Discussion Papers

We model banks’ liquidity holding decision as a simultaneous game on an interbank borrowing network. We show that at the Nash equilibrium, the...

Sovereign default is often associated with the downfall of incumbent governments in democratic polities. Existing scholarship directs attention to the...

We provide a historical perspective focusing on Ziemba's experiences and research on the bond-stock earnings yield differential model (BSEYD) starting...

We study the land and stock markets in Japan circa 1990 and in 2013. While the Nikkei stock average in the late 1980s and its -48% crash in 1990 is...

This paper empirically analyses the determinants of banks’ systemic importance. With applying a novel measure on the systemic importance to US bank...

In this paper, we extend the literature on crash prediction models in three main respects. First, we relate explicitly crash prediction measures and...

This paper approaches the PPP puzzle by using the Bitcoin/US Dollar exchange rate. The use of the virtual currency as macroeconomic laboratory allows...

The optimal capital growth strategy or Kelly strategy, has many desirable properties such as maximizing the asympotic long run growth of capital...

This paper shows that the current market infrastructure systemically prevents investors, both shareholders and bondholders, from exercising their...

We present a model of the maturity of a bank’s uninsured debt. The bank borrows funds and chooses afterwards the riskiness of its assets. This moral...

In this paper we study how the use of collateral is evolving under the influence of regulatory reform and changing market structure. We start with a...

In this paper we study how the use of collateral is evolving under the influence of regulatory reform and changing market structure. We start with a...

This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models...

We provide a theoretical framework to study blockholder activism by funds who compete for investor flow. In our model, activists are intrinsically...

We investigate how business ties with portfolio firms influence mutual funds’ proxy voting using a comprehensive dataset spanning 2003 to 2011. In...

This paper contributes to a growing literature on the pitfalls of diversification by shedding light on a new mechanism under which, full risk...