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 2014
DP 23
Douglas Gale and Piero Gottardi
We study a dynamic general equilibrium model in which firms choose their investment level and their capital structure, trading off the tax advantages of debt against the risk of costly default. The costs of bankruptcy are endogenously determined, as...
Discussion Papers
Oct 2014
DP 17
We offer a model of currency carry trades in which carry traders earn positive excess returns if they successfully coordinate on supplying excessive capital to a target economy. The interest-rate differential between their funding currency and the...
Opinion Pieces
Oct 2014
Having completed the regulatory framework for systemically important banks, the Financial Stability Board is turning to insurance companies. The emerging framework for insurers closely resembles that for banks, culminating in the design and...
Opinion Pieces
Oct 2014
Regulation of the global insurance industry, an emerging challenge in international finance, has two central objectives: strengthening the oversight of insurance companies designated ‘systemically important’; and designing a global...
Discussion Papers
Sep 2014
DP 22
Jeffrey M Chwieroth, Cohen R Simpson and Andrew Walter
Sovereign default is often associated with the downfall of incumbent governments in democratic polities. Existing scholarship directs attention to the relationship between default and domestic politics and institutions rather than the broader...
Discussion Papers
Sep 2014
DP 21
Sebastien Lleo and Bill Ziemba
We provide a historical perspective focusing on Ziemba's experiences and research on the bond-stock earnings yield differential model (BSEYD) starting from when he first used it in Japan in 1988 through to the present in 2014. The model has...
Discussion Papers
Aug 2014
DP 20
Albert N. Shiryaev, Mikhail N. Zhitlukhin and Bill Ziemba
We study the land and stock markets in Japan circa 1990 and in 2013. While the Nikkei stock average in the late 1980s and its -48% crash in 1990 is generally recognized as a financial market bubble, a bigger bubble and crash was in the land market....
Discussion Papers
Aug 2014
DP 19
Kyle Moore and Chen Zhou
This paper empirically analyses the determinants of banks’ systemic importance. With applying a novel measure on the systemic importance to US bank holding companies in 2000–2010, we show that size is an important determinant of systemic...
Special Papers
Aug 2014
SP 5
Pawel Smaga
The aim of the study is to analyze the concept of systemic risk. The study reviews a multitude of systemic risk definitions in the literature. In addition, the paper identifies factors that contribute to the build-up of systemic risk (...
Discussion Papers
Aug 2014
DP 18
Sebastien Lleo and Bill Ziemba
In this paper, we extend the literature on crash prediction models in three main respects. First, we relate explicitly crash prediction measures and asset pricing models. Second, we present a simple, effective statistical significance test for crash...

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