Hyun Song Shin

          
Contact Details




  
    
Research





 
Biographical





   
Korean Page







Home







































Working Papers

Publications

Google Scholar Profile
Policy Related
Pieces


Book Project

Public Lectures




Procyclical Leverage and Value-at-Risk (with Tobias Adrian)  Review of Financial Studies, 27 (2), 373-403, 2014



Assessing Macroprudential Policies:  Case of South Korea (with Valentina Bruno) (link to press articles mentioned in the paper) Scandinavian Journal of Economics, 116 (1), 128-157, symposium issue on capital flows, 2014


Non-Core Bank Liabilities and Financial Vulnerability (with Joon-Ho Hahm and Kwanho Shin) (on-line appendix) (zipped Stata files) Journal of Money, Credit and Banking, 45(S1), 3-36, August 2013 (presented at Federal Reserve Board and JMCB joint conference on the Regulation of Systemic Risk, September 2011)



Which Financial Frictions?  Parsing the Evidence from the Financial Crisis of 2007-9 (with Tobias Adrian and Paolo Colla) (presentation slides) (on-line appendix) 2012 NBER Macroeconomics Annual, Volume 27, Daron Acemoglu, Jonathan Parker, and Michael Woodford, editors, 159 - 214, 2013.



A Theory of Arbitrage Capital (with Viral Acharya and Tanju Yorulmazer) Review of Corporate Finance Studies, 2 (1), 62-97, January 2013



Monetary Aggregates and the Central Bank's Financial Stability Mandate (with Hyun Jeong Kim and Jaeho Yun) (presentation slides) International Journal of Central Banking, January 2013, 69 - 107, presented at Federal Reserve conference "Central Banking: Before, During, and After the Crisis" in honor of Don Kohn  (press comment)



Global Banking Glut and Loan Risk Premium, Mundell-Fleming Lecture, presented at the IMF Annual Research Conference, November 10-11, 2011, IMF Economic Review, 60: 155-192, July 2012 (conference slides) (video) (updated slides)


Sustaining Production Chains Through Financial Linkages (with Se-Jik Kim) American Economic Review Papers and Proceedings 102(3): 402-06, May 2012 (longer working paper version) (presentation slides)


Contagious Adverse Selection (with Stephen Morris) American Economic Journal:  Macroeconomics 4(1), 1-21, January 2012 (link to presentation slides at the Keynes Conference, June 2011)


Comment on "Risk Topography"  NBER Macroeconomics Annual 2011, Volume 26, Daron Acemoglu and Michael Woodford, editors, University of Chicago Press, 2012



Precautionary Demand and Liquidity in Payment Systems (with Gara Afonso) Journal of Money, Credit and Banking, 43, S2, 589-619, 2011 (slides) (link to first version) (video of first simulation) (video of second simulation) (video of third simulation)



Crisis Resolution and Bank Liquidity (with Viral Acharya and Tanju Yorulmazer) Review of Financial Studies 24 (6), 2166-2205, 2011.


Financial Intermediaries and Monetary Economics (with Tobias Adrian) Handbook of Monetary Economics (eds) Benjamin Friedman and Michael Woodford, Elsevier, chapter 12, 601-650, 2011


Financial Intermediary Balance Sheet Management (with Tobias Adrian) Annual Review of Financial Economics, 3, 289-307, 2011 


Fire Sale FDI (with Viral Acharya and Tanju Yorulmazer) Korean Economic Review, 27 (2), 163-202, 2011



Macro Risk Premium and Intermediary Balance Sheet Quantities (with Tobias Adrian and Emanuel Moench) (link to html) IMF Economic Review 58(1), 179 - 207, 2010


Risk and Liquidity 2008 Clarendon Lectures in Finance, Oxford University Press, July 2010


Liquidity and Leverage (with Tobias Adrian) Journal of Financial Intermediation, 19 (3), 418-437, 2010, presented at the BIS Annual conference, June 2007 (with link to first version of paper) (some press comment)



The Changing Nature of Financial Intermediation and the Financial Crisis of 2007-09 (with Tobias Adrian) Annual Review of Economics, 2, 603-618, 2010


Squam Lake Report:  Fixing the Financial System (with Kenneth R. French et al.) Princeton University Press, June 2010 (background to report) (link to Amazon page)


Discussion of "The Leverage Cycle" by John Geanakoplos  2009 NBER Macroeconomics Annual, Volume 24, 75-84, University of Chicago Press, November 2009



Prices and Quantities in the Monetary Policy Transmission Mechanism (with Tobias Adrian)(link to paper) International Journal of Central Banking, 5(4), 131-142, 2009


Money, Liquidity and Monetary Policy (with Tobias Adrian)(link to paper) American Economic Review (papers and proceedings), 99, 600-605, 2009


Yen Carry Trade and the Subprime Crisis (with Masazumi Hattori) IMF Staff Papers, 56, 384-409, 2009


