1.
This paper proposes a novel methodology to calibrate the magnitude of the countercyclical capital buffer (CCyB) using market‐based stress tests. The macroprudential autho[...]
2023 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
2.
Constrained efficiency is characterized in an asset market, subject to search frictions, where sellers are privately informed about the type of their asset. The type dete[...]
2022 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
3.
Interconnectedness among insurers and reinsurers at a global level is not well understood and may pose a significant risk to the sector, with implications for the macroec[...]
2019 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
4.
This paper studies constrained efficiency in Guerrieri et al.'s (2010) model of adverse selection and directed search. Buyers post contracts, and sellers with private inf[...]
2019 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
5.
We explore the flexibility created by the introduction of interest payments on cash holdings to the design of asset-trading experiments along the line of Smith et al. (19[...]
2016 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
6.
Information on the allocation and pricing of over-the-counter (OTC) markets is scarce. Furfine (1999) pioneered an algorithm that provides transaction-level data on the O[...]
2016 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
7.
Using intraday data, we identify the intensity of private information flow in the U.S. Treasury market. Our results show that the intensity of private information flow is[...]
2014 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
8.
This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return re[...]
2014 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
9.
We use a unique, non-public dataset of trader positions in 17 U.S. commodity futures markets to provide novel evidence on those markets' financialization in the past deca[...]
2014 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
10.
This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return re[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |