Discussion Papers

In this paper we survey the theoretical and empirical literature on market liquidity. We organize both literatures around three basic questions: (a)...

We analyze how asymmetric information and imperfect competition affect liquidity and asset prices. Our model has three periods: agents are identical...

We study dynamic general equilibrium in one-tree and two-trees Lucas economies with one consumption good and two CRRA investors with heterogeneous...

We propose a new theory of suboptimal risk-taking based on contractual externalities. We examine an industry with a continuum of firms. Each firm’s...

In choosing transparency, firms must trade off the benefits from better access to finance against the cost of a greater tax burden. We study this...

We develop a model of securitized (Originate, then Distribute) lending, in which both publicly observed aggregate shocks to values of securitized loan...

We propose a new estimator of multivariate ex-post volatility that is robust to microstructure noise and asynchronous data timing. The method is based...

This paper explores how different types of financial regulation could combat many of the phenomena that were observed in the financial crisis of 2007...

This paper explores the trading incentives of financial institutions induced by the interaction between regulatory accounting rules and capital...

The paper presents a theory of optimal transparency in the financial system when financial institutions have short-term liabilities and are exposed to...

We develop a stylized model of efficient contracting in which firms compete for CEOs. The optimal contracts are designed to retain and insure CEOs...

We use a comparative approach to study the incentives provided by different types of compensation contracts, and their valuation by risk averse...

Using data from 1983 to 2010, we propose a new fear measure for Treasury markets, akin to the VIX for equities, labeled TIV. We show that TIV explains...

In many bilateral transactions, the seller fears being underpaid because its outside option is better known to the buyer. We rationalize a variety of...

Private equity sponsors pay special attention to designing capital structure, making buyouts an interesting setting for examining capital structure...

We use the recent introduction of biofuels to study the effect of industry factors on the relationships between wholesale commodity prices...