The Rise, the Fall, and the Resurrection of Iceland -- by Sigridur...
This paper documents how the Icelandic banking system grew from 100 percent of GDP in 1998 to 9 times GDP in 2008 when it failed. We base the analysis on data from the banks that was made public when...
View ArticleMeasuring Success in Education: The Role of Effort on the Test Itself -- by...
Tests measuring and comparing educational achievement are an important policy tool. We experimentally show that offering students extrinsic incentives to put forth effort on such achievement tests has...
View ArticleWhen Should You Adjust Standard Errors for Clustering? -- by Alberto Abadie,...
In empirical work in economics it is common to report standard errors that account for clustering of units. Typically, the motivation given for the clustering adjustments is that unobserved components...
View ArticleCoCo Issuance and Bank Fragility -- by Stefan Avdjiev, Bilyana Bogdanova,...
The promise of contingent convertible capital securities (CoCos) as a "bail-in" solution has been the subject of considerable theoretical analysis and debate, but little is known about their effects in...
View ArticleWhat Rule for the Federal Reserve? Forecast Targeting -- by Lars E.O. Svensson
How would the policy rule of forecast targeting work for the Federal Reserve? To what extent is the Federal Reserve already practicing forecast targeting? Forecast targeting means selecting a policy...
View ArticleMore on ETFs -- A Little Craziness in High Yield Bond ETFs
I wrote a post a month or so ago on the risks from ETFs, in particular how ETFs on less liquid markets -- with high yield bonds being my poster child -- could cause problems for the market generally....
View ArticleWeekly Top 5 Papers – November 13th, 2017
1. Private Benefits in Public Offerings: Tax Receivable Agreements in IPOs by Gladriel Shobe (Brigham Young University – J. Reuben Clark Law School)read more...
View ArticleFederal Court Orders Arizona Resident Derek Springfield and His Company,...
The Commodity Futures Trading Commission (CFTC) today announced that Judge David G. Campbell of U.S. District Court for the District of Arizona entered a Consent Order against Defendants Derek...
View ArticleRemarks of CFTC Chief of Staff Michael Gill to the Futures Industry...
Remarks of CFTC Chief of Staff Michael Gill to the Futures Industry Association Japan
View ArticleCFTC Finds Statoil ASA Attempted to Manipulate the Argus Far East Index, a...
The Commodity Futures Trading Commission (CFTC) today issued an Order filing and settling charges against Statoil ASA, an international energy company headquartered in Stavanger, Norway.
View ArticlePension Actuaries: The Joke is On Us
...An Actuary is someone who wanted to be an accountant but didn't have the personality for it....An introverted actuary stares at his own feet, and extroverted one stares at the other person's...
View ArticleCFTC Orders INTL FCStone Financial Inc. and FCStone Merchant Services LLC to...
The Commodity Futures Trading Commission (CFTC) today issued an order filing and settling charges against FCStone Merchant Services LLC for entering into multiple noncompetitive trades and against INTL...
View ArticleCFTC’s Division of Market Oversight Extends Time-Limited No-Action...
The Commodity Futures Trading Commissionâs (CFTC) Division of Market Oversight (Division) today extended time-limited no-action relief to swap execution facilities (SEFs) from certain requirements in...
View ArticleLaw of Unintended Consequences
Organizations and people within them respond to incentives. They just don't always respond the way that we would like them to do so. We might have a policy designed with the best of intentions, but...
View ArticleRemarks of CFTC Commissioner Rostin Behnam at the Georgetown Center for...
Remarks of CFTC Commissioner Rostin Behnam at the Georgetown Center for Financial Markets and Policy
View ArticleBlack was right: Price is within a factor 2 of Value. (arXiv:1711.04717v1...
We provide further evidence that markets trend on the medium term (months) and mean-revert on the long term (several years). Our results bolster Black's intuition that prices tend to be off roughly by...
View ArticleClosed-form Solutions of Relativistic Black-Scholes Equations....
Drawing insights from the triumph of relativistic over classical mechanics when velocities approach the speed of light, we explore a similar improvement to the seminal Black-Scholes (Black and Scholes...
View ArticleFinancial Time Series Prediction Using Deep Learning. (arXiv:1711.04174v1...
In this work we present a data-driven end-to-end Deep Learning approach for time series prediction, applied to financial time series. A Deep Learning scheme is derived to predict the temporal trends of...
View ArticleEquity Effects in Energy Regulation -- by Carolyn Fischer, William A. Pizer
Some choices in energy regulation, particularly those that price emissions, raise household energy prices more than others. Those choices can lead to a large variation in burden both across and within...
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