Discussion Papers

We present a dynamic model featuring risk-averse investors with heterogeneous beliefs. Individual investors have stable beliefs and risk aversion, but...

Financial networks are an important source of systemic risk, but often only partial network information is available. In this paper, we use data on...

We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on informational efficiency, liquidity and volatility. In our...

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...

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

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

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...

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

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

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