Using high-frequency data, we estimate and characterize the evolution of the factor structure of global asset returns across aggregate equity, fixed income and exchange rates over the period 2007-2020. We show how the factor structure of asset returns evolves through time, providing clear...

We characterize how risk evolves during a crisis. Using high-frequency data, we find that the first two principal components (PCs) of the covariance matrix of global asset returns experience large, sudden, and temporary spikes coinciding with well-known crises - Covid-19 pandemic, Global...

In my lectures at the annual Rothschild Caesarea Center summit in May this year, the annual convention of the Israel Economic Association, and an evening workshop of the Pinhas Sapir Center for Development, also this year, I made it my goal to shed some light on the way the credit crisis that...

The paper analyzes the financial crisis of through the lens of market failures and regulatory failures. We present a case that there were four primary failures contributing to the crisis: excessive risk-taking in the financial sector due to mispriced government guarantees; regulatory focus on...