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

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.