We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using ...
In late December 1973, the United States enacted what some would come to call “the pitbull of environmental laws.” In the 50 years since, the formidable regulatory teeth of the Endangered Species Act (ESA) have been credited with considerable successes, ob ...
American Association for the Advancement of Science2023
In this article, we review the growing literature on financial technology (FinTech) lending-the provision of credit facilitated by technology that improves the customer-lender interaction or used in lenders' screening and monitoring of borrowers. FinTech l ...
In energy policy, energy efficiency constitutes a central element in reducing domestic and, specifically, industrial en-ergy use. Unfortunately, the effectiveness of energy efficiency improvements in achieving its targets is known to be limited by rebound ...
After the financial crisis, policy rates in the major advanced economies have moved downwards to near/below zero. Some countries have experienced an increase in house prices and an expansion of mortgages. Also, there have been considerable changes in the m ...
In standard modelling of energy and climate policies, the speed and extent of energy efficiency improvements (EEIs) are usually assumed to be unaffected, even by policies designed to foster innovation. We model endogenous EEI in a model of the Swiss housin ...
We study the impact of higher bank capital requirements on corporate lending spreads using granular bank- and loan-level data. Our empirical strategy employs the heterogeneity in capital requirements across banks and time of implementation in Switzerland. ...
Innovations in statistical technology, in functions including credit-screening, have raised concerns about distributional impacts across categories such as race. Theoretically, distributional effects of better statistical technology can come from greater f ...
Low-for-long nominal interest rates have resulted in strong growth in mort- gage lending and real house prices in Switzerland. Domestically-oriented, small banks have mostly contributed to this expansion in mortgage lending while the two big, global system ...
This thesis develops three models that study the motivation of various agents to take on debt,
and the impact that excessive financial leverage can have on social welfare.
In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", the ince ...
This paper studies the impact of higher bank capital requirements on corporate lending spreads. We conduct an empirical analysis using granular bank- and loan-level data for Switzerland. Overall, we nd a positive relationship between capital ratios, actual ...
Offshoring research and development (R&D) commonly invokes concerns regarding the loss of high value jobs and a hollowing out of technological capabilities, but it can also benefit domestic firms by enabling them to tap into the global technological fronti ...
The policy response to the recent financial crisis has broadly focused on two themes: 1) Increasing the banking sectorsâ resilience to future financial shocks: 2) Improving credit availability to households and firms via lowering both short and long-term ...
We consider a supply chain with one supplier and one retailer in which the parties develop a quantity flexibility contract to specify the conditions of procurement activities. The contract allows the retailer to adjust the initial order quantity after the ...
We study trade policy in a two-sector Krugman (1980) trade model, allowing for wage, import and export subsidies/taxes. We study non-cooperative trade policies, first for each individual instrument and then for the situation where all instruments can be se ...
This paper studies the potential gains of monetary and macro-prudential policies that lean against house-price and credit cycles. We rely on a model that features Borrowers and Savers and allows for over-borrowing induced by news-shock-driven cycles. We fi ...
A climate treaty like the one which should replace the Kyoto Protocol after 2012, may have important impacts on the oil, gas and coal markets. The full impact of such a treaty will not be felt before 2030. In this paper one uses a computable general equili ...
This thesis comprises three essays on the relationship between innovation and finance. Although previous research has acknowledged the multi-faceted nature of innovation, this thesis unpacks its constituent elements, compares alternative drivers of innovat ...
Studies on preferences for environmental quality usually posit that price and income explain most of the observed choices. However, we argue that conceptions of social norms and the common good are equally important when analyzing environmental voting outc ...
