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...
Systemic consequences of outsourcing to the cloud
Financial institutions are increasingly outsourcing information technology to the cloud, motivated by efficiency, security, and cost. This column...
Longterm decision making under the threat of earthquakes?
Under the threat of earthquakes, long-term policy makers need tools to optimally decide on the economic trajectories that will maximize the society...
The dissonance of the short and long term
The type of risk we most care about is long-term, what happens over years or decades, but we tend to manage that risk over short periods. This column...
Central banks and reputation risk
As central banks accumulate ever more job functions, their reputation risk increases. This column offers a cautionary tale from Iceland where, after...
Artificial Intelligence and Systemic Risk
Artificial intelligence (AI) is rapidly changing how the financial system is operated, taking over core functions because of cost savings and...
Financial crises and liberalization: Progress or reversals?
Financial crisis can trigger policy reversals, i.e. they can lead to a process of reregulation of financial markets. Using a recent comprehensive...
Financial crises and the dynamics of financial de-liberalisation
Financial crises play a key role in changing existing policies concerning financial markets and institutions. This column provides new evidence for...
The Efficient IPO Market Hypothesis: Theory and Evidence
We derive the optimal underwriting method and the quantitative IPO pricing rule that this method implies in a market with informational frictions...
The wealth effect: The middle class and the changing politics of banking crises
The accumulation of mass financialised wealth has transformed the politics of banking crises. This column shows that the rising wealth of the middle...
Bank Resolution and the Structure of Global Banks
The Review of Financial Studies, 32(6), 2384–2421.
Lending cycles and real outcomes: Costs of political misalignment
Government ownership of banks can help solve credit market failures and stabilise the supply of credit over the business cycle. However, it can also...
Reconstructing and Stress Testing Credit Networks
Financial networks are an important source of systemic risk, but often only partial network information is available. In this paper, we use data on...
