Ana Fostel

University of Virginia

1400 University Ave

Charlottesville, VA 22903

United States

SCHOLARLY PAPERS

18

DOWNLOADS
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Top 25,387

in Total Papers Downloads

2,033

SSRN CITATIONS
Rank 4,250

SSRN RANKINGS

Top 4,250

in Total Papers Citations

133

CROSSREF CITATIONS

150

Scholarly Papers (18)

Why Does Bad News Increase Volatility and Decrease Leverage?

Cowles Foundation Discussion Paper No. 1762
Number of pages: 35 Posted: 15 Jul 2010
Ana Fostel and John Geanakoplos
University of Virginia and Yale University
Downloads 159 (202,171)
Citation 16

Abstract:

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Endogenous leverage, Post-bad news volatility, Post-good news volatility, Volatility smile

Why Does Bad News Increase Volatility and Decrease Leverage?

Cowles Foundation Discussion Paper No. 1762R
Number of pages: 43 Posted: 31 Jan 2011
Ana Fostel and John Geanakoplos
University of Virginia and Yale University
Downloads 107 (275,536)

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Collateral, Endogenous leverage, VaR, Volatility, Volatility Smile

Why Does Bad News Increase Volatility and Decrease Leverage?

Cowles Foundation Discussion Paper No. 1762RR
Number of pages: 48 Posted: 19 Aug 2011
Ana Fostel and John Geanakoplos
University of Virginia and Yale University
Downloads 98 (292,747)

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Collateral, Endogenous leverage, VaR, Volatility, Volatility smile

Tranching, CDS and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes

Cowles Foundation Discussion Paper No. 1809R
Number of pages: 49 Posted: 19 Aug 2011
Ana Fostel and John Geanakoplos
University of Virginia and Yale University
Downloads 202 (163,191)
Citation 9

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Financial innovation, Endogenous leverage, Collateral equilibrium, CDS, Tranching and asset prices

Tranching, CDS and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes

Cowles Foundation Discussion Paper No. 1809
Number of pages: 48 Posted: 16 Jul 2011 Last Revised: 26 Jul 2011
Ana Fostel and John Geanakoplos
University of Virginia and Yale University
Downloads 152 (210,114)
Citation 9

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Financial innovation, Endogenous leverage, Collateral equilibrium, CDS, Tranching and Asset prices

3.

Reviewing the Leverage Cycle

Cowles Foundation Discussion Paper No. 1918
Number of pages: 51 Posted: 27 Sep 2013
Ana Fostel and John Geanakoplos
University of Virginia and Yale University
Downloads 345 (94,279)
Citation 5

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Leverage, Leverage cycle, Volatility, Collateral equilibrium, Collateral value, Liquidity wedge, Flight to collateral, Contagion, Adverse selection, Agent based models

4.
Downloads 197 (167,282)
Citation 10

Financial Innovation, Collateral and Investment

Cowles Foundation Discussion Paper No. 1903R
Number of pages: 52 Posted: 10 Mar 2015
Ana Fostel and John Geanakoplos
University of Virginia and Yale University
Downloads 120 (253,424)
Citation 4

Abstract:

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Financial innovation, Collateral, Investment, Repayment enforceability problems, Cash flow problems, Leverage, CDS, Non-existence, Marginal efficiency

Financial Innovation, Collateral and Investment

Cowles Foundation Discussion Paper No. 1903
Number of pages: 40 Posted: 01 Aug 2013
Ana Fostel and John Geanakoplos
University of Virginia and Yale University
Downloads 77 (340,818)
Citation 7

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Financial innovation, Collateral capacity, Investment, Leverage, Naked CDS, Collateral equilibrium, Non-existence

5.

Global Collateral: How Financial Innovation Drives Capital Flows and Increases Financial Instability

Cowles Foundation Discussion Paper No. 2076
Number of pages: 55 Posted: 22 Feb 2017
University of Virginia, Yale University and Williams College
Downloads 175 (186,035)
Citation 8

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Collateral, financial innovation, asset prices, capital flows, securitized markets, asset-backed securities, global imbalances

Leverage and Default in Binomial Economies: A Complete Characterization

Cowles Foundation Discussion Paper No. 1877R
Number of pages: 40 Posted: 01 Aug 2013
Ana Fostel and John Geanakoplos
University of Virginia and Yale University
Downloads 61 (387,390)
Citation 21

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Endogenous leverage, Default, Collateral equilibrium, Financial asset, Binomial economy, VaR, Diluted leverage, Volatility

Leverage and Default in Binomial Economies: A Complete Characterization

Cowles Foundation Discussion Paper No. 1877RRR
Number of pages: 47 Posted: 10 Mar 2015
Ana Fostel and John Geanakoplos
University of Virginia and Yale University
Downloads 61 (387,390)

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Endogenous leverage, Default, Collateral equilibrium, Financial asset, Binomial economy, LTV, Diluted leverage, Down risk

Leverage and Default in Binomial Economies: A Complete Characterization

Cowles Foundation Discussion Paper No. 1877RR
Number of pages: 46 Posted: 16 Aug 2014
Ana Fostel and John Geanakoplos
University of Virginia and Yale University
Downloads 53 (415,136)
Citation 10

Abstract:

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Endogenous leverage, Default, Collateral equilibrium, Financial asset, Binomial economy, VaR, Diluted leverage, Down risk

7.

