) with asymmetric information and we consider the following...
The Internationalization of the Renminbi
This special paper discusses the inclusion of the Chinese Renminbi in the international reserve asset Special Drawing Right (SDR) created by the...
Exchange Rates and Monetary Policy Uncertainty
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...
Resaleable debt and systemic risk
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...
A response to Professor Paul A. Samuelson's objectionxs to Kelly capital growth investing
The Kelly Capital Growth Investment Strategy maximizes the expected utility of final wealth with a Bernoulli logarithmic utility function. In 1956...
Marking to Market versus Taking to Market
While the debate on cost and market-value accounting has been raging for years, economists lack a framework allowing a comparison of their relative...
Endogenous Market Making and Network Formation
This paper proposes a theory of intermediation in which intermediaries emerge endogenously as the choice of agents. In contrast to the previous...
