Macroprudential Stress Tests and Policies: Stretching for Robust and Implementable Frameworks
Non-supervisory bank stress testing is becoming firmly embedded in the post-crisis macroprudential frameworks of major financial sectors around the...
Towards an understanding of credit cycles: do all credit booms cause crises?
Macroprudential policy is now based around a countercyclical buffer, relating capital requirements for banks to the degree of excess credit in the...
Artificial intelligence and the stability of markets
Artificial intelligence is increasingly used to tackle all sorts of problems facing people and societies. This column considers the potential benefits...
Artificial intelligence, financial risk management and systemic risk
Artificial intelligence (AI) is rapidly changing how financial institutions are operated and regulated. The authors discuss the benefits and danger...
The Quanto Theory of Exchange Rates
We present a new, theoretically motivated, forecasting variable for exchange rates that is based on the prices of quanto index contracts, and show via...
Consistent Measures of Systemic Risk
This paper presents a methodology to infer multivariate densities that characterize the asset values for a system of financial institutions, and...
Contractual Externalities and Systemic Risk
The Review of Economic Studies, Volume 84, Issue 4, Pages 1789–1817.
Competitive Screening of Customers with Non-Common Priors
This paper provides an explanation for the variety of contracts offered by competitive firms for seemingly identical products or services. I show that...
A Tale of Two Indexes: Predicting Equity Market Downturns in China
Predicting stock market crashes is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly...
Trend Growth Durations & Shifts
Policymakers and investors often conceptualize trend growth as simply a medium/long term average growth rate. In practice, these averages are usually...
Skills Diversity in Unity
At any point in time, skills gaps, mismatches, and shortages arise because of an imperfect correspondence between the singular sets of skills required...
Fundamentals versus market sentiments in the euro bond markets: Implications for QE
Despite the partial realignment of European long-term government bonds after the crisis in 2012, there has been some renewed divergence in yields in...
Brexit and systemic risk
Brexit is likely to cause considerable disruption for financial markets. Some worry that it may also increase systemic risk. This column revisits the...
The STEM Requirements of "Non-STEM" Jobs: Evidence from UK Online Vacancy Postings and Implications for Skills & Knowledge Shortages
Do employers in "non-STEM" occupations (e.g. Graphic Designers, Economists) seek to hire STEM (Science, Technology, Engineering, and Mathematics)...
The Optimal Consumption Function in a Brownian Model of Accumulation. Part C: A Dynamical System Formulation
This Paper continues the study of the Optimal Consumption Function in a Brownian Model of Accumulation, see Part A [2001] and Part B [2014]; a...
Don’t Stop Me Now: The Impact of Credit Market Fragmentation on Firms’ Financing Constraints
This paper investigates how the withdrawal of banks from their cross-border business impacted the borrowing costs of European firms since the crisis...
