Research‎ > ‎

Paper Discussions

Conference Discussions

Mertens and Williams: "What to Expect from the Lower Bound on Interest Rates: Evidence from Derivative Prices"

Chahrour and Jurado: "News or Noise: The Missing Link"

Carvalho, Eusepi, Moench and Preston: "In search of a nominal anchor: What drives long-term inflation expectations?"

Mertens and Ravn's "Reconciliation of SVAR and narrative estimates of tax multipliers"

Nason and Smith's "Reverse Kalman Filtering U.S. Inflation with Sticky Professional Forecasts" (2012)

Forlati and Lambertini's "Risky Mortgages in a DSGE Model" (SNB, 2010)

A really interesting paper, embedding BGG type contracts into the housing market. 

Amongst others, they compare the responses of aggregate variables to shocks which increase the fundamental risk in housing. What I found striking is that their model implies that an economy with low average risk displays larger responses to risk shocks than an economy with high average risk, since leverage is higher in the economy with low average risk. The picture above shows how the exogenous distribution of housing risk shifts in both model economies after a transitory increase (blue), respectively a decreases (red) in risk.

The paper is yet silent on potential implications for policymakers and regulators for this (I guess we should not seek to raise fundamental risk?) and I am not even sure whether I could fully agree with their analysis. An interesting and thought-provoking paper nonetheless. 

Meh and Moran's "The Role of Bank Capital in the Propagation of Shocks"(SNB, 2009)

Angeletos and La'O "Incomplete Information, Higher-Order Beliefs and the Inertia of Prices in the Calvo Model" (JME, 2009)

Reading Group

Coval, Jurek and Stafford's "Economic Catastrophe Bonds" (AER, 2009)

Lorenzoni's "Optimal Monetary Policy with Uncertain Fundamentals and Dispersed Information" (REStud 2010)

Book Reviews

Christian Gollier's "Economics of Risk and Time"

Olivier de la Grandville's "Bond Pricing and Portfolio Analysis"

Prisman's "Pricing Derivative Securities, An Interactive Dynamic Environment with Maple V and Matlab"

Danthine and Donaldson's "Intermediate Financial Theory (1st edition)"


Correct variance for estimated Sharpe Ratios

When Smart Money is Borrowed Money

  • Kyle and Xiong (2001, JF) and Shleifer and Vishny (1997, JF)
  • pdf, (appeared in 3/2002 of FMPM)

Recent Models in Behavioral Finance Put to Test

  • The models of DHS (1998), BSV (1998) and Hong and Stein (1999) as well as the tests in HLS (2000) and Lee and Swaminathan (2000) 
  • pdf, appeared in 1/2001 of FMPM