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Papers

Read the latest research from VRI faculty members

Financial Risk

  • Acharya, Viral, "Quest for Restoring Financial Stability in India", SAGE India Publishing, July 2020.
  • Acharya, Viral, Bjorn Imbierowicz, Sascha Steffen and Daniel Teichmann. “Does the Lack of Financial Stability Impair the Transmission of Monetary Policy?” November 2015, revised November 2019, forthcoming, Journal of Financial Economics.
  • Acharya, Viral and Arvind Krishnamurthy. "Capital Flow Management with Multiple Instruments," 2019, Central Banking, Analysis, and Economic Policies Book Series, in: Álvaro Aguirre & Markus Brunnermeier & Diego Saravia (ed.), Monetary Policy and Financial Stability: Transmission Mechanisms and Policy Implications, Edition 1, Volume 26, Chapter 6, pages 169-203, Central Bank of Chile.
  • Acharya, Viral and Lasse Pedersen, “Economics with Market Liquidity Risk,” forthcoming, Critical Financial Review.
  • Acharya, Viral, Tim Eisert, Christian Eufinger, and Christian Hirsch, “Whatever It Takes: The Real Effects of Unconventional Monetary Policy,” Review of Financial Studies, 2019, 32(9): 3366-3411.
  • Adler, Barry with Vedran Capkun. “Debt-Equity Conflict and the Incidence of Secured Credit.” The Journal of Law and Economics. Volume 62, Number 3 (2020).
  • Altman, Edward I., Maurizio Esentato, and Gabriele Sabato. "Assessing the credit worthiness of Italian SMEs and mini-bond issuers." Global Finance Journal 43 (2020): 100450.
  • Altman, Edward I. “A fifty-year retrospective on credit risk models, the Altman Z-score family of models and their applications to financial markets and managerial strategies.” Journal of Credit Risk 14(4), 1–34.
  • Altman, Edward I. “The Anatomy of Distressed Debt Markets.” Annual Review of Financial Economics. 2019. 11:21–37.
  • Berner, Richard and Kathryn Judge, “The Data Standardization Challenge,” in Systemic Risk in the Financial Sector: Ten Years After the Great Crash, edited by Douglas W. Arner, Emilios Avgouleas, Danny Busch and Steven L. Schwarcz (CIGI Press, 2019)
  • Berner, Richard, Kermit Schoenholtz, and Lawrence White, “Lowering the bar on financial regulation is fraught with risk,” American Banker, June 27, 2019.
  • Berner, Richard, Kermit Schoenholtz, and Lawrence White, “Here’s how the SEC should decide if companies should report earnings only every 6 months,” MarketWatch, March 16, 2019.
  • Dhar, V., and Weber, B., Digital Finance: Striking the Right Balance between Machine Intelligence and Human Decision-Making, Journal of Digital Banking, to appear.
  • Engle, Robert, with Ahmet K. Karagozoglu, Asger Lunde, and Martin Klint Hansen, “News and Idiosyncratic Volatility: The Public Information Processing Hypothesis Journal of Financial Econometrics, Volume 19, Issue 1, Winter 2021, Pages 1–38.
  • Engle, Robert, with Cavit Pakel, Neil Shephard, Kevin Sheppard, “Fitting Vast Dimensional Time-Varying Covariance Models,” Journal of Business & Economic Statistics (2020), 1-17.
  • Engle, Robert, and Tianyue Ruan. "Measuring the probability of a financial crisis." Proceedings of the National Academy of Sciences 116.37 (2019): 18341-18346.
  • Halaburda, Hanna with Tony Haitao Cui, Anindya Ghose, Raghuram Iyengar, Koen Pauwels, S. Sriram, Catherine Tucker and Sriramanwith Venkataraman. "Challenges in Omnichannel Marketing: Remedies and Future Research," , Journal of Marketing 85, no. 1 (2021): 103-120
  • Halaburda, Hanna with Yannis Bakos and Christoph Mueller-Bloch, "When Permissioned Blockchains Deliver More Decentralization Than Permissionless," Communications of ACM 64 (February 2021): 20-22
  • King, Lord Mervyn, “Monetary policy in a world of radical uncertainty,” Institute of International Monetary Research, January 2022
  • King, Lord Mervyn, and John Kay, Radical Uncertainty: Decision-making beyond the Numbers, W.W. Norton 2020.
  • King, Lord Mervyn, The End of Alchemy: Money, Banking and the Future of the Global Economy, W.W Norton and Company Inc., 2016.
  • Kolm, PN and A Grealish. “Robo-Advisors Today and Tomorrow: Investment Advice Is Just an App Away,” The Journal of Wealth Management, Fall 2021.
  • Kolm, PN and G Ekster. “Alternative Data in Investment Management: Usage, Challenges, and Valuation.” The Journal of Financial Data Science, Fall 2021.
  • Kolm, PN and S Purushothaman. “Pricing and Systematic Trading of Municipal Bonds,” To appear in Journal of Financial Data Science, Winter 2022.
  • Kolm, PN and JN Du, M Jin, PN Kolm, G Ritter, Y Wang, B Zhang. “Practical Applications of Deep Reinforcement Learning for Option Replication and Hedging,” Practical Applications 9 (1), 1-8 2021.
  • Kolm, PN and G Ritter, J Simonian, “Black–Litterman and Beyond: The Bayesian Paradigm in Investment Management,” The Journal of Portfolio Management 47 (5), 91-113 4 2021.
