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Podcast

Interest Rate Limbo

We investigate why investors might want bonds in their portfolios, even in a low-yield environment.

Podcast

Taking Stock of Stock Myths

There is risk in every investment. This episode delves into three specific kinds of equity risks that tend to weigh on investors: home bias, market timing and inflation.

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

More Banks, Less Crime? The Real and Social Effects of Bank Competition

Using a unique sample of commercial loans and mergers between large banks, this paper provides microlevel (within-county) evidence linking credit conditions to economic development and finds a spillover effect on crime.

Working Paper

Embedded Leverage

Embedded leverage—the amount of market exposure per unit of committed capital—has become an important feature of financial instruments. We study embedded leverage in equity options, index options and ETFs, and how it affects the required returns.

Working Paper

Financing Investment With Long-Term Debt and Uncertainty Shocks

This paper proposes a model of financing and investment for firms that attempts to explain both the weak correlation of Tobin’s Q with investment, and the higher correlation of bond yields with investment.

Working Paper

Repeated Auctions With Endogenous Selling

Auction theory studies the expected revenue to an owner committed to selling—as when a government sells an oil field, where the sale decision is unrelated to its quality. This paper addresses questions raised by auctions where owners choose to sell.

Macro Wrap-Up

Australia Avoids the Breaking Point

Australia has broken some of the “laws” of economics by avoiding recession for thirty years. Now the economy faces some challenges. Find out what they are and what it may mean for the future.

Working Paper

Risk Adjusted Performance of Middlemen in Housing Markets

Do housing market asset flippers outperform? We study the risk-adjusted returns of asset flippers operating in the housing market of Los Angeles County with respect to both investments in the U.S. stock market and in a passive mutual fund tracking a representative U.S. REIT index.

Working Paper

Two Monetary Tools: Interest Rates and Haircuts

What happens when financial institutions, which play a key role as credit providers in the economy, become financially constrained themselves? This paper studies the ramifications during a liquidity crisis.