This paper studies a two country model with economies disaggregated into traded and non-traded sectors and in which investment goods as in practice are produced by combining inputsfrom all sectors. The model also accounts for nontraded distribution services employed in retail-ing traded goods to...

Pairwise stock correlations increase by 27% on average when stock returns arenegative. It is trading activity in small stocks that leads to higher correlationswhen returns are negative. We provide evidence consistent with the hypothesisthat co-ordinated selling by retail investors drives this...

This paper extends the approach of measuring and stress-testing the systemic risk of a banking sector in Huang, Zhou, and Zhu (2009) to identifying various sources of financial instability and to allocating systemic risk to individual financial institutions. The systemic risk measure, defined as...

This paper analyzes the relation between correlation risk and the cross-section of hedge fund returns.Legal framework and investment mandate imply that hedge funds can be severely exposed tocorrelation risk: Hedge funds ability to enter long-short positions can be useful to reduce marketbeta,...

This paper presents an equilibrium model that provides a rational explanation for twofeatures of data that have been considered puzzling: The positive relation between USdividend yields and nominal interest rates, often called the Fed-model, and the time-varying correlation of US stock and bond...

In this paper, we measure the impact of a downturn in the automobile industry on thesolvency of 28 large German banks. The choice of the stressed sector is motivated by theimportant role which the automobile industry plays in the German economy, not the leastbecause of its close ties to other...

Credit risk is an important issue in many nance areas, such as the determinationof cost of capital, the valuation of corporate bonds and pricing of credit derivatives.Credit risk has also been a cause and consequence of the current nancial crisis.Thus, methods for measuring credit risk, default...

Recent empirical studies claim to have identified roots of Africa’s poverty in its colonial past, particularly in the ‘extractive’ or ‘illegitimate’ institutions that the colonial powers bequeathed. While taking a similar quantitative approach this paper accepts the view of many...