This paper analyzes prudential controls on capital flows to emerging markets from the perspective of a Pigouvian tax that addresses externalities associated with the deleveraging cycle. It presents a model in which restricting capital inflows during boom times reduces the potential outflows...

We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. Our analysis exploits a unique dataset, which allows us to compare environments with and without high-frequency competition, and contains an exogenous event - a tick size...

I study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. The analysis exploits a unique dataset, which allows comparing environments with and without high-frequency competition, and contains an exogenous event - a tick size reform...

The trading of interest rate derivatives in over-the-counter (OTC) markets more than doubled between 2016 and 2019, significantly outpacing the growth of trading on exchanges. This rapid expansion was driven by three factors. First, non-market facing trades, such as back-to-back deals and...

We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. Our analysis exploits a unique dataset, which allows us to compare environments with and without high-frequency competition, and contains an exogenous event - a tick size...

Global liquidity refers to the volumes of financial flows—largely intermediated through global banks and non-bank financial institutions—that can move at relatively high frequencies across borders. The amplitude of responses to global conditions like risk sentiment, discussed in the context...

Measures have recently been proposed to restrict trading in crude oil and gasoline. This proposal is based on the presumption that market speculators are artificially raising the prices of these products; in other words, that the market is being manipulated. In this short note I will review the...

The first stock exchanges involved government. The modern stock exchange is strangely devoid of government presence, at least in terms of the decision to halt trading. Meanwhile, over two-hundred billion dollars trades each day on the New York Stock Exchange, one of thirteen recognized domestic...

The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...

Banking and financial industry participants, analysts, and policy makers appreciate the fact that foreign banks play an important role in the U.S. financial system, but many lack a precise understanding of the size, composition, and impact of the foreign banking sector. In large measure, that...