Publications
Auctions with Endogenous Initiation
Alexander Gorbenko and Andrey Malenko
The Journal of Finance (2024) 79(2): 1353–1403
Financial Product Design in Decentralized Markets
Marzena Rostek and Ji Hee Yoon
Journal of Political Economy (2025), 133 (3), pp. 888-934.
Endogenous liquidity and capital reallocation
Wei Cui, Randall Wright and Yu Zhu
Journal of Political Economy (2025), 133(1), pp.146-189
An Issue Dedicated to Konrad Mierendorff: Introduction
Martin Cripps, Antonio Guarino and Vasiliki Skreta
European Economic Review (2025), 175, 105001
Douglas Gale’s Contribution to Social Learning, Decision Under Risk and Uncertainty, Monotone Games and Networks
Syngjoo Choi, Marco Cipriani, Antonio Guarino and Shachar Kariv
Journal of Financial Intermediation (2025), 62: 101141.
Taxing Sudden Capital Income Surges
Miao Jianjun and Wei Cui
IMF Economic Review (2025)
Two Engines, One Boom: Disentangling Credit's Real Effects
Wei Cui
International Economic Review (2025)
Conceptual Framework and Theory of M&A
Alex Gorbenko
Handbook of the Economics of Mergers and Acquisitions (2025), Edward Elgar
A Ramsey Theory of Financial Distortions
Marco Bassetto and Wei Cui
Journal of Political Economy (2024), 132(8), pp.2612-2654
Disclosure of Bank-Specific Information and the Stability of Financial Systems
Liang Dai, Dan Luo and Ming Yang
Review of Financial Studies (2024), 37(4), pp. 1315–1367
Customer Data Access and Fintech Entry: Early Evidence from Open Banking
Tania Babina, Saleem Bahaj, Greg Buchak, Filippo De Marco, Angus Foulis, Will Gornall, Francesco Mazzola, and Tong Yu
Journal of Financial Economics (2025), 169, 103950.
The Cross-Border Effects of Bank Capital Regulation
Saleem Bahaj and Frederic Malherbe
Journal of Financial Economics (2024), 160, 103912.
Beyond Pangloss: Financial Sector Origins of Inefficient Economic Booms
Frederic Malherbe and Michael McMahon
Journal of Monetary Economics (2024), 145, 103558
Innovation in Decentralized Markets: Technology vs. Synthetic Products
Marzena Rostek and Ji Hee Yoon
American Economic Journal: Microeconomics (2024), 16 (1), pp 63-109
Social Learning with Partial and Aggregate Information: Experimental Evidence
Antonio Guarino, Elisa Cavatorta and Steffen Huck
Games and Economic Behavior (2024), 146, pp.292-307.
Capital Income Jumps and Wealth Distribution
Jess Benhabib, Wei Cui and Jianjun Miao
Quantitative Economics (2024), 15(4), pp.1197-1247
Optimal Accounting Rules, Private Benefits of Control, and Efficient Liquidation
Xu Jiang and Ming Yang
Management Science (2024), 70(9), pp. 6302-6314
Non-cognitive Skills at the Time of COVID-19: An Experiment with Professional Traders and Students
Marco Angrisani, Marco Cipriani, Antonio Guarino, Ryan Kendall, and Julen Ortiz De Zarate Pina
Quarterly Journal of Finance, 14(2)
Lending Relationships and the Collateral Channel
Gareth Anderson, Saleem Bahaj, Matthieu Chavaz, Angus Foulis and Gabor Pinter
Review of Finance (2023), 27(3), pp. 851–887
The Workings of Liquidity Lines between Central Banks
Saleem Bahaj and Ricardo Reis
The Research Handbook of Financial Markets(2023), Chapter 5, pp. 102-124
The Workings of Liquidity Lines between Central Banks
Saleem Bahaj and Ricardo Reis
The Research Handbook of Financial Markets(2023), Chapter 5, pp. 102-124
Central Bank Swaplines: Evidence on the Effect of the Lender of Last Resort
Saleem Bahaj and Ricardo Reis
Review of Economic Studies (2022), 89(4), pp.1654–1693
Coordination and Continuous Stochastic Choice
Stephen Morris and Ming Yang
Review of Economic Studies (2022), 89(5), pp.2687–2722