  • Kolm, PN and N Westray, “What Happened to the Rest? A Principled Approach to Clean-Up Costs in Algorithmic Trading,” appeared in Risk Magazine, Sept. 2021
  • Kolm, PN and EL Peter Nystrup, “Feature selection in jump models,” Expert Systems with Applications 184, 115558 1* 2021.
  • Kolm, Petter and Du, Jiayi, Muyang Jin, Gordon Ritter, Yixuan Wang, and Bofei Zhang, "Deep Reinforcement Learning for Option Replication and Hedging." The Journal of Financial Data Science (2020).
  • Kolm, Petter and Gordon Ritter, “Dynamic Replication and Hedging: A Reinforcement Learning Approach,” The Journal of Financial Data Science. Winter 2019, 1 (1) 159-171.
  • Ingo Walter, “Sense and Nonsense In ESG Ratings,” Journal of Law, Finance and Accounting, September 2020.
  • Walter, Ingo with Clive Lipshitz. “Seeking Sustainability in American Public Employee Pension Systems,” Journal of Portfolio Management, October 2020.
  • Walter, Ingo with Clive Lipshitz. “Public Pension Reform and the 49th Parallel: Lessons From Canada for the U.S.” Financial Institutions, Instruments and Markets, November 2020. 
  • Miller, Geoffrey Parsons, “The Law of Governance, Risk Management, and Compliance” (Wolters Kluwer 3d ed., 2020; 2d., 2017; 1st ed., 2014).
  • Philippon, Thomas, Viral Acharya, Lasse Pedersen, and Matthew Richardson “Measuring Systemic Risk,” Review of Financial Studies, 2017.
  • Pinedo, Michael with Yuqian Xu, Lingjiong Zhu. (2020) Operational Risk Management: A Stochastic Control Framework with Preventive and Corrective Controls. Operations Research 68(6):1804-1825.
  • Pinedo, Michael with Baile Lu, Shuai Hao, and Yuqian Xu. (2021) Frontiers in Service Science: Fintech Operations—An Overview of Recent Developments and Future Research Directions. Service Science 13(1):19-35.
  • Richardson, Matthew, "Regulating Wall Street: The Dodd-Frank Act," Economic Perspectives, Federal Reserve Bank of Chicago, 2012, 36: 85-97.
  • Schoenholtz, Kermit, Stephen Cecchetti, Michael Feroli, Peter Hooper, and Anil Kashyap, "Deflating Inflation Expectations: The Implications of Inflation's Simple Dynamics". Presented at the US Monetary Policy Forum (March 2017).
  • Stroebel, Johannes with Stefano Giglio, Matteo Maggiori, and Stephen Utkus. “Five Facts about Beliefs and Portfolios.” American Economic Review, forthcoming.
  • Stroebel, Johannes with Michael Bailey, Drew Johnston, Theresa Kuchler, Dominic Russel, and Bogdan State. “The Determinants of Social Connectedness in Europe,” Forthcoming at Social Informatics, 2020.
  • Stroebel, Johannes with Michael Bailey, Patrick Farrell, and Theresa Kuchler. “Social Connectedness in Urban Areas,” Journal of Urban Economics, 118 (103264), July 2020.
  • Subrahmanyam Marti, with S.M. Bartram, J.Conrad and J. Lee. "Credit Default Swaps around the World: Investment and Financing Effects," Review of Financial Studies, forthcoming, 2021.         
  • Subrahmanyam Marti, with M. Arnold and M. Pelster. "Attention Triggers and Investors’ Risk-Taking,” Journal of Financial Economics, forthcoming, 2021.
  • Subrahmanyam Marti, with R. Jankowitsch and G. Ottonello. "The New Rules of the Rating Game: Market Perception of Corporate Ratings," Review of Corporate Finance Studies, forthcoming, 2022.
  • Subrahmanyam Marti, with M. Chan, J. Cherian, Z. Li, and Y. Shao "Clientele Effect in Sovereign Bonds: Evidence from Malaysia," Critical Finance Review, forthcoming, 2022.
  • Subrahmanyam Marti, with A. Eisl, C. Ochs and J. Staghøj. "Sovereign Issuers, Incentives and Liquidity: An Event Study of the Danish Sovereign Bond Market," Journal of Banking and Finance, forthcoming, 2022.
  • Subrahmanyam Marti, with S. Basak, D. Makarov, and A. Shapiro. "Security Design with Status Concerns," Journal of Economic Dynamics and Control, forthcoming.
  • White, Lawrence J. “The Dead Hand of Cellophane and the Federal Google and Facebook Antitrust Cases: Market Delineation Will Be Crucial” The Antitrust Bulletin 2022, Vol. 67(1) 113–129.
  • White, Lawrence J. "A “primarily property” presumption is—still—really needed for the IP/antitrust interface." Review of Industrial Organization 56, no. 4 (2020): 715-737
  • Whitelaw, Robert, and Carpenter, Jennifer N., Fangzhou Lu, "The real value of China’s stock market." 2021, Journal of Financial Economics, Vol. 139, No. 3, pp. 679-696.
  • Whitelaw, Robert, with Choi, Jaewon, Matthew Richardson. "On the interest rate sensitivity of corporate securities." 2021, Review of Asset Pricing Studies, forthcoming.
  • Zin, Stanley, David K. Backus, and Axelle Ferriere, “Risk and Ambiguity in Models of Business Cycles,” Journal of Monetary Economics, January 2015 (Carnegie Rochester Conference on Public Policy).

