Home bias is a perennial feature of international capital markets. We review various
explanations of this puzzling phenomenon highlighting recent developments in …

How does the shadow banking system respond to changes in capital regulation of
commercial banks? We propose a quantitative general equilibrium model with regulated …

How much capital should financial intermediaries hold? We propose a general equilibrium
model with a financial sector that makes risky long‐term loans to firms, funded by deposits …

This paper develops a simple approximation method for computing equilibrium portfolios in
dynamic general equilibrium open economy macro-models. The method is widely …

We develop a new model of the mortgage market that emphasizes the role of the financial
sector and the government. Risk tolerant savers act as intermediaries between risk averse …

This paper presents a general approximation method for characterizing time-varying
equilibrium portfolios in a two-country dynamic general equilibrium model. The method can …

International financial integration helps to diversify risk but also may spread crises across
countries. We provide a quantitative analysis of this trade-off in a two-country general …

We revisit the debate on the benefits of financial integration in a two-country neoclassical
growth model with aggregate uncertainty. The framework accounts simultaneously for gains …

Since October 2008, fixed rates for interest rate swaps with a 30-year maturity have been
mostly below Treasury rates with the same maturity. Under standard assumptions, this …

We prove existence of equilibrium in a continuous‐time securities market in which the
securities are potentially dynamically complete: the number of securities is at least one more …