Venture Capital Contracts
Michael Ewens, Alexander Gorbenko and Arthur Korteweg
The Journal of Financial Economics (2022), 143(1), pp.131-158
Financial Transaction Taxes and the Informational Efficiency of Financial Markets: A Structural Estimation
Marco Cipriani, Antonio Guarino and Andreas Uthemann
Journal of Financial Economics (2022), 146(3), pp.1044-1072
Incentive-Driven Inattention
WP Gaglianone, R Giacomini, J Issler, V Skreta
Journal of Econometrics (2022), 231(1), pp.188-212
Ambiguity in Dynamic Contracts
Martin Szydlowski and Ji Hee Yoon
Journal of Economic Theory (2022), 199, 105229, pp.1-54
Employment and the Residential Collateral Channel of Monetary Policy
Saleem Bahaj, Angus Foulis, Gabor Pinter and Paolo Surico
Journal of Monetary Economics (2022), 131, pp.26-44
Robust Bayesian Inference in Proxy SVARs
Raffaella Giacomini, Toru Kitagawa and Matthew Read
Journal of Econometrics (2022) 228, pp.107-126
Who Should Get Vaccinated? Individualized Allocation of Vaccines over SIR Network
Toru Kitagawa and Guanyi Wang
Journal of Econometrics (2022), 232(1), pp.109-131
The Economics of Liquidity Lines between Central Banks
Saleem Bahaj and Ricardo Reis
Annual Review of Financial Economics (2022), 14, pp.57-74
Macroeconomic Effects of Delayed Capital Liquidation
Wei Cui
Journal of the European Economic Association (2022), 20(4), pp.1683–1742
Narrative Restrictions and Proxies
Raffaella Giacomini, Toru Kitagawa, and Matthew Read
Journal of Business and Economic Statistics (2022), 40, 1415-1425
Uncertain Identification
Raffaella Giacomini, Toru Kitagawa and Alessio Volpicella
Quantitative Economics (2022), 13, pp.95-123
Decomposing Coordination Failure in Stag Hunt Games
Ryan Kendall
Experimental Economics (2022), 25, pp.1109–1145
Testing Identifying Assumptions in Fuzzy Regression Discontinuity Designs
Yoichi Arai, Yu‐Chin Hsu, Toru Kitagawa, Ismael Mourifié and Yuanyuan Wan
Quantitative Economics (2022), 13 (1), pp 1-28
Inference for Losers
Isaiah Andrews, Dillon Bowen, Toru Kitagawa and Adam McCloskey
American Economic Association, Papers and Proceedings, 112, pp.635-642
The Pass-Through of Loan-Loss-Provisioning on Mortgage Lending: Evidence from a Regulatory Change
Mauricio Calani and Manuel Paillacar
Journal of Banking and Finance (2022), 135, 106359.
Exchange Design and Efficiency
Marzena Rostek and Ji Hee Yoon
Econometrica (2021), 89, pp.2887-2928
Robust Bayesian Inference for Set-Identified Models
Raffaella Giacomini and Toru Kitagawa
Econometrica (2021), 89, pp.1519-1556
Quantitative Easing with Heterogeneous Agents
Wei Cui and Vincent Sterk
Journal of Monetary Economics (2021), 123, pp.68-90
Default Cycles
Wei Cui and Leo Kaas
Journal of Monetary Economics (2021), 117, pp.377-394
Inference after Estimation of Breaks
Isaiah Andrews, Toru Kitagawa and Adam McCloskey
Journal of Econometrics (2021), 224 (1), pp 39-59
The Identification Region of the Potential Outcome Distributions under Instrument Independence
Toru Kitagawa
Journal of Econometrics (2021), 225 (2), pp.231-253
Equality-Minded Treatment Choice
Toru Kitagawa and Aleksey Tetenov
Journal of Business and Economic Statistics (2021), 39 (2), pp. 561-574
Sequential Competitions with a Middle-Mover Advantage
Ryan Kendall
Journal of Behavioral and Experimental Economics (2021), 91, 101667
Do the Rules to Select Rules Matter? An Experimental Analysis of Voting Rule Selection
Kaisa Herne, Ryan Kendall, Katri Sieberg and Maria Maunula
Munich Social Science Review (2021), 4, pp.55-92
Information Redundancy Neglect versus Overconfidence: A Social Learning Experiment
