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 2016
The IMF’s latest Global Financial Stability Report devotes for the first time a chapter to the systemic risks potentially associated with the insurance sector and how regulatory bodies should respond. This column examines the key points and...
Opinion Pieces
May 2016
Since the onset of the Global Crisis in 2007-08, stress testing has emerged as a major component of the supervisory toolkit. This column introduces a new CEPR Press eBook that presents the perspectives of policymakers, stress test designers and...
Books
May 2016
This CEPR Press eBook presents the perspectives of policymakers, stress test designers and academics on the remarkable development of stress testing, a tool which ten years ago was little known but has now emerged as a major component of the...
Opinion Pieces
Mar 2016
Jon Danielsson and Andreas Tsanakas
Macroprudential policy has become increasingly popular in the aftermath of the Global Crisis, but it remains controversial. This column argues that vigorous disagreement is both inevitable and healthy, reflecting differing fundamental views of how...
Discussion Papers
Mar 2016
DP 59
Do Disaster risk and Fortune risk fetch a premium or discount in the pricing of individual assets? Disaster risk and Fortune risk are measures for the co-movement of individual stocks with the market, given that the state of the world is extremely...
Discussion Papers
Mar 2016
DP 58
The selection of upper order statistics in tail estimation is notoriously difficult. Most methods are based on asymptotic arguments, like minimizing the asymptotic mse, that do not perform well in finite samples. Here we advance a data driven method...
Discussion Papers
Feb 2016
DP 57
We study the effects of volatility on the probability of financial crises by constructing a cross-country database spanning 211 years. We find that volatility is not a significant predictor of crises whereas unexpected high and low volatilities are...
Discussion Papers
Feb 2016
DP 56
Rui Gong, Jieshuang He and Frank Page
We construct a model of a principal-agent game of network formation (over layered networks) with asymmetric information and we consider the following two questions: (1) Is it possible for the principal to design a mechanism that links the reports of...
Discussion Papers
Feb 2016
DP 55
We answer the following question: Does regulating the banking network increase systemic risk in the entire financial network in the presence of unregulated shadow banks? In order to answer this question, we introduce a formal definition of systemic...
Discussion Papers
Jan 2016
DP 54
Philippe Mueller, Alireza Tahbaz-Salehi and Andrea Vedolin
We document that a trading strategy that is short the U.S. dollar and long other currencies exhibits significantly larger excess returns on days with scheduled Federal Open Market Committee (FOMC) announcements. We also show that these excess...

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