Geneva Report on the World Economy 11:  The Fundamental Principles of Financial Regulation (with Markus Brunnermeier Andrew Crockett Charles Goodhart and Avinash Persaud), June 2009 (VoxEU page) (link to final version)

Securitisation and Financial Stability Economic Journal, 119, 309 - 332 (2009), Economic Journal Lecture at the 2008 Royal Economic Society Conference (presentation slides) (VoxEU page) (audio interview for Vox)

Reflections on Northern Rock:  The Bank Run that Heralded the Global Financial Crisis Journal of Economic Perspectives, 23-1, 101-119 (Winter 2009) (link to longer working paper version) (link to JEP issue) (short version in Italian) (Economist article)  

Financial Regulation in a System Context (with Stephen Morris) Brookings Papers on Economic Activity, Fall 2008, 229-274 (presentation slides)

Financial Intermediaries, Financial Stability and Monetary Policy (with Tobias Adrian) Proceedings of the 2008 Federal Reserve Bank of Kansas City Symposium at Jackson Hole, August 2008 (Jackson Hole Symposium page with link to discussion)

Leveraged Losses:  Lessons from the Mortgage Market Meltdown (with David Greenlaw, Jan Hatzius and Anil Kashyap) US Monetary Policy Forum Report No. 2  (2008) (press comment)

Risk and Liquidity in a System Context Journal of Financial Intermediation, 17, 315-329 (2008)

Marking to Market:  Panacea or Pandora's Box? (with Haresh Sapra and Guillaume Plantin), Journal of Accounting Research, 46, 435 - 460 (2008) (powerpoint file) (audio interview for Vox) (some press comment)(non-technical summary in Banque de France Financial Stability Review )(French version)

Optimal Communication (with Stephen Morris), Journal of the European Economic Association, 5, 594-602, conference proceedings (2007)

Catalytic Finance:  When Does It Work? (with Stephen Morris) (powerpoint presentation), Journal of International Economics, 70, 161-177 (2006)

Beauty Contests and Iterated Expectations in Asset Markets (with Franklin Allen and Stephen Morris) (slides), Review of Financial Studies, 19, 719 - 752 (2006)

Disclosure Risk and Price Drift  Journal of Accounting Research, 44, 351 - 379 (2006) (slides)

Inertia of Forward-Looking Expectations (with Stephen Morris) (slides) American Economic Review Papers and Proceedings, 96(2), 152-157 (2006)

Reply to "Social Value of Public Information:  Morris and Shin (2002) is Actually Pro Transparency Not Con" (with Stephen Morris and Hui Tong) short note in American Economic Review, 96(1), 453-455 (2006). This short note was written in response to a comment by Lars Svensson.

Imperfect Common Knowledge and the Information Value of Prices (with Jeffery Amato) (slides), Economic Theory, symposium issue on monetary policy, 27, 213 - 241 (2006).

Central Bank Transparency and the Signal Value of Prices (with Stephen Morris) (powerpoint slides) Brookings Papers on Economic Activity, Issue 2, 2005, 1 - 66.

Heterogeneity and Uniqueness in Interaction Games (with Stephen Morris) (PDF file) in The Economy as an Evolving Complex System III, edited by L. Blume and S. DurlaufSanta Fe Institute Studies in the Sciences of Complexity.  New York:  Oxford University Press, (2005).

The Analytics of Sovereign Debt Restructuring (with Andy Haldane, Adrian Penalver and Vicky Saporta) (pdf file) Journal of International Economics 65, 315-333, (2005) (link to Bank of England working paper version)

Opening and Closing the Market:  Evidence from the London Stock Exchange (with Andrew Ellul and Ian Tonks) (link to paper on SSRN) Journal of Financial and Quantitative Analysis, 40, 779 - 801, (2005).

Liquidity Risk and Contagion (with Rodrigo Cifuentes and Gianluigi Ferrucci) Journal of the European Economic Association, 3, 556-566 (2005) (link to long version of paper).

Liquidity and Contagion: the Crisis of 1763 (with Isabel Schnabel) (formerly entitled "Foreshadowing LTCM:  the Crisis of 1763"), Journal of the European Economic Association, 2(6), 929-968, (2004) (abstract)

Does One Soros Make a Difference?  A Theory of Currency Crises with Large and Small Traders (with Giancarlo Corsetti, Amil Dasgupta and Stephen Morris) Review of Economic Studies, 71 (1), 87-114 (2004)

Crisis costs and debtor discipline: the efficacy of public policy in sovereign debt crises (with Prasanna Gai and Simon Hayes)  Journal of International Economics, 62, 245-262 (2004) (link to Bank of England working paper version)

Coordination Risk and the Price of Debt (with Stephen Morris) (abstract) European Economic Review, 48, 133 - 153 (2004)

Debt Maturity Structure with Pre-emptive Creditors (with Prasanna Gai) Economics Letters,  85(2), 195 - 200, (2004) (link to Bank of England working paper version)

The Impact of Risk Regulation on Price Dynamics (with Jon Danielsson and Jean-Pierre Zigrand)  Journal of Banking and Finance, 28, 1069-1087 (2004) (abstract)

Liquidity Black Holes (with Stephen Morris)  Review of Finance, 8, 1-18 (2004) (slides)

Disclosures and Asset Returns (slides) Econometrica, 71 (1), 105 - 133,  (2003)

Global Games:  Theory and Applications (with Stephen Morris) (Abstract), in Advances in Economics and Econometrics, the Eighth World Congress (edited by M. Dewatripont, L. Hansen  and  S. Turnovsky), Cambridge University Press, (2003).