Marco Angrisani, Antonio Guarino, Philippe Jehiel and Toru Kitagawa
American Economic Journal: Microeconomics (2021), 13(3), pp.163-197
Home Values and Firm Behaviour
Saleem Bahaj, Angus Foulis and Gabor Pinter
American Economic Review (2020), 110(7), pp.2225-2270
Optimality of Debt under Flexible Information Acquisition
Ming Yang
The Review of Economic Studies (2020), 87(1), pp.487-536
The Forced Safety Effect: How Higher Capital Requirements Can Increase Bank Lending
Saleem Bahaj and Frederic Malherbe
Journal of Finance (2020), 75(6), pp.3013-3053
Pipeline Risk in Leveraged Loan Syndication
Max Bruche, Frederic Malherbe, and Ralf Meisenzhal
Review of Financial Studies (2020), 33(12), pp.5660-5705
Sovereign Spreads in the Euro Area: Cross Border Transmission and Macroeconomic Implications
Saleem Bahaj
Journal of Monetary Economics (2020), 110, pp.116-135
Posterior Distribution of Nondifferentiable Functions
Toru Kitagawa, José Luis Montiel Olea, Jonathan Payne and Amilcar Velez
Journal of Econometrics (2020), 217 (1), pp 161-175
Optimal Capital Requirements over the Business and Financial Cycles
Frederic Malherbe
American Economic Journal: Macroeconomics (2020), 12(3), pp.139-74
Heterogeneity, Inattention, and Bayesian Updates
American Economic Journal: Macroeconomics (2020), 12(1), pp.282-309
Central Bank Swap Lines During the Covid-19 Pandemic
Saleem Bahaj and Ricardo Reis
Covid Economics (2020), 2(8)
Decomposing Democracy: A Comment on “The Future Viability of the Dutch Democracy: A Model Case”
Ryan Kendall
Munich Social Science Review (2020), 3, pp.81-92
Optimal Incentive Contract with Endogenous Monitoring Technology
Anqi Li and Ming Yang
Theoretical Economics (2020), 15(3), pp.1135-1173
How Do Valuations Impact Outcomes of Asset Sales with Heterogeneous Bidders?
Alexander Gorbenko
The Journal of Financial Economics (2019), 131(1), pp.88-117
Financing Entrepreneurial Production: Security Design with Flexible Information Acquisition
Ming Yang and Yao Zeng
The Review of Financial Studies (2019), 32(3), pp.819-863
Search-based Endogenous Asset Liquidity and the Macroeconomy
Wei Cui and Sören Radde
Journal of the European Economic Association (2019), 18(5), pp.2221-2269
Mostly Harmless Simulations? Using Monte Carlo Studies for Estimator Selection
Arun Advani, Toru Kitagawa and Tymon Słoczyński
Journal of Applied Econometrics (2019), 34, pp.893-910
Who Should be Treated? Empirical Welfare Maximization Methods for Treatment Choice
Toru Kitagawa and Aleksey Tetenov
Econometrica (2018), 86(2), pp.591-616
The Timing and Method of Payment in Mergers when Acquirers are Financially Constrained
Alexander Gorbenko and Andrey Malenko
The Review of Financial Studies (2018), 31(10), pp.3937-3978
Get Rid of Unanimity Rule: The Superiority of Majority Rules with Veto Power
Laurent Bouton, Aniol Llorente-Saguer, and Frederic Malherbe
Journal of Political Economy (2018), 126(1), pp.107-149.
The Fiscal Theory of the Price Level in a World of Low Interest Rates
Marco Bassetto and Wei Cui
Journal of Economic Dynamics and Control (2018), 89, pp.5-22
Informational Contagion in the Laboratory
Marco Cipriani, Antonio Guarino, Giovanni Guazzarotti, Federico Tagliati and Sven Fischer
Review of Finance (2018), 22(3), pp.877-904
Bayesian Estimation of State Space Models Using Moment Conditions
Ronald Gallant, Raffaella Giacomini and Giuseppe Ragusa
Journal of Econometrics (2017), 201, pp.198-211
Unanimous Rules in the Laboratory
Laurent Bouton, Aniol Llorente-Saguer, and Frederic Malherbe
Games and Economic Behavior (2017), 102, pp.179-198.
