Discussion Papers

Students around the world are going to school but are not learning – an emerging gap in human capital formation. To understand this gap, we introduce...

We study the efficiency, price formation and segmentation of cryptocurrency markets. We document large, recurrent arbitrage opportunities in...

Why do countries differ in terms of their exposure to fluctuations in the global supply of credit? We argue that frictions in global intermediation...

Cryptocurrencies promise to replace fiat money with private money whose integrity is underpinned by algorithms, not government guarantees. While the...

What determines the cross-section of betas with respect to a risk factor? The act of arbitrage plays an important role. If the capital of arbitrageurs...

Empirical evidence suggests that investor protection has significant effects on ownership concentration and asset prices. We develop a dynamic asset...

We model asset encumbrance by banks subject to rollover risk and study the consequences for fragility, funding costs, and prudential regulation. A...

European banks have been criticized for holding excessive domestic government debt during economic downturns, which may have intensified the diabolic...

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

We examine bankruptcy within business groups. Groups have incentives to support financially distressed subsidiaries as the bankruptcy of a subsidiary...

This paper presents the Systemic Risk and Interconnectedness (SyRIN) tool. SyRIN allows a comprehensive assessment of systemic risk via quantification...

We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects (SE losses) into macroprudential...

We propose a method to capture the notion of resilience, the dynamic aspect of liquidity in the limit order book, through the Threshold Exceedance...

We consider the market for a risky asset with heterogeneous valuations. Private information that agents have about their own valuation is reflected in...

We study the resolution of global banks by national regulators. Single-point-of-entry (SPOE) resolution, where loss-absorbing capital is shared across...

We propose a model of trade in over-the-counter (OTC) markets in which each dealer with private information can engage in bilateral transactions with...