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New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability
Financial Crisis Macroeconomics Central Banking Risk Management
2015/4/20
This paper proposes a new approach to improve the way central banks can analyze and manage the financial risks of a national economy. It is based on the modern theory and practice of contingent claims...
Monetary Aggregates and the Central Bank’s Financial Stability Mandate
Monetary Aggregates Central Bank’s Financial Stability Mandate
2014/3/18
Money is the balance sheet counterpart to bank lending. As such, highly procyclical components of money reflect incremental bank lending that may reverse abruptly as financial conditions d...
On information efficiency and financial stability
information efficiency financial stability
2010/10/20
We study a simple model of an asset market with informed and non-informed agents. In the absence of non-informed agents, the market becomes information efficient when the number of traders with diffe...
Eroding market stability by proliferation of financial instruments
market stability financial instruments
2010/11/2
We contrast Arbitrage Pricing Theory (APT), the theoretical basis for the development of nancial instruments, with a dynamical picture of an interacting market, in a simple setting. The proliferation...