Macroprudential Policy under Uncertainty
Saleem Bahaj and Angus Foulis
International Journal of Central Banking (2017), pp.119-154
Anchoring the Yield Curve Using Survey Expectations
Carlo Altavilla, Raffaella Giacomini and Giuseppe Ragusa
Journal of Applied Econometrics (2017), 32, pp.1055-1068
Aligning Democracy: A Comment on Bruno S. Frey’s
Ryan Kendall
Homo Oeconomicus (2017), 34, pp.243-251
Stress Induces Contextual Blindness in Lotteries and Coordination Games
Isabelle Brocas, Juan Carrillo and Ryan Kendall
Frontiers in Behavioral Neuroscience (2017), 11
Properties of Optimal Accounting Rules in a Signaling Game
Xu Jiang and Ming Yang
Journal of Accounting and Economics (2017), 63(2-3), pp.499-512
Money and Asset Liquidity in Frictional Capital Markets
Wei Cui and Sören Radde
American Economic Review (2016), 106(5), pp.496-502
Informed Seller with Taste Heterogeneity
F Koessler, V Skreta
Journal of Economic Theory (2016), 165, pp.456-471
Model Averaging in Semiparametric Estimation of Treatment Effects
Toru Kitagawa and Chris Muris
Journal of Econometrics (2016), 193(1), pp.271-289
Monetary-Fiscal Interactions with Endogenous Liquidity Frictions
Wei Cui
European Economic Review (2016), 98, pp.1-25
Modeling Corporate Defaults: Poisson Autoregressions with Exogeneous Covariates (PARX)
Agosto, G. Cavaliere, D. Kristensen and A. Rahbek
Journal of Empirical Finance (2016), 38, pp.640-663.
Business Cycle and Credit Risk Modeling with Jump Risks
B.G. Jang, Y. Rhee, and J. H. Yoon
Journal of Empirical Finance (2016), 39, pp.15-36.
Model Comparisons in Unstable Environments
Raffaella Giacomini and Barbara Rossi
International Economic Review (2016), 57, pp.369-392
Crime, Punishment, and Evolution in an Adversarial Game
Michael McBride, Ryan Kendall, Maria D’Orsogna and Martin Short
European Journal of Applied Mathematics (2016), 27(3), pp.317-337
A Test for Instrument Validity
Toru Kitagawa
Econometrica (2015), 83(5), pp.2043-2063
Coordination with Flexible Information Acquisition
Ming Yang
Journal of Economic Theory (2015), 158, pp.721-738
ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models
M. Creel and D. Kristensen
Journal of Empirical Finance (2015), 31, pp.85-108.
Forecasting in Nonstationary Environments
Raffaella Giacomini and Barbara Rossi
Annual Review of Economics (2015), 7, pp.207-229
Estimating a Structural Model of Herd Behavior in Financial Markets
Marco Cipriani and Antonio Guarino
American Economic Review (2014), 104(1), pp.224-51
Self-fulfilling Liquidity Dry-ups
Frederic Malherbe
Journal of Finance (2014), 69, pp.947-970.
Strategic and Financial Bidders in Takeover Auctions
Alexander Gorbenko and Andrey Malenko
The Journal of Finance (2014), 69(6), pp.2513-2555
Theory-Coherent Forecasting
Raffaella Giacomini and Giuseppe Ragusa
Journal of Econometrics (2014), 182, pp.145-155
Bond Returns and Market Expectations
C. Altavilla, R. Costantini and R. Giacommini
Journal of Financial Econometrics (2014), 12, pp.708-729
Instrumental Variables Before and LATEr
Toru Kitagawa
Statistical Science (2014), 29(3), pp.359-362
CDS Auctions
Mikhail Chernov, Alexander Gorbenko and Igor Makarov
The Review of Financial Studies (2013), 26(3), pp.768-805
Financial Contagion in the Laboratory: The Cross-Market Rebalancing Channel
Marco Cipriani, Antonio Guarino and Gloria Gardenal
Journal of Banking and Finance (2013), 37(11), pp.4310-4326
Financial Contagion
Robert Kollmann and Frederic Malherbe
In: Gerard Caprio (ed.), Handbook of Safeguarding Global Financial Stability (2013), 2, pp.139-143
Criminal Defectors Lead to the Emergence of Cooperation in an Experimental, Adversarial Game
Maria D’Orsogna, Ryan Kendall, Michael McBride and Martin Short
PloS one (2013), 8(4), e61458
A Warp-Speed Method for Conducting Monte Carlo Experiments Involving Bootstrap Estimators
Raffaella Giacomini, Dimitris Politis and Halbert White
Econometric Theory (2013), 29, pp.567-589
Social Learning with Coarse Inference
Antonio Guarino & Philippe Jehiel
American Economic Journal: Microeconomics (2013), 5(1), pp.147-174
Optimal Interventions in Markets with Adverse Selection
T Philippon, V Skreta
American Economic Review (2012), 102 (1), pp.1-28
Testing Conditional Factor Models
A. Ang and D. Kristensen
Journal of Financial Economics (2012) 106, pp.132-156.