Cyber Risk

  • Arcelus, Almudena, Brian Ellman, and Randal S. Milch. "How Much is Data Security Worth?" Scitech Lawyer 15.3 (2019): 10-15.
  • Amoroso, Edward, Cyber Attacks: Protecting National Infrastructure. Elsevier, 2012.
  • Bakos, Yannis and Halaburda, Hanna, "Platform Competition with Multi-homing on Both Sides: Subsidize or Not?", Management Science, forthcoming
  • Berner, Richard, “How to Focus Cybersecurity Efforts on Financial Stability,” February 15, 2017, OFR Blog.
  • Germano, Judith, “Cybersecurity Risk & Responsibility in the Water Sector,” American Water Works Association, 2019.
  • Germano, Judith, “Third-Party Cyber Risk & Corporate Responsibility,” Center for Cybersecurity, 2017.
  • Germano, Judith, and Zachary Goldman. "After the Breach: Cybersecurity Liability Risk." The Center on Law and Security, New York University School of Law (2014).
  • Germano, Judith. "Cybersecurity Partnerships: A New Era of Public-Private Collaboration" NYU Center on Law and Security (2014).
  • Halaburda, Hanna, Guillaume Haeringer, Joshua S. Gans, and Neil Gandal. The Microeconomics of Cryptocurrencies. No. w27477. National Bureau of Economic Research, 2020.
  • Halaburda, Hanna and Jullien, Bruno and Yehezkel, Yaron, Dynamic Competition with Network Externalities: Why History Matters (August 2, 2016). RAND Journal of Economics, 2020
  • Memon, Nasir, with Yaqub, Waheeb, Otari Kakhidze, Morgan L. Brockman, and Sameer Patil. "Effects of Credibility Indicators on Social Media News Sharing Intent." In Proceedings of the 2020 CHI Conference on Human Factors in Computing Systems, pp. 1-14. 2020.
  • Memon, Nasir, and Hossein Siadati, “Detecting Structurally Anomalous Logins Within Enterprise Networks,” CCS '17 Proceedings of the 2017 ACM SIGSAC Conference on Computer and Communications Security, p. 1273-1284.

