G - Financial Economics

• Cheap But Flighty: How Global Imbalances Create Financial Fragility

  Staff Working Paper 2015-33 Enrico Perotti, Toni Ahnert

  We analyze how a wealth shift to emerging countries may lead to instability in developed countries. Investors exposed to expropriation risk are willing to pay a safety premium to invest in countries with good property rights.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability JEL Code(s): F, F3, G, G2

• Quantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach

  Staff Working Paper 2015-32 Kartik Anand, Céline Gauthier, Moez Souissi

  We propose a tractable, model-based stress-testing framework where the solvency risks, funding liquidity risks and market risks of banks are intertwined.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability, Financial system regulation and policies JEL Code(s): C, C7, C72, E, E5, E58, G, G0, G01, G2, G21, G28