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Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach
(2012-09-01)
In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the ...
Endogenous Banks’ Networks, Cascades and Systemic Risk
(2014-06-01)
We develop a network model whose links are governed by banks' optmizing decisions and by an endogenous tâtonnement market adjustment. Banks in our model can default and engage in re-sales: risk is transmitted through direct ...
Trust in Government and Fiscal Adjustments
(2013-06-04)
The paper looks at the determinants of fiscal adjustments as reflected in the primary surplus of countries. Our conjecture is that governments will usually find it more attractive to pursue fiscal adjustments in a situation ...
Trust Me! I am a European Central Banker
(2012-06-01)
In the aftermath of the financial crisis, the ECB has experienced an unprecedented deterioration in the level of trust. This raises the question as to what factors determine trust in central banking. We use a unique ...
Input-Output-Based Measures of Systemic Importance
(2013-08-01)
The analyses of intersectoral linkages of Leontief (1941) and Hirschman (1958) provide a natural way to study the transmission of risk among interconnected banks and to measure their systemic importance. In this paper we ...
Systemic Risk in an Interconnected Banking System with Endogenous Asset Markets
(2014-03-30)
We analyze the emergence of systemic risk in a network model of interconnected bank balance sheets. The model incorporates multiple sources of systemic risk, including size of financial institutions, direct exposure from ...
Financial Regulation in the EU – Cross-Border Capital Flows, Systemic Risk and the European Banking Union as Reference Points for EU Financial Market Integration
(2014-06-01)
This is a chapter for a forthcoming volume Oxford Handbook of Financial Regulation (Oxford University Press 2014) (eds. Eilís Ferran, Niamh Moloney, and Jennifer Payne). It provides an overview of EU financial regulation ...
Coming Early to the Party
(2017-09-15)
"We examine the strategic behavior of High Frequency Traders (HFTs) during the pre-opening phase and the opening auction of the NYSE-Euronext Paris exchange. HFTs actively participate, and profitably extract information ...
The Demand for Central Clearing: To Clear or Not to Clear, That is the Question
(2018-06-15)
This paper is a first attempt at empirically analyzing whether post-crisis regulatory reforms developed by global-standard-setting bodies have created appropriate incentives to centrally clear Over-The-Counter (OTC) ...
All Economic Ideas are Equal, but Some are more Equal than Others: A Differentiated Perspective on Macroprudential Ideas and their Implementation
(2018-06-01)
In this study we investigate which economic ideas were prevalent in the macroprudential discourse post-crises in order to understand the availability of ideas for reform minded agents. We base our analysis on new findings ...