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Details about Tobias Adrian

E-mail:
Homepage:http://nyfedeconomists.org/adrian/
Phone:(212) 720-1717
Postal address:33 Liberty Street New York, NY 10045
Workplace:Research and Statistics Group, Federal Reserve Bank of New York, (more information at EDIRC)

Access statistics for papers by Tobias Adrian.

Last updated 2014-06-27. Update your information in the RePEc Author Service.

Short-id: pad61


Jump to Journal Articles Chapters

Working Papers

2017

  1. Dealer balance sheets and bond liquidity provision
    Staff Reports, Federal Reserve Bank of New York Downloads
  2. Financial vulnerability and monetary policy
    Staff Reports, Federal Reserve Bank of New York Downloads
  3. Market liquidity after the financial crisis
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (1)
  4. Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (4)

2016

  1. Global price of risk and stabilization policies
    Staff Reports, Federal Reserve Bank of New York Downloads
  2. Intraday market making with overnight inventory costs
    Staff Reports, Federal Reserve Bank of New York Downloads
  3. Monetary policy, financial conditions, and financial stability
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (4)
  4. On the scale of financial intermediaries
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (6)
  5. Vulnerable growth
    Staff Reports, Federal Reserve Bank of New York Downloads

2015

  1. Decomposing real and nominal yield curves
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (4)
  2. Discussion of “Systemic Risk and the Solvency-Liquidity Nexus of Banks”
    Staff Reports, Federal Reserve Bank of New York Downloads
  3. Intermediary leverage cycles and financial stability
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (96)
  4. Macroprudential Policy: Case Study from a Tabletop Exercise
    Risk and Policy Analysis Unit Working Paper, Federal Reserve Bank of Boston Downloads
    Also in Staff Reports, Federal Reserve Bank of New York (2015) Downloads

    See also Journal Article in Economic Policy Review (2017)
  5. Risk appetite and exchange Rates
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (3)
    Also in Staff Reports, Federal Reserve Bank of New York (2015) Downloads
    2010 Meeting Papers, Society for Economic Dynamics (2010) Downloads View citations (1)
  6. The cost of capital of the financial sector
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (1)

2014

  1. CoVaR
    Staff Reports, Federal Reserve Bank of New York Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) Downloads View citations (1)
  2. Dynamic leverage asset pricing
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (3)
  3. Financial stability monitoring
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (5)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2013) Downloads View citations (2)
  4. Financial stability policies for shadow banking
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (4)
  5. Liquidity policies and systemic risk
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (2)
  6. Regression-based estimation of dynamic asset pricing models
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (1)

2013

  1. Intermediary balance sheets
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (3)
  2. Procyclical Leverage and Value-at-Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)
  3. Shadow bank monitoring
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (2)

2012

  1. Discussion of “An Integrated Framework for Multiple Financial Regulations”
    Staff Reports, Federal Reserve Bank of New York Downloads
  2. Repo and Securities Lending
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (21)
    Also in Staff Reports, Federal Reserve Bank of New York (2012) Downloads View citations (3)

    See also Chapter (2013)
  3. Shadow banking regulation
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (18)
    See also Journal Article in Annual Review of Financial Economics (2012)
  4. Shadow banking: a review of the literature
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (22)
    See also Chapter (2012,4th quarter update)
  5. Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007-9
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (58)

2011

  1. Broker-Dealer Leverage and the Cross-Section of Stock Returns
    2011 Meeting Papers, Society for Economic Dynamics Downloads
  2. Dodd-Frank one year on: implications for shadow banking
    Staff Reports, Federal Reserve Bank of New York Downloads
  3. Financial intermediary balance sheet management
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (16)
    See also Journal Article in Annual Review of Financial Economics (2011)
  4. Which financial frictions? Parsing the evidence from the financial crisis of 2007-09
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (18)

