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Journal Article

Commodities for the Long Run

This paper analyzes a novel data set of commodity futures prices between 1877-2015, allowing us to show that returns do vary significantly across business cycles but can add value to a diversified portfolio from an asset allocation perspective.

Journal Article

Regulating Systemic Risk

Systemic risk is the risk that the failure and distress of a significant part of the financial sector reduces the availability of credit which in turn may adversely affect the real economy.


Hedge Funds in the Aftermath of the Financial Crisis

There is little evidence to suggest that hedge funds caused the financial crisis or contributed to its severity in any significant way. However, they do have the potential to generate systemic risk. We outline four policy actions to address this.


Taxing Systemic Risk

How does one regulate systemic risk in the financial sector? We propose charging each financial firm a tax based on its expected loss during a systemic crisis.


How to Calculate Systemic Risk Surcharges

Many argue that financial regulation should focus on limiting systemic risk. This chapter examines one proposed regulatory idea: that each institution must face a "surcharge" based on the extent to which it is likely to contribute to systemic risk.

Working Paper

Long Horizon Predictability: A Cautionary Tale

We show there is much less evidence of long-horizon return predictability than existing research suggests, casting doubt over claims about forecasts based on stock market valuations and factor timing.

Working Paper

Measuring Systemic Risk

We present a simple model of systemic risk and show how each financial institution’s contribution to systemic risk can be measured and priced—its propensity to be undercapitalized when the system as a whole is undercapitalized, which increases in its leverage, volatility, correlation, and tail-dependence.

Working Paper

The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds

We analyze the cross-section of developed countries’ bond spreads.We show that under certain conditions, especially credit deterioration and flight to quality, new issue, and more liquid, bond spreads tighten and become cheaper, not more expensive, relative to their less liquid counterparts.

White Paper

Risk Without Reward: The Case for Strategic FX Hedging

In the wake of losses associated with the sharp rise in the U.S. dollar between 2014 and 2015, we look at the long-term case for strategic currency hedging.