Details about Tobias Adrian
Access statistics for papers by Tobias Adrian.
Last updated 2022-11-17. Update your information in the RePEc Author Service.
Short-id: pad61
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Working Papers
2022
- 800,000 Years of Climate Risk
Staff Reports, Federal Reserve Bank of New York
- A Medium-Scale DSGE Model for the Integrated Policy Framework
IMF Working Papers, International Monetary Fund
- A Multi-Currency Exchange and Contracting Platform
IMF Working Papers, International Monetary Fund
- Managing Monetary Tradeoffs in Vulnerable Open Economies
CEPR Discussion Papers, