Darrell Duffie
Biographic Data
| ID | 1192363 |
|---|---|
| NAME | Darrell Duffie |
| GIVEN NAMES | Darrell |
| FAMILY NAME | Duffie |
| SIGNATURE | DUFFIE D |
| AFFILIATIONS | Darrell Duffie is Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University, Stanford, California, and a Research Associate, National Bureau of Economic Research, Cambridge, Massachusetts. His email address is |
| ORCID | 0000-0002-1212-7004 |
| VERIFIED | Yes |
| TOTAL WORKS | 9 |
| TOTAL CITATIONS | 26 |
| AUTHOR COUNT | 9 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 1990 |
| LATEST PUBLICATION YEAR | 2025 |
| H-INDEX | 1 |
How US Treasuries Can Remain the World’s Safe Haven
Weaknesses in the design of the market for US Treasuries have reduced the effectiveness of world's favored safe-haven asset. Since the Global Financial Crisis, the market's intermediation capacity is far more constrained by the balance sheets of dealer banks, which handle virtually all investor trades. Since 2007, the total size of primary dealer balance sheets per dollar of Treasuries outstanding has shrunk by a factor of four. This trend contin…
Prone to Fail: The Pre-Crisis Financial System
The financial crisis that began in 2007 was triggered by over-leveraged homeowners and a severe downturn in US housing markets. However, a reasonably well-supervised financial system would have been much more resilient to this and other types of severe shocks. Instead, the core of the financial system became a key channel of propagation and magnification of losses suffered in the housing market. Critical financial intermediaries failed, or were b…
Reforming Libor and Other Financial Market Benchmarks
LIBOR is the London Interbank Offered Rate: a measure of the interest rate at which large banks can borrow from one another on an unsecured basis. LIBOR is often used as a benchmark rate- meaning that the interest rates that consumers and businesses pay on trillions of dollars in loans adjust up and down contractually based on movements in LIBOR. Investors also rely on the difference between LIBOR and various risk-free interest rates as a gauge o…
Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets
Over-the-counter (OTC) markets for derivatives, collateralized debt obligations, and repurchase agreements played a significant role in the global financial crisis. Rather than being traded through a centralized institution such as a stock exchange, OTC trades are negotiated privately between market participants who may be unaware of prices that are currently available elsewhere in the market. In these relatively opaque markets, investors can be …
Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets
A concise introduction to modeling over-the-counter markets Over-the-counter (OTC) markets for derivatives, collateralized debt obligations, and repurchase agreements played a significant role in the global financial crisis. Rather than being traded through a centralized institution such as a stock exchange, OTC trades are negotiated privately between market participants who may be unaware of prices that are currently available elsewhere in the m…
The Squam Lake Report: Fixing the Financial System
A nonpartisan plan of action for fixing the global economy from fifteen of the world's leading economists In the fall of 2008, fifteen of the world's leading economists—representing the broadest spectrum of economic opinion—gathered at New Hampshire's Squam Lake. Their goal: the mapping of a long-term plan for financial regulation reform. The Squam Lake Report distills the wealth of insights from the ongoing collaboration that began at these meet…
The Failure Mechanics of Dealer Banks
During the recent financial crisis, major dealer banks-that is, banks that intermediate markets for securities and derivatives-suffered from new forms of bank runs. The most vivid examples are the 2008 failures of Bear Stearns and Lehman Brothers. Dealer banks are often parts of large complex financial organizations whose failures can damage the economy significantly. As a result, they are sometimes considered "too big to fail." The mechanics by …
Asset Pricing with Heterogeneous Consumers
Empirical difficulties encountered by representative-consumer models are resolved in an economy with heterogeneity in the form of uninsurable, persistent, and heteroscedastic labor income shocks. Given the joint process of arbitrage-free labor prices, dividends, and aggregate income satisfying a certain joint restriction, it is shown that this process is supported in the equilibrium of an economy with judiciously modeled income heterogeneity. The…
Security Markets: Stochastic Models
Asset Pricing with Heterogeneous Consumers
Empirical difficulties encountered by representative-consumer models are resolved in an economy with heterogeneity in the form of uninsurable, persistent, and heteroscedastic labor income shocks. Given the joint process of arbitrage-free labor prices, dividends, and aggregate income satisfying a certain joint restriction, it is shown that this process is supported in the equilibrium of an economy with judiciously modeled income heterogeneity. The…
Reforming Libor and Other Financial Market Benchmarks
LIBOR is the London Interbank Offered Rate: a measure of the interest rate at which large banks can borrow from one another on an unsecured basis. LIBOR is often used as a benchmark rate- meaning that the interest rates that consumers and businesses pay on trillions of dollars in loans adjust up and down contractually based on movements in LIBOR. Investors also rely on the difference between LIBOR and various risk-free interest rates as a gauge o…
The Failure Mechanics of Dealer Banks
During the recent financial crisis, major dealer banks-that is, banks that intermediate markets for securities and derivatives-suffered from new forms of bank runs. The most vivid examples are the 2008 failures of Bear Stearns and Lehman Brothers. Dealer banks are often parts of large complex financial organizations whose failures can damage the economy significantly. As a result, they are sometimes considered "too big to fail." The mechanics by …
Security Markets: Stochastic Models
Asset Pricing with Heterogeneous Consumers
Empirical difficulties encountered by representative-consumer models are resolved in an economy with heterogeneity in the form of uninsurable, persistent, and heteroscedastic labor income shocks. Given the joint process of arbitrage-free labor prices, dividends, and aggregate income satisfying a certain joint restriction, it is shown that this process is supported in the equilibrium of an economy with judiciously modeled income heterogeneity. The…
The Squam Lake Report: Fixing the Financial System
A nonpartisan plan of action for fixing the global economy from fifteen of the world's leading economists In the fall of 2008, fifteen of the world's leading economists—representing the broadest spectrum of economic opinion—gathered at New Hampshire's Squam Lake. Their goal: the mapping of a long-term plan for financial regulation reform. The Squam Lake Report distills the wealth of insights from the ongoing collaboration that began at these meet…
The Failure Mechanics of Dealer Banks
During the recent financial crisis, major dealer banks-that is, banks that intermediate markets for securities and derivatives-suffered from new forms of bank runs. The most vivid examples are the 2008 failures of Bear Stearns and Lehman Brothers. Dealer banks are often parts of large complex financial organizations whose failures can damage the economy significantly. As a result, they are sometimes considered "too big to fail." The mechanics by …
Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets
Over-the-counter (OTC) markets for derivatives, collateralized debt obligations, and repurchase agreements played a significant role in the global financial crisis. Rather than being traded through a centralized institution such as a stock exchange, OTC trades are negotiated privately between market participants who may be unaware of prices that are currently available elsewhere in the market. In these relatively opaque markets, investors can be …
Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets
A concise introduction to modeling over-the-counter markets Over-the-counter (OTC) markets for derivatives, collateralized debt obligations, and repurchase agreements played a significant role in the global financial crisis. Rather than being traded through a centralized institution such as a stock exchange, OTC trades are negotiated privately between market participants who may be unaware of prices that are currently available elsewhere in the m…
Reforming Libor and Other Financial Market Benchmarks
LIBOR is the London Interbank Offered Rate: a measure of the interest rate at which large banks can borrow from one another on an unsecured basis. LIBOR is often used as a benchmark rate- meaning that the interest rates that consumers and businesses pay on trillions of dollars in loans adjust up and down contractually based on movements in LIBOR. Investors also rely on the difference between LIBOR and various risk-free interest rates as a gauge o…
Prone to Fail: The Pre-Crisis Financial System
The financial crisis that began in 2007 was triggered by over-leveraged homeowners and a severe downturn in US housing markets. However, a reasonably well-supervised financial system would have been much more resilient to this and other types of severe shocks. Instead, the core of the financial system became a key channel of propagation and magnification of losses suffered in the housing market. Critical financial intermediaries failed, or were b…
How US Treasuries Can Remain the World’s Safe Haven
Weaknesses in the design of the market for US Treasuries have reduced the effectiveness of world's favored safe-haven asset. Since the Global Financial Crisis, the market's intermediation capacity is far more constrained by the balance sheets of dealer banks, which handle virtually all investor trades. Since 2007, the total size of primary dealer balance sheets per dollar of Treasuries outstanding has shrunk by a factor of four. This trend contin…
Business (7 works) · Economics (7 works) · Banking stability, regulation, efficiency (5 works) · Finance (4 works) · Financial market (4 works) · Finance (3 works) · Financial crisis (3 works) · Financial economics (3 works) · Global Financial Crisis and Policies (3 works) · Capital assets pricing model (2 works)