The Centre for Asset Pricing Research (CAPR) serves as a bridge between academia and the financial industry.
The recent yield curve inversion at the end of 2022 has raised attention to the increased likelihood of a recession. This is because the term structure of interest rates, or yield curve, is known as a predictor of economic activity. Learn more here.
When we look at the amount of people enter or exit the stock market each year, one striking observation is how much it varies over time, and how it responds to the returns. Learn more here.
Bitcoin and other cryptocurrencies are generating significant buzz. Proponents of cryptocurrencies use terminology that might lead us to believe they represent the future of money. Learn more here.
Expanding NBIMs empire to include private equity sounds like fun for an active fund manager. Having fun at your own cost is all well and good, however, having it at somebody else’s cost is not fair. Learn more here.
Two large shocks have rattled the macroeconomy over the past years. First, the pandemic and the international lock-down in early 2020. Second, the spike in inflation and interest rates in late 2021. Learn more here.
Credit, business, and financial market cycles are intricately connected. A recurring pattern observed in data reveals that credit booms often trail economic expansions but serve as early indicators of future economic downturns and declines in asset market values. Learn more here.
The Norwegian krone (NOK) has recently been at its weakest in a long time. The weak NOK exchange rate has been the focus of much recent debate, and this blog provides some perspectives on the current level of the NOK exchange rate. Learn more (PDF).
Which companies are sustainable? While most would agree that a hypothetical company mining coal while violating human rights should not be considered sustainable, reality is often not that black and white. Learn more here.
Harry Markowitz famously said that diversification is the only free lunch in investing. While the logic of diversification is indeed undeniable, the choices it requires can be quite painful. Learn more here.
In addition to credit risk and market risk, financial institutions also face operational risk, which arises as a consequence of flawed and outdated systems, policy failures, and employee conduct. Learn more here.
Imagine you are a bank that lends money to companies with low credit ratings. You know that these loans are risky, but you also know that they offer high returns. How do you balance the trade-off between risk and reward?
Learn more here.
It all started on a cloudy day in July 2017. The head of the Financial Conduct Authority (FCA), Andrew Bailey, was frustrated. His agency was overseeing the daily publication of the London Interbank Offered Rate (Libor), an interest rate that should reflect banks’ short-term funding costs. Learn more here.
The Bank of England (BoE) recently intervened in the UK government bond market to restore market functioning. The bond market faced severe selling pressure in September 2022 after the government proposed vast unfunded tax cuts. Learn more here
The Financial Supervisory Authority (FSA) has recommended tightening the mortgage regulation. Is it necessary for FSA to make the regulation “even stricter” under the current macroeconomic environment? Learn more here.
The energy incentives are distorted with a larger subsidy and higher prices. Is there a policy which is fairly simple and more effective for preserving energy incentives during the current special times? Learn more here.
