I have a new paper on “Fragility of Money Markets” (with Angelo Ranaldo and Matthias Rupprecht). We provide the first comprehensive theoretical model for money markets encompassing unsecured and secured funding, asset markets, and central bank policy. Capital-constrained, leveraged banks invest in assets and raise short-term funds by borrowing in the unsecured and secured money […]
Category Archives: Research
Publication “The Euro Interbank Repo Market”
The paper “The Euro Interbank Repo Market” has been accepted and is now forthcoming in The Review Of Financial Studies. The corrected proof is available on the publisher’s website. You can still find the last working paper version of the paper on SSRN. Abstract: The search for a market design that ensures stable bank funding […]
Completely revised working paper
Today, I uploaded a completely revised version of my working paper with Fabio Trojani and Christian Wiehenkamp on SSRN. The new title is “Ambigutiy and Reality”. Abstract: Model builders face ambiguity about the true data generating process. Consequently, they need to deal with ambiguity attitudes (inside uncertainty) and ambiguous financial reality (outside uncertainty) when developing […]
Updated version of working paper on “The Euro Interbank Repo Market”
A new version of our repo paper on “The Euro Interbank Repo Market” is available. Abstract: The search for a market design that ensures stable bank funding is at the top of regulators’ policy agenda. This paper empirically shows that an important part of the European money market features this quality, namely the central counterparty […]