Publications

The Centre has a regular discussion paper series dedicated to academic research, as well as a special paper series focused on policy analysis. In addition, affiliated researchers publish a variety of books, reports and opinion pieces.

Opinion Pieces
Jun 2018
Are cryptocurrencies the future of money, Ponzi schemes, speculators’ dreams, or just a prosperity gospel? While there is money to be made in the short run, this column argues that cryptocurrencies are lousy investments and will eventually reach a...
Opinion Pieces
May 2018
Volatility is only a good measure of risk when shocks are distributed normally. This post argues that extreme value theory offers a better, if imperfect alternative. Even better would be to use more fundamental analysis.
Special Papers
Apr 2018
SP 14
Technology changes society. Financial services and their regulation is not immune from this. Indeed, distributed ledger technology and artificial intelligence have the potential to change the way in which financial services are delivered and...
Discussion Papers
Apr 2018
DP 78
We propose a method to capture the notion of resilience, the dynamic aspect of liquidity in the limit order book, through the Threshold Exceedance Duration (TED) metric that we introduce. This measures the duration of liquidity ‘droughts.’ We...
Discussion Papers
Apr 2018
DP 77
We consider the market for a risky asset with heterogeneous valuations. Private information that agents have about their own valuation is reflected in the equilibrium price. We study the learning externalities that arise in this setting, and in...
Opinion Pieces
Mar 2018
Reliable indicators of future financial crises are important for policymakers and practitioners. While most indicators consider an observation of high volatility as a warning signal, this column argues that such an alarm comes too late, arriving...
Discussion Papers
Feb 2018
DP 57
We study the effects of stock market volatility on risk-taking and financial crises by constructing a cross-country database spanning up to 211 years and 60 countries. Prolonged periods of low volatility have strong in-sample and out-of-sample...
Opinion Pieces
Feb 2018
Ron Anderson, Chikako Baba, Jon Danielsson, Heedon Kang, Udaibir S. Das and Miguel Segoviano
Current stress testing of banks is focused on the resiliency of individual banks to exogenous shocks. This column describes how the next generation of macroprudential stress tests aim to capture the endogenous nature of systemic risk caused by the...
Opinion Pieces
Feb 2018
Cryptocurrencies are supposedly a new and superior form of money and investments – the way of the future. The author of this column, however, does not see the point of cryptocurrencies, finding them no better than existing fiat money or good...
Reports
Feb 2018
Ron Anderson, Chikako Baba, Jon Danielsson, Udaibir S. Das, Heedon Kang and Miguel Segoviano
Non-supervisory bank stress testing is becoming firmly embedded in the post-crisis macroprudential frameworks of major financial sectors around the world. The Monetary and Capital Markets Department (MCM) of the International Monetary Fund (IMF) and...

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