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MFM Papers

Leaders of this research project and presenters in the MFM meetings have compiled a group of papers and background readings. This database is intended to provide relevant references for researchers working in topics related to the MFM project's purpose.

The papers that you can find here include research that is being developed with the support of the MFM initiative, ongoing research that has been discussed during the MFM meetings, and relevant articles produced elsewhere by the general academic community. The papers referenced here do not constitute a comprehensive list of the existing literature. Feel free to submit feedback on these papers using the "add new comment" link on each individual research display page.

 

Publication Datesort ascending Title Author(s)
July 2014 An Agent-based Model for Financial Vulnerability Rick Bookstaber, Mark Paddrik, Brian Tivnan
May 2014 Analyzing Real Estate, Financial Sector, and Sovereign Risks and Economic Impact Using Contingent Claims Analysis: Framework and Application to Ireland Dale Gray
May 2014 Evaluating the Cost of Government Credit Support: The OECD Context Deborah Lucas
May 2014 Evaluating the Cost of Government Credit Support: The OECD Context Deborah Lucas
March 2014 A Characterization of Rationalizable Consumer Behavior Philip J. Reny
February 2014 Dynamic Loss Probabilities and Implications for Financial Regulation Thomas J. Brennan, Andrew W. Lo
January 2014 International Liquidity and Exchange Rate Dynamics Xavier Gabaix, Matteo Maggiori
January 2014 Commodity Trade and the Carry Trade: A Tale of Two Countries Robert Ready , Nikolai Roussanov, Colin Ward
January 2014 Financial Crises and Policy Andrea Prestipino
January 2014 The Pass-Through of Sovereign Risk Luigi Bocola
January 2014 Capital Requirements, Risk Choice, and Liquidity Provision in a Business Cycle Model Juliane Begenau
January 2014 The "Greatest" Carry Trade Ever? Understanding the Eurozone Bank Risks Viral Acharya, Sascha Steffen
October 2013 Fire-Sale Spillovers and Systemic Risk Fernando Duarte, Thomas M. Eisenbach
October 2013 Booms and Banking Crises Frédéric Boissay, Fabrice Collard, Frank Smets
October 2013 Structural GARCH: The Volatility-Leverage Connection Robert Engle, Emil Siriwardane
October 2013 Banks' Risk Exposures Monika Piazzesi, Juliane Begenau, Martin Schneider
October 2013 Margin Regulation and Volatility Johannes Brumm, Michael Grill, Michael Grill, Karl Schmedders
October 2013 Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR Dale Gray, Marco Gross, Joan Paredes, Matthias Sydow
October 2013 A Framework for Stress Testing the UK Banking System Bank of England
October 2013 Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR Dale Gray, Marco Gross, Joan Paredes, Matthias Sydow