We show how fat tails in agricultural commodity returns arise endogenously from productivity shocks in a standard macroeconomic model. Using nearly ninety years of data, [...]

This paper proposes a novel methodology to calibrate the magnitude of the countercyclical capital buffer (CCyB) using market‐based stress tests. The macroprudential autho[...]

Data and programs for peer-reviewed article published in Journal of Money, Credit and Banking. Paper published online April 25, 2022. When citing this dataset, please als[...]

Digital payments leave digital traces. The information contained in these traces and the access to this information are key design issues for any digital payment system. [...]

This paper examines whether initial coin offerings (ICOs) are a beneficial form of financing with desirable economic properties. We do so by examining how financing a sta[...]

This paper considers the problem of estimating a linear model between two heavy-tailed variables if the explanatory variable has an extremely low (or high) value. We prop[...]

Privacy is a feature inherent to the use of cash. With steadily increasing market shares of digital payment platforms, privacy in payments may no longer be attainable in [...]

Replication files for peer-reviewed article published in Journal of Money, Credit & Banking. Paper published online April 21, 2019. When citing this dataset, please a[...]

We test for the presence of a systematic tail risk premium in the cross section of expected returns by applying a measure of the sensitivity of assets to extreme market d[...]

In this paper, we decompose banks' systemic risk into two dimensions: the risk of a bank (“bank tail risk”) and the link of the bank to the system in financial distress ([...]