Geopolitical Risk

  • Berner, Richard, Stephen Cecchetti, Kim Schoenholtz, “Russian sanctions: Some questions and answers,” VoxEU, March 21, 2022
  • Engle, Robert, and Cristiano Zazzara, “Systemic Risk in the Financial System: Capital Shortfalls under Brexit, the US Elections and the Italian Referendum,” The Journal of Credit Risk (2018), 14(4):97-120.
  • Philippon, Thomas. The Great Reversal: How America Gave Up on Free Markets. Harvard University Press, 2019.
  • Tucker, Joshua A. and Klašnja, Marko, Noam Lupu. 2021. “When Do Voters Sanction Corrupt Politicians?” Journal of Experimental Political Science 8 (2): 161–71.
  • Tucker, Joshua A. and Asimovic, Nejla, Jonathan Nagler, Richard Bonneau,. 2021. “Testing the effects of Facebook usage in an ethnically polarized setting.” Proceedings of the National Academy of Sciences 118 (25). https://doi.org/10.1073/pnas.2022819118. 
  • Tucker, Joshua A. and Kates, Sean, Jonathan Nagler, and Richard Bonneau. 2021. “The Times They Are Rarely A-Changin’: Circadian Regularities in Social Media Use.” Journal of Quantitative Description: Digital Media 1. https://doi.org/10.51685/jqd.2021.017. 
  • Tucker, Joshua A. and Guess, Andy, Kevin Aslett, Richard Bonneau, and Jonathan Nagler. 2021. “Cracking Open the News Feed: Exploring What U.S. Facebook Users See and Share with Large-Scale Platform Data.” Journal of Quantitative Description: Digital Media 1. https://doi.org/10.51685/jqd.2021.006. 
  • Tucker, Joshua A. and Buntain, Cody, Richard Bonneau, Jonathan Nagler. 2021. “YouTube Recommendations and Effects on Sharing Across Online Social Platforms.” Proceedings of the ACM on Human-Computer Interaction, no. 11, https://doi.org/10.1145/3449085. 
  • Tucker, Joshua A. and Siegel, Alexandra A., Jonathan Nagler, Richard Bonneau. 2021. “Tweeting Beyond Tahrir: Ideological Diversity and Political Tolerance in Egyptian Twitter Networks.” World Politics 73 (2): 243–274.
  • Tucker, Joshua A. and Laruelle, Marlene, Mikhail Alexseev, Cynthia Buckley, Ralph S. Clem, J. Paul Goode, Ivan Gomza, Henry E. Hale, Erik Herron, Andrey Makarychev, Madeline McCann, Mariya Omelicheva, Gulnaz Sharafutdinova, Regina Smyth, Sarah Wilson Sokhey, Mikhail Troitskiy, Judyth Twigg, and Elizabeth Wishnick. 2021. “Pandemic Politics in Eurasia: Roadmap for a New Research Subfield.” Problems of Post-Communism 68 (1): 1–16.
  • Tucker, Joshua A. and Van Bavel, Jay J., Elizabeth Harris, Steve Rathje, Kimberly C. Doell. 2021. “Political Psychology in the Digital (Mis)Information Age.” Social Issues and Policy Review 15 (1): 84–113.
  • Tucker, Joshua A. and Siegel, Alexandra, Evgenii Nikitin, Pablo Barberá, Joanna Sterling, Bethany Pullen, Richard Bonneau, Jonathan Nagler. 2021. “Trumping Hate on Twitter? Online Hate Speech and White Nationalist Rhetoric in the 2016 US Election Campaign and its Aftermath.” Quarterly Journal of Political Science 16 (1): 71–104.
  • Whitelaw, Robert and Jennifer Carpenter, “The Development of China's Stock Market and Stakes for the Global Economy, 2017, Annual Review of Financial Economics, Vol. 9, pp. 233-257.