A Bayesian Approach to Experimental Analysis: Trading in a Laboratory Financial Market
Marco Cipriani, Riccardo Costantini and Antonio Guarino
Review of Economic Design (2012), 16(2), pp.175-191
Competition among Sellers in Securities Auctions
Alexander Gorbenko and Andrey Malenko
American Economic Review (2011), 101(5), pp.1806-1841
Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models
D. Kristensen and A. Mele
Journal of Financial Economics (2011), 102, pp.390–415.
How Useful Are No-Arbitrage Restrictions for Forecasting the Term Structure
A. Carriero and R. Giacommini
Journal of Econometrics (2011), 164, pp.21-34
An Analytic Valuation Method for Multivariate Contingent Claims with Regime-Switching Volatilities
Ji Hee Yoon, Bong-Gyu Jang and Kum-Hwan Roh
Operation Research Letters (2011), 39, pp.180-187
No-Trade in the Laboratory
Marco Angrisani, Antonio Guarino, Steffen Huck and Nathan Larson
The B.E. Journal of Theoretical Economics (2011), 11(1), pp.1-58
Aggregate Information Cascades
Antonio Guarino, Heike Harmgart and Steffen Huck
Games and Economic Behavior (2011), 73(1), pp.167-185
Temporary vs Permanent Shocks: Explaining Corporate Financial Policies
Alexander Gorbenko and Ilya A. Strebulaev
The Review of Financial Studies (2010), 23(7), pp.2591-2647
Analytic Valuation Formulas for Range Notes and an Affine Term Structure Model with Jump Risks
Bong-Gyu Jang and Ji Hee Yoon
Journal of Banking and Finance (2010), 34, pp.2132-2145
Forecast Comparisons in Unstable Environments
Raffaella Giacomini and Barbara Rossi
Journal of Applied Econometrics (2010), 25, pp.595-620
Bayesian Social Learning with Local Interactions
Antonio Guarino & Antonella Ianni
Games (2010), 1(4), pp.1-21
Detecting and Predicting Forecast Breakdowns
Raffaella Giacomini and Barbara Rossi
Review of Economic Studies (2009), 76, pp.669-705
Ratings Shopping and Asset Complexity: A Theory of Ratings Inflation
V Skreta, L Veldkamp
Journal of Monetary Economics (2009), 56(5), pp.678-695
Herd Behavior in Financial Markets: An Experiment with Financial Market Professionals
Marco Cipriani and Antonio Guarino
Journal of the European Economic Association (2009), 7(1), pp.206-233
Estimation of Partial Differential Equations with Applications in Finance
D. Kristensen
Journal of Econometrics (2008), 144, pp.392–408
Mixtures of T-Distributions for Finance and Forecasting
A. Gottschling, C. Haefke, R. Giacommini and H. White
Journal of Econometrics (2008), 144, pp.175-192
Herd Behavior and Contagion in Financial Markets
Marco Cipriani and Antonio Guarino
The B.E. Journal of Theoretical Economics (2008), 8(1)
Transaction Costs and Informational Cascades in Financial Markets
Marco Cipriani and Antonio Guarino
Journal of Economic Behavior & Organization (2008), 68(3-4), pp.581-592
Comparing Density Forecasts via Weighted Likelihood Ratio Tests
Gianni Amisano and Raffaella Giacomini
Journal of Business and Economic Statistics (2007), 25, pp.177-190
Tests of Conditional Predictive Ability
Raffaella Giacomini and Halbert White
Econometrica (2006), 74, pp.1545-1578
How Stable Is the Forecasting Performance of the Yield Curve for Output Growth?
Raffaella Giacomini and Barbara Rossi
Oxford Bulletin of Economics and Statistics (2006), 68, pp.783-795
Averting Economic Collapse and the Solipsism Bias
Antonio Guarino, Steffen Huck and Thomas Jeitschko
Games and Economic Behavior (2006), 57(2), pp.264-285
Herd Behavior in a Laboratory Financial Market
Marco Cipriani and Antonio Guarino
American Economic Review (2005), 95(5), pp.1427-1443
Noise Trading in a Laboratory Financial Market: A Maximum Likelihood Approach
Marco Cipriani and Antonio Guarino
Journal of the European Economic Association (2005), 3(2-3), pp.315-321
Evaluation and Combination of Conditional Quantile Forecasts
Raffaella Giacomini and Ivana Komunjer
Journal of Business and Economic Statistics (2005), 23, pp.416-431
Aggregation of Space-Time Processes
Raffaella Giacomini and Clive Granger
Journal of Econometrics (2004), 118, pp.7-26
Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach
A. Jeffrey, D. Kristensen O. Linton, T. Nguyen & P.C.B. Phillips
Journal of Financial Econometrics (2004), 2(2), pp.251–289.