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 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...
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...
Discussion Papers
Nov 2017
DP 76
Ray Barrell, Dilly Karim and Corrado Macchiarelli
Macroprudential policy is now based around a countercyclical buffer, relating capital requirements for banks to the degree of excess credit in the economy. We consider the construction of the credit to GDP gap looking at different ways of extracting...
Discussion Papers
Nov 2017
DP 75
Lukas Kremens and Ian Martin
We present a new, theoretically motivated, forecasting variable for exchange rates that is based on the prices of quanto index contracts, and show via panel regressions that the quanto forecast variable is a statistically and economically...
Discussion Papers
Oct 2017
DP 74
Miguel Segoviano and Raphael André Espinoza
This paper presents a methodology to infer multivariate densities that characterize the asset values for a system of financial institutions, and applies it to quantify systemic risk. These densities, which are inferred from partial information but...
Discussion Papers
Sep 2017
DP 73
This paper provides an explanation for the variety of contracts offered by competitive firms for seemingly identical products or services. I show that two competing firms offering menus of non-linear price schedules to customers with biased beliefs...
Discussion Papers
Aug 2017
DP 72
Sebastien Lleo and Bill Ziemba
Predicting stock market crashes is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly for use on mature fi nancial markets. In this paper, we investigate whether traditional crash...
Discussion Papers
Jul 2017
DP 71
Policymakers and investors often conceptualize trend growth as simply a medium/long term average growth rate. In practice, these averages are usually taken over arbitrary periods of time, thereby ignoring the large empirical growth literature which...
Discussion Papers
Jul 2017
DP 70
At any point in time, skills gaps, mismatches, and shortages arise because of an imperfect correspondence between the singular sets of skills required by different open vacancies and the unique combinations of capabilities embodied in every job...

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