Discussion Papers

Using hand-collected data spanning more than a decade on European banks’ sovereign debt portfolios, we show that the trust of residents of a bank’s...

Does the increased prevalence of algorithmic trading (AT) produce real economic effects? We find that AT contributes to managerial learning by...

Innovativity – an economy's ability to produce the innovations that drive total factor productivity (TFP) growth – requires both ideas and the ability...

We study the evolution of pay in US bank holding companies since 1986. We first set out the main empirical characteristics in both cross-section and...

We show that all discounted stochastic games DSGs satisfying the usual assumptions have Nash payoff selection correspondences having fixed points. Our...

We develop a model in which long-term swap spreads are determined by end users’ demand for swaps, constrained dealers’ supply of swaps, and the risk...

We ask whether epidemic exposure leads to a shift in financial technology usage and who participates in this shift. We exploit a dataset combining...

An important aspect of network dynamics that has been missing from our understanding of network dynamics in various applied settings is the influence...

Under mild assumptions on primitives, we show that all parameterized state-contingent games (PSGs) have upper Caratheodory (uC) Nash (equilibrium)...

We show that any measurable selection valued correspondence induced by the composition of an m-tuple of real-valued Caratheodory functions with an...

Using a comprehensive panel of 2,969,829 stock-day data provided by the Securities and Exchange Commission (MIDAS), we find that HFT activity in the...

Does enhanced shareholder liability reduce bank failure? We compare the performance of around 4,200 state-regulated banks of similar size in...

Traders’ choice between lit and dark trading venues depends on market conditions, which are affected by execution priority rules in the dark pool...

We demonstrate that the co-existence of different motives for liquidity preferences profoundly affects the efficiency of financial intermediation...

Stochastic processes is one of the key operations research tools for analysis of complex phenomenon. This paper has a unique application to the study...

We propose an extrapolative model of bubbles to explain the sharp rise in prices and volume observed in historical financial bubbles. The model...