2010

  1. Financial Intermediation, Asset Prices, and Macroeconomic Dynamics
    2010 Meeting Papers, Society for Economic Dynamics View citations (2)
    Also in Staff Reports, Federal Reserve Bank of New York (2010) Downloads View citations (20)
  2. Financial amplification of foreign exchange risk premia
    Staff Reports, Federal Reserve Bank of New York Downloads
    See also Journal Article in European Economic Review (2011)
  3. Funding liquidity risk and the cross-section of stock returns
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (1)
  4. Macro risk premium and intermediary balance sheet quantities
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (28)
    See also Journal Article in IMF Economic Review (2010)
  5. Monetary cycles, financial cycles, and the business cycle
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (9)
  6. Shadow banking
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (87)
    See also Journal Article in Economic Policy Review (2013)
  7. The Federal Reserve's Commercial Paper Funding Facility
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (19)
    See also Journal Article in Economic Policy Review (2011)
  8. The changing nature of financial intermediation and the financial crisis of 2007-09
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (54)

2009

  1. Financial intermediaries and monetary economics
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (17)
    See also Chapter (2010)
  2. Monetary tightening cycles and the predictability of economic activity
    Staff Reports, Federal Reserve Bank of New York Downloads
    See also Journal Article in Economics Letters (2008)
  3. Money, liquidity, and monetary policy
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (110)
    See also Journal Article in American Economic Review (2009)
  4. Prices and quantities in the monetary policy transmission mechanism
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (17)
    See also Journal Article in International Journal of Central Banking (2009)
  5. The shadow banking system: implications for financial regulation
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (29)
    See also Journal Article in Financial Stability Review (2009)
  6. The term structure of inflation expectations
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (14)

2008

  1. Disagreement and learning in a dynamic contracting model
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (2)
    Also in 2007 Meeting Papers, Society for Economic Dynamics (2007) Downloads

    See also Journal Article in Review of Financial Studies (2009)
  2. Financial intermediaries, financial stability, and monetary policy
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (46)
    See also Journal Article in Proceedings - Economic Policy Symposium - Jackson Hole (2008)
  3. Financial intermediary leverage and value at risk
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (48)
  4. Learning about beta: time-varying factor loadings, expected returns, and the conditional CAPM
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (3)
    Also in Les Cahiers de Recherche, HEC Paris (2005) Downloads View citations (6)
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (5)

    See also Journal Article in Journal of Empirical Finance (2009)
  5. Liquidity and financial cycles
    BIS Working Papers, Bank for International Settlements Downloads View citations (39)
  6. Liquidity and leverage
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (72)
    See also Journal Article in Journal of Financial Intermediation (2010)
  7. Pricing the term structure with linear regressions
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (17)
    See also Journal Article in Journal of Financial Economics (2013)

2006

  1. Stock returns and volatility: pricing the short-run and long-run components of market risk
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (31)
    See also Journal Article in Journal of Finance (2008)

2004

  1. Inference, arbitrage, and asset price volatility
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (1)
    See also Journal Article in Journal of Financial Intermediation (2009)

Journal Articles

2017

  1. Macroprudential policy: a case study from a tabletop exercise
    Economic Policy Review, 2017, (23-1), 1-30 Downloads
    See also Working Paper (2015)

2013

  1. Pricing the term structure with linear regressions
    Journal of Financial Economics, 2013, 110, (1), 110-138 Downloads View citations (73)
    See also Working Paper (2008)
  2. Shadow banking
    Economic Policy Review, 2013, (Dec), 1-16 Downloads View citations (5)
    See also Working Paper (2010)
  3. Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007 to 2009
    NBER Macroeconomics Annual, 2013, 27, (1), 159 - 214 Downloads View citations (23)
    See also Chapter (2012)

2012

  1. Shadow Banking Regulation
    Annual Review of Financial Economics, 2012, 4, (1), 99-140 Downloads View citations (18)
    See also Working Paper (2012)

2011

  1. Financial Intermediary Balance Sheet Management
    Annual Review of Financial Economics, 2011, 3, (1), 289-307 Downloads View citations (16)
    See also Working Paper (2011)
  2. Financial amplification of foreign exchange risk premia
    European Economic Review, 2011, 55, (3), 354-370 Downloads View citations (2)
    See also Working Paper (2010)
  3. The Federal Reserve’s Commercial Paper Funding Facility
    Economic Policy Review, 2011, (May), 25-39 Downloads View citations (8)
    See also Working Paper (2010)

2010

  1. Liquidity and leverage
    Journal of Financial Intermediation, 2010, 19, (3), 418-437 Downloads View citations (519)
    See also Working Paper (2008)
  2. Macro Risk Premium and Intermediary Balance Sheet Quantities
    IMF Economic Review, 2010, 58, (1), 179-207 Downloads View citations (29)
    See also Working Paper (2010)
  3. The Changing Nature of Financial Intermediation and the Financial Crisis of 2007–2009
    Annual Review of Economics, 2010, 2, (1), 603-618 Downloads View citations (36)

