Higher-Order Uncertainty in Financial Markets: Evidence from a Consensus Pricing Service
We assess the ability of an information aggregation mechanism that operates in the over-the-counter market for financial derivatives to reduce...
The political scar of epidemics
What will be the political legacy of the COVID-19 pandemic? This column uses data from the 2006-2018 Gallup World Polls to show that epidemic exposure...
The Political Scar of Epidemics
What will be the political legacy of the Coronavirus pandemic? We find that epidemic exposure in an individual’s “impressionable years” (ages 18 to 25...
Revenge of the experts: Will COVID-19 renew or diminish trust in science?
It is argued that COVID-19 will reverse the ongoing trend of challenging the value of science and the integrity of scientists. This column shows that...
Revenge of the Experts: Will COVID-19 Renew or Diminish Public Trust in Science?
An effect of the COVID-19 pandemic, it is sometimes suggested, will be to reverse the secular trend toward questioning the value of scientific...
Volatility, dark trading and market quality: evidence from the 2020 COVID-19 pandemic-driven market volatility
We exploit the exogenous shock of the COVID-19 pandemic on financial markets and regulatory restrictions on dark trading to investigate how volatility...
Synthetic Forecasting Method for COVID-19: Applications to UK and Turkey
Synthetic control method (SCM) is generally used for producing counterfactual scenarios in policy evaluations. In the light and urgency of the recent...
When will the Covid-19 pandemic peak?
We carry out some analysis of the daily data on the number of new cases and number of new deaths by (191) countries as reported to the European CDC...
The coronavirus crisis is no 2008
Many comparisons have been made between the coronavirus crisis and the global systemic crisis in 2008. This column argues that seen through the lens...
Artificial intelligence as a central banker
Artificial intelligence, such as the Bank of England Bot, is set to take over an increasing number of central bank functions. This column argues that...
Loan Insurance, Market Liquidity, and Lending Standards
We examine loan insurance when lenders can screen at origination, learn loan quality over time, and can sell loans in secondary markets. Loan...
Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
We propose a novel, and simple, Bayesian estimation and model selection procedure for crosssectional asset pricing. Our approach, that allows for both...
Sell in May and Go Away in the Equity Index Futures Markets, 1993-2019
The period May 1 to the turn of the month of November (-6 trading day of October) has historically produced negligible returns. The rest of the year...
Consumption in Asset Returns
Consumption dynamics are hard to measure accurately in the data, yet they are the crucial ingredient of macro-finance asset pricing models. The...
Banks and government bonds: A love story
European banks have been criticised for holding too much domestic government debt during the recent euro area crisis, intensifying the doom loop...
Dollars or Pence? Choosing a framework for US-China trade
Given that China is a strategic and economic rival to the US, the Trump administration’s framework for US-China trade makes far more sense than one...