Climate Risk

  • Camuzeaux, Jonathan, Thomas Sterner, and Gernot Wagner. “India in the coming ‘climate G2’?” National Institute Economic Review No. 251 (5 February 2020): pp. R3-12.
  • Engle, Robert, Stefano Giglio, Heebum Lee, Bryan Kelly and Johannes Stroebel, “Hedging Climate Change News,” Review of Financial Studies, Volume 33, Issue 3, March 2020, Pages 1184–1216.
  • Revesz, Richard L. "Air Pollution and Environmental Justice." Ecology Law Quarterly (Forthcoming).
  • Revesz, Richard L. "Distributional Consequences and Regulatory Analysis." Environmental Law (Forthcoming). With Samantha P. Yi.
  • Revesz, Richard L. "Presidential Transitions: The New Rules." Yale Journal on Regulation (Forthcoming). With Bethany Davis Noll.
  • Revesz, Richard L. "Mangling the Major Questions Doctrine." Administrative Law (Forthcoming). With Natasha Brunstein.
  • Revesz, Richard L. "The Social Cost of Greenhouse Gases: Legal, Economic, and Institutional Perspective." Yale Journal on Regulation (Forthcoming, conference issue). With Max Sarinsky.
  • Revesz, Richard L. "Poisoning America: The Trump Administration’s Regulatory Shell Game." Environmental Law Journal (Forthcoming, conference issue).
  • Stroebel, Johannes, with Theresa Kuchler, Yan Li, Lin Peng, and Dexin Zhou. “Social Proximity to Capital: Implications for Investors and Firms,” Forthcoming at the Review of Financial Studies.
  • Stroebel, Johannes, with Michael Bailey, Drew Johnston, Theresa Kuchler and Arlene Wong “Peer Effects in Product Adoption,” Forthcoming at the American Economic Journal: Applied Economics.
  • Stroebel, Johannes, with Theresa Kuchler and Dominic Russel. “The geographic spread of COVID-19 correlates with the structure of social networks as measured by Facebook,” Forthcoming at the Journal of Urban Economics.
  • Stroebel, Johannes, with Stefano Giglio and Bryan Kelly. “Climate Finance,” Prepared for the Annual Review of Financial Economics.
  • Stroebel, Johannes, with Robert F Engle, Stefano Giglio, Bryan Kelly, Heebum Lee. “Hedging Climate Change News,” The Review of Financial Studies, Volume 33, Issue 3, March 2020, Pages 1184–1216,
  • Stroebel, Johannes, Stefano Giglio, Matteo Maggiori, and Andreas Weber, “Climate Change and Long-Run Discount Rates: Evidence from Real Estate” forthcoming at the Review of Financial Studies.
  • Stroebel, Johannes, Stefano Giglio, and Matteo Maggiori, “Very Long-Run Discount Rates,” Quarterly Journal of Economics, 130(1), February 2015.
  • Wagner, Gernot and Behrer, A. Patrick R. Jisung Park, Colleen M. Golja, and David W. Keith. “Heat has larger impacts on labor in poorer areas.” Environmental Research Communications 3:9 (15 September 2021). doi: 10.1088/2515-7620/abffa3
  • Wagner, Gernot and Dietz, Simon, James Rising, Thomas Stoerk. “Economic impacts of tipping points in the climate system,” PNAS (24 August 2021).
  • Wagner, Gernot and Daniel Zizzamia “Green Moral Hazards.” Ethics, Policy & Environment (15 July 2021).
  • Wagner, Gernot. “Recalculate the social cost of carbon.” Nature Climate Change (29 March 2021).
  • Wagner, Gernot, David Anthoff, Maureen Cropper, Simon Dietz, Kenneth T. Gillingham, Ben Groom, J. Paul Kelleher, Frances C. Moore & James H. Stock. “Eight priorities for calculating the social cost of carbon.” Nature 590: 548-50 (25 February 2021).
  • Wagner, Gernot and Jenkins, Jesse D., Leah Stokes (Eds). “Carbon Pricing and Innovation in a World of Political Constraints.” Workshop Report (2020).
  • Wagner, Gernot and Fabre, Adrien. “Availability of risky geoengineering can make an ambitious climate mitigation agreement more likely.” Humanities & Social Sciences Communications 7:1 (17 June 2020).
  • Wagner, Gernot, Robert Litterman, and Kent Daniel. "Declining CO2 price paths," Proceedings of the National Academy of Sciences, 2019.
  • Whelan, Tensie with Elyse Douglas. “How to Talk to Your CFO About Sustainability: Use this tool for measuring the financial return on ESG activities.” Harvard Business Review (2021).
  • Whelan, Tensie “Boards Are Obstructing ESG — at Their Own Peril” Harvard Business Review (2021).
  • Whelan, Tensie, and Van Holt, Tracy, Matt Statler, Ulrich Atz, Mara van Loggerenberg, and James Cebulla. "The cultural consensus of sustainability‐driven innovation: Strategies for success." Business Strategy and the Environment (2020).
  • Whelan, Tensie, and Zeidan, Rodrigo, Tracy Van Holt. "Existence inductive theory building and coordination failures for less unsustainable beef production." Journal of Cleaner Production (2020): 122137.