2009

  1. Disagreement and Learning in a Dynamic Contracting Model
    Review of Financial Studies, 2009, 22, (10), 3873-3906 Downloads View citations (15)
    See also Working Paper (2008)
  2. Inference, arbitrage, and asset price volatility
    Journal of Financial Intermediation, 2009, 18, (1), 49-64 Downloads View citations (1)
    See also Working Paper (2004)
  3. Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM
    Journal of Empirical Finance, 2009, 16, (4), 537-556 Downloads View citations (20)
    See also Working Paper (2008)
  4. Money, Liquidity, and Monetary Policy
    American Economic Review, 2009, 99, (2), 600-605 Downloads View citations (85)
    See also Working Paper (2009)
  5. Prices and Quantities in the Monetary Policy Transmission Mechanism
    International Journal of Central Banking, 2009, 5, (4), 131-142 Downloads View citations (14)
    See also Working Paper (2009)
  6. The Federal Reserve's Primary Dealer Credit Facility
    Current Issues in Economics and Finance, 2009, 15, (Aug) Downloads View citations (29)
  7. The shadow banking system: implications for fi nancial regulation
    Financial Stability Review, 2009, (13), 1-10 Downloads View citations (13)
    See also Working Paper (2009)

2008

  1. Financial intermediaries, financial stability and monetary policy
    Proceedings - Economic Policy Symposium - Jackson Hole, 2008, 287-334 Downloads View citations (31)
    See also Working Paper (2008)
  2. Liquidity and financial contagion
    Financial Stability Review, 2008, (11), 1-7 Downloads View citations (26)
  3. Liquidity, monetary policy, and financial cycles
    Current Issues in Economics and Finance, 2008, 14, (Jan) Downloads View citations (56)
  4. Monetary tightening cycles and the predictability of economic activity
    Economics Letters, 2008, 99, (2), 260-264 Downloads View citations (13)
    See also Working Paper (2009)
  5. Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk
    Journal of Finance, 2008, 63, (6), 2997-3030 Downloads View citations (57)
    See also Working Paper (2006)

2007

  1. Measuring risk in the hedge fund sector
    Current Issues in Economics and Finance, 2007, 13, (Mar) Downloads View citations (17)

2005

  1. Stock returns and volatility: pricing the long-run and short-run components of market risk
    Proceedings, 2005 Downloads View citations (2)
  2. What financing data reveal about dealer leverage
    Current Issues in Economics and Finance, 2005, 11, (Mar) Downloads View citations (26)

2004

  1. The degree of openness and the cost of fixing exchange rate
    Economics Letters, 2004, 83, (1), 141-146 Downloads

1999

  1. A Stochastic Model of Self-Fulfilling Crises in Fixed Exchange Rate Systems
    International Journal of Finance & Economics, 1999, 4, (2), 129-46 Downloads View citations (4)

Chapters

2013

  1. Repo and Securities Lending
    A chapter in Risk Topography: Systemic Risk and Macro Modeling, 2013, pp 131-148 Downloads View citations (11)
    See also Working Paper (2012)

2012

  1. Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007 to 2009
    A chapter in NBER Macroeconomics Annual 2012, Volume 27, 2012, pp 159-214 Downloads View citations (31)
    See also Journal Article in NBER Macroeconomics Annual (2013)
  2. shadow banking: a review of the literature
    Palgrave Macmillan Downloads
    See also Working Paper (2012)

2011

  1. Comment on "Two Monetary Tools: Interest Rates and Haircuts"
    A chapter in NBER Macroeconomics Annual 2010, Volume 25, 2011, pp 181-191 Downloads View citations (1)
  2. Hedge Fund Tail Risk
    A chapter in Quantifying Systemic Risk, 2011, pp 155-172 Downloads View citations (3)

2010

  1. Financial Intermediaries and Monetary Economics
    Chapter 12 in Handbook of Monetary Economics, 2010, vol. 3, pp 601-650 Downloads View citations (75)
    See also Working Paper (2009)
 
Page updated 2017-07-21