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
Apr 2015
DP 36
Jon Danielsson and Chen Zhou
This paper analyzes the robustness of standard risk analysis techniques, with a special emphasis on the specifications in Basel III. We focus on the difference between Value–at–Risk and expected shortfall, the small sample properties of...
Discussion Papers
Mar 2015
DP 35
Georgy Chabakauri
We consider a general equilibrium Lucas (1978) economy with one consumption good and two heterogeneous Epstein-Zin investors. The output is subject to rare large drops or, more generally, can have non-lognormal distribution with higher cumulants....
Discussion Papers
Mar 2015
DP 34
Aytek Malkhozov and Andrea Tamoni
We study the importance of anticipated shocks (news) for understanding the comovement between macroeconomic quantities and asset prices. We find that four-quarter anticipated investment shocks are an important source of fluctuations for...
Discussion Papers
Mar 2015
DP 33
Thorsten Beck, Hans Degryse, Ralph De Haas and Neeltje van Horen
Using a novel way to identify relationship and transaction banks, we study how banks’ lending techniques affect credit constraints of small and medium-sized enterprises across emerging Europe. We link the lending techniques that banks use in...
Opinion Pieces
Mar 2015
This column introduces a new Vox eBook collecting some of the best Vox columns on financial regulations, starting with the fundamentals of financial regulations, moving on to bank capital and the Basel regulations, and finishing with the wider...
Books
Mar 2015
This eBook collects some of the best Vox columns on financial regulations, starting with the fundamentals of financial regulations, moving on to bank capital and the Basel regulations, and finishing with the wider considerations of the regulatory...
Discussion Papers
Feb 2015
DP 32
Denis Gromb and Dimitri Vayanos
We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital, liquidity, and asset prices. Arbitrageurs exploit price discrepancies between assets traded in segmented markets, and in doing so provide...
Opinion Pieces
Feb 2015
The proposed EU capital markets union aims to revitalise Europe’s economy by creating efficient funding channels between providers of loanable funds and firms best placed to use them. This column argues that a successful union would deliver...
Discussion Papers
Feb 2015
DP 31
Ben W. Ansell and J. Lawrence Broz
In recent years, global imbalances have channeled the excess savings of surplus countries toward the real estate markets of deficit countries. By consequence, the deficit countries that attracted lots of foreign capital experienced large run-ups in...
Special Papers
Jan 2015
SP 7
Malcolm Knight and Guillermo Ortiz
The 2007/9 crisis and the ongoing transformation of the global economy call for a rethink of the scope of the Fund’s multilateral surveillance. This paper first reviews the reforms already undertaken in response to the crisis as a basis for...

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