Exchange rates and option prices incorporate market participants' views about the credibility and the effects of exchange rate targets. This paper presents a tractable exchange rate model for the Euro-Swiss franc floor that can be used to price options. The model is estimated with exchange rate...

The drivers of Bitcoin's price fluctuations are studied within a framework based on Cagan's model of hyperinflation. In the model, the price of Bitcoin is driven by stochastic adoption and payments technology, as well as endogenous expectations of future values. The model is estimated with...

Can the presence of nontraded consumption goods explain the high degree of 'home bias' displayed by investor portfolios? We find that the answer is no, so long as individuals have access to free international trade in financial assets. In particular, it is never optimal to exhibit home bias with...

Investors buy non-sovereign stores of value such as gold and bitcoin despite the absence of a yield. This paper presents an equilibrium model for studying investor adoption and the pricing of non-sovereign stores of value. The model is used for the quantitative analysis of historical gold prices...

We measure the cost of consumption fluctuations using an approach that does not require the specification of preferences and instead uses asset prices. We measure the marginal cost of consumption fluctuations, the per unit benefit of a marginal reduction in consumption fluctuations expressed as...

Together with a sense of entering a New Economy, the US experienced in the second half of the 1990s an economic expansion, a stock market boom, a financing boom for new firms and productivity gains. In this paper, we propose an interpretation of these events within a general equilibrium model...

The cumulative additional interest from LIBOR during the crisis is estimated to be between 1% to 2% of the notional amount of outstanding loans, depending on the tenor and type of SOFR rate used. The amount of LIBOR business loans owned by banks could have been as high as about 2trn, and the...

We study the asset pricing implications of an economy where solvency constraints are endogenously determined to deter agents from defaulting while allowing as much risk-sharing as possible. We solve analytically for efficient allocations and for the corresponding asset prices, portfolios...