Social Value of Public Information (with Stephen Morris) (on-line appendix with extensions) (slides) American Economic Review, 52 (5), 1521-1534 (2002).

Equilibrium Departures from Common Knowledge in Games with Non-Additive Expected Utility (with Sujoy Mukerji)  Advances in Theoretical Economics, BE Press (2002) (link to paper on BE Press site)

Rethinking Multiple Equilibria in Macroeconomic Modelling (with Stephen Morris) (Abstract) (Slides) 2000 NBER Macroeconomics Annual, 139 - 161, MIT Press, 2001.

Approximate Common Knowledge in a Search Model in P. Hammond and G. Myles (eds) Incentives, Organization and Public Economics: Papers in Honour of Sir James Mirrlees, Oxford University Press, 2000

A Theory of the Onset of Currency Attacks (with Stephen Morris) in The Asian Financial Crisis (edited by P.-R. Agenor, M. Miller, D. Vines and A. Weber), Cambridge University Press, 1999.

A Violation of Dominance and the Consumption Value of Gambling
(with Johnnie Johnson and Raymond O'Brien) Journal of Behavioral Decision Making, 12, 19-36, 1999

Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks (with Stephen Morris) American Economic Review, 88, 587-597 (1998) (Summary), reprinted in New Research in Financial Markets, edited by B. Biais and M. Pagano, Oxford University Press (2002); reprinted in Credit, Intermediation and the Macroeconomy, edited by S. Bhattacharya, A. Boot and A. Thakor, Oxford University Press (2004).

Adversarial and Inquisitorial Procedures in Arbitration Rand Journal of Economics, 29, 378-405 (1998) (Summary).

International Environmental Agreements under Uncertainty (with Seong-lin Na) Oxford Economic Papers, 50, 173-185 (1998)

The Rationality and Efficacy of Decisions under Uncertainty and the Value of an Experiment (with Stephen Morris), Economic Theory, 9, 309-324 (1997)

Approximate Common Knowledge and Coordination:  Some Lessons from Game Theory (with Stephen Morris) Journal of Logic, Language and Information, 6, 171-190 (1997)

How Much Common Belief is Necessary for a Convention? (with Timothy Williamson) Games and Economic Behavior, 13, 252-268 (1996) Reprinted in C. Bicchieri, ed., The Logic of Strategy: 119-136. Oxford: Oxford University Press, 1999.

Comparing the Robustness of Trading Systems to Higher Order Uncertainty Review of Economic Studies, 63, 39-59 (1996)

Depth of Knowledge and the Effect of Higher Order Uncertainty (with Stephen Morris and Andrew Postlewaite) Economic Theory, 6, 453-467 (1995)

p-Dominance and Belief Potential (with Stephen Morris and Rafael Rob) Econometrica, 63, 145-158 (1995)

The Burden of Proof in a Game of Persuasion Journal of Economic Theory, 64, 253-263 (1994) (link to abstract and paper on Elsevier site)

News Management and the Value of Firms Rand Journal of Economics, 25, 58-71 (1994)

Representing the Knowledge of Turing Machines (with Timothy Williamson)  Theory and Decision, 37, 125-146, (1994), reprinted in M. Bacharach, L.-A. Gerard-Varet, P. Mongin and H.S. Shin, eds., Epistemic Logic and the Theory of Games and Decisions: 169-190. Dordrecht: Kluwer Academic Publishers, 1997.

Logical Structure of Common Knowledge Journal of Economic Theory, 60, 1-13 (1993) (link to abstract and paper on Elsevier site)

Measuring the Incidence of Insider Trading in a Market for State-Contingent Claims Economic Journal, 103, 1141-1153 (1993).

A Comment on a Model of Vertical Product Differentiation (with C. J. Choi) Journal of Industrial Economics, 40, 229-231.

Prices of State Contingent Claims with Insider Traders and the Favourite Longshot Bias Economic Journal, 102, 426-435, (1992)

Optimal Betting Odds Against Insider Traders Economic Journal, 101, 1179-85, (1991)

A Reconstruction of Jeffrey's Notion of Ratifiability in Terms of Counterfactual Beliefs Theory and Decision, 31, 21 - 47 (1991)