NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Marco Cipriani

Federal Reserve Bank of New York
33 Liberty Street
New York, NY 10045

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Institutional Affiliation: Federal Reserve Bank of New York

NBER Working Papers and Publications

November 2019Endogenous Leverage and Default in the Laboratory
with Ana Fostel, Daniel Houser: w26469
We study default and endogenous leverage in the laboratory. To this purpose, we develop a general equilibrium model of collateralized borrowing amenable to laboratory implementation and gather experimental data. In the model, leverage is endogenous: agents choose how much to borrow using a risky asset as collateral, and there are no ad-hoc collateral constraints. When the risky asset is financial, namely, its payoff does not depend on ownership (such as a bonds), collateral requirements are high and there is no default. In contrast, when the risky asset is non-financial, namely, its payoff depends on ownership (such as a firm), collateral requirements are lower and default occurs. The experimental outcomes are in line with the theory's main predictions. The type of collateral, whether fina...
October 2006Volatility in International Financial Market Issuance: The Role of the Financial Center
with Graciela L. Kaminsky: w12587
We study the pattern of volatility of gross issuance in international capital markets since 1980. We find several short-lived episodes of high volatility. Over the long run, however, volatility has declined, suggesting that international financial integration has not made financial markets more erratic. We use VAR analysis to examine the determinants of the time-varying pattern of volatility, focusing in particular on the role of financial centers. Our results suggest that a significant portion of the decline in volatility of issuance in international capital markets can be explained by the reduction in the volatility of U.S. interest rates.

Published: Marco Cipriani & Graciela Kaminsky, 2007. "Volatility in International Financial Market Issuance: The Role of the Financial Center," Open Economies Review, Springer, vol. 18(2), pages 157-176, April. citation courtesy of

 
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