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.

Discussion Papers
Nov 2013
DP 7
Douglas Gale and Piero Gottardi
We study a general equilibrium model in which firms choose their capital structure optimally, trading off the tax advantages of debt against the risk of costly default. The costs of default are endogenous: bankrupt firms are forced to liquidate...
Discussion Papers
Nov 2013
DP 6
We study an economy with segmented financial markets and strategic arbitrageurs who link these markets. We show that the equilibrium of the arbitraged economy is asymptotically Walrasian in the sense that it converges to the equilibrium of an...
Discussion Papers
Nov 2013
DP 5
A. N. Shiryaev, M. V. Zhitlukhin and Bill Ziemba
In this paper, the authors apply a continuous time stochastic process model developed by Shiryaev and Zhutlukhin for optimal stopping of random price processes that appear to be bubbles. By a bubble we mean the rising price is largely based on the...
Discussion Papers
Oct 2013
DP 4
Andrew Ellul, Chotibhak Jotikasthira, Christian T. Lundblad and Yihui Wang
One of the most contentious issues raised during the recent crisis has been the potentially exacerbating role played by mark-to-market accounting. Many have proposed the use of historical cost accounting, promoting its ability to avoid the...
Opinion Pieces
Oct 2013
Jon Danielsson, Ralph S.J. Koijen, Roger Laeven and Enrico Perotti
The European legislation on prudential rules for insurance companies (Solvency II) is set for a final decision. It will be of fundamental importance as it will dictate capital regulation for insurers.This article argues that the final text...
Discussion Papers
Sep 2013
DP 3
We present a model of an economy with heterogeneous banks that may be funded with uninsured deposits and equity capital. Capital serves to ameliorate a moral hazard problem in the choice of risk. There is a fixed aggregate supply of bank capital, so...
Discussion Papers
Sep 2013
DP 2
Financial market liquidity has become increasingly fragmented across multiple trading platforms. We propose an intuitive welfare-based market quality metric that can properly aggregate local market conditions across both securities and trading...
Opinion Pieces
Sep 2013
Central banks frequently lead the macroprudential policy implementation. The hope is that their credibility in conquering inflation might rub off on macroprudential policy. This column argues the opposite. The fuzziness of the macroprudential agenda...
Discussion Papers
Sep 2013
DP 1
Tobias Adrian and Hyun Song Shin
The availability of credit varies over the business cycle through shifts in the leverage of financial intermediaries. Empirically, we find that intermediary leverage is negatively aligned with the banks’ value-at-risk (VaR). Motivated by the...
Books
Aug 2013
The book uses economic theory, finance, mathematical modelling, risk theory, and policy to posit a comprehensive, coherent and current economic analysis of the inherent instabilities of the financial system and the design of optimal policy responses...

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