Pandemic Risk

  • Acharya, Viral. “Covid-19 Containment Measures and Expected Stock Volatility: High-frequency Evidence From Selected Advanced Economies.” (Published by the Center for Economic Policy Research)
  • Acharya, Viral, Sascha Steffen, “The risk of being a fallen angel and the corporate dash for cash in the midst of COVID,” forthcoming in Review of Corporate Financial Studies.
  • Acharya, Viral, Sascha Steffen, "Stress Test" for Banks as Liquidity Providers in a time of COVID,” published on voxeu.org.
  • Altman, Edward, "COVID-19 And The Credit Cycle," Journal of Credit Risk, 16(2): 1-28.
  • Epstein, Joshua, and Cedeno-Mieles, V., Hu, Z., Ren, Y. et al. Networked experiments and modeling for producing collective identity in a group of human subjects using an iterative abduction framework. Soc. Netw. Anal. Min. 10, 11 (2020)
  • Epstein, Joshua, and Probst, C., Vu, T. M., Nielsen, A. E., Buckley, C., Brennan, A., ... & Purshouse, R. C. (2020). The normative underpinnings of population-level alcohol use: an individual-level simulation model. Health Education & Behavior, 47(2), 224-234.
  • Philippon, Thomas, with Callum Jones and Venky Venkateswaran, “Optimal Mitigation Policies in a Pandemic.” RFS, forthcoming 2021.
  • Philippon, Thomas, with Jones, Callum J., and Venky Venkateswaran. “Optimal mitigation policies in a pandemic: Social distancing and working from home.” National Bureau of Economic Research, 2020.
  • Philippon, Thomas, with Blanchard, Olivier, and Jean Pisani-Ferry. "A new policy toolkit is needed as countries exit COVID-19 lockdowns." Peterson Institute for International Economics Policy Brief (2020).
  • Schoenholtz, Kermit L.  and Cecchetti, Stephen G. "7 Contagion: Bank runs and COVID-19." Economics in the Time of COVID-19 (2020): 77.
  • Subrahmanyam Marti, with P. Augustin, V. Sokolovski, and D. Tomio. "In Sickness and in Debt: The COVID-19 Impact on Sovereign Credit Risk," Journal of Financial Economics, forthcoming, 2021.
  • Tucker, Joshua and Van Bavel, Jay J., Katherine Baicker, Paulo S. Boggio, Valerio Capraro, Aleksandra Cichocka, Mina Cikara, Molly J. Crockett, et al. "Using social and behavioural science to support COVID-19 pandemic response." Nature Human Behaviour (2020): 1-12.