Endogenous Leverage: VaR and Beyond

Cowles Foundation Discussion Paper No. 1800
Number of pages: 31 Posted: 18 May 2011
Ana Fostel and John Geanakoplos
University of Virginia and Yale University
Downloads 131 (236,254)
Citation 12

Abstract:

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Endogenous leverage, Collateral equilibrium, VaR, Asset prices

8.
Downloads 80 (240,495)
Citation 1

Leverage and Asset Prices: An Experiment

GMU Working Paper in Economics No. 12-05
Number of pages: 38 Posted: 08 Feb 2012
Marco Cipriani, Ana Fostel and Daniel Houser
Federal Reserve Bank of New York, University of Virginia and George Mason University - Department of Economics
Downloads 80 (333,040)
Citation 3

Abstract:

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leverage, asset pricing, experimental economics

Endogenous Leverage in a Binomial Economy: The Irrelevance of Actual Default

Cowles Foundation Discussion Paper No. 1877
Number of pages: 44 Posted: 20 Sep 2012
Ana Fostel and John Geanakoplos
University of Virginia and Yale University
Downloads 61 (387,390)
Citation 2

Abstract:

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Endogenous leverage, Collateral equilibrium, Default, Financial asset, Binomial economy, VaR

Endogenous Leverage in a Binomial Economy: The Irrelevance of Actual Default

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 43 Posted: 22 Sep 2012
Ana Fostel and John Geanakoplos
University of Virginia and Yale University
Downloads 22 (568,594)
Citation 4

Abstract:

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Endogenous Leverage, Collateral Equilibrium, Default, Financial Asset, Binomial Economy, VaR

10.

Persistent Gaps, Volatility Types, and Default Traps

IMF Working Paper No. 07/148
Number of pages: 47 Posted: 23 Aug 2007
Luis Catão, Ana Fostel and Sandeep Kapur
International Monetary Fund (IMF), University of Virginia and University of London - Birkbeck College
Downloads 77 (337,384)

Abstract:

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Production, Sovereign debt, Working Paper, Economic models, Borrowing

11.

Latin America's Access to International Capital Markets: Good Behavior or Global Liquidity?

NBER Working Paper No. w13194
Number of pages: 40 Posted: 03 Jul 2007 Last Revised: 22 Jul 2010
Ana Fostel and Graciela Kaminsky
University of Virginia and National Bureau of Economic Research (NBER)
Downloads 48 (426,446)
Citation 7

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12.

Fiscal Discoveries and Sudden Decouplings

CEPR Discussion Paper No. DP9368
Number of pages: 61 Posted: 26 Feb 2013
Inter American Development Bank, University of Virginia and University of Southern California
Downloads 3 (680,162)
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Default, Eurozone Debt Crisis, Fiscal Gaps, Information Asymmetry, Perfect Bayesian Equilibrium, Pesistence, Sovereign Debt, Volatility

13.

Fiscal Discoveries and Yield Decouplings

IMF Economic Review, Vol. 65, Issue 4, 2017
Number of pages: 41 Posted: 01 Aug 2018
Luis Catão, Ana Fostel and Romain Ranciere
International Monetary Fund (IMF), University of Virginia and International Monetary Fund (IMF)
Downloads 1 (702,493)
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Abstract:

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E62, F34, G15, H3

14.

Endogenous Collateral Constraints and the Leverage Cycle

Annual Review of Economics, Vol. 6, pp. 771-799, 2014
Posted: 08 Aug 2014
Ana Fostel and John Geanakoplos
University of Virginia and Yale University

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15.

Persistent Gaps and Default Traps

Journal of Development Economics, Forthcoming
Posted: 16 Jan 2009
Luis Catão, Ana Fostel and Sandeep Kapur
International Monetary Fund (IMF), University of Virginia and University of London - Birkbeck College

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Sovereign Debt, Serial default, Default premium, Emerging market bond spreads, Asymmetric information, Output persistence

16.

Collateral Restrictions and Liquidity Under-Supply: A Simple Model

Economic Theory, Vol. 35, pp. 441-467, 2008
Posted: 16 Jan 2009
Ana Fostel and John Geanakoplos
University of Virginia and Yale University

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Liquidity under-supply, Credit constraint, Non-monotonicity, Multiplier, Collateral equilibrium

17.

Leverage Cycle and the Anxious Economy

American Economic Review, Vol. 98, No. 4, pp. 1211-1244, 2008
Posted: 16 Jan 2009
Ana Fostel and John Geanakoplos
University of Virginia and Yale University

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Anxious Economy, Leverage Cycle, Liquidity Wedge, Emerging Assets, Market Closures, Emerging Markets, US High Yield, Collateral Value, Contagion, Flight to Collateral, Issuance Rationing

18.

Two New Proofs of Afriat's Theorem

Economic Theory, Vol. 24, pp. 211-219, 2004
Posted: 16 Jan 2009
Ana Fostel, Herbert E. Scarf and Michael Todd
University of Virginia, Yale University - Department of Economics, Cowles Foundation and School of Operations Research and Information Engineering

Abstract:

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Afriat's theorem, SARP, GARP