The passive investment boom and its consequences
Passive investment vehicles have been expanding rapidly over the past 10 years, with assets reaching about USD8 trillion or 20% of aggregate investment funds...
Passive investment vehicles and price distortions
The share of passive investment vehicles in financial markets has soared over the past 20 years. In the U.S. equity market it has risen...
Trend following and the headwinds of rising yields
The decline in bond yields over the past decades has supported profitability and diversification value of trend followers. Returns have been boosted by a...
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The financial stability interest rate
The financial stability interest rate is a threshold above which the real interest rate in an economy triggers financial constraints and systemic instability. It...
Understanding the disposition effect
Investors have a tendency to sell assets that have earned them positive returns and are reluctant to let go of those that have brought...
Contagion and self-fulfilling dynamics
Contagion and self-fulfilling feedback loops are propagation mechanisms at the heart of systemic financial crises. Contagion refers to the deterioration of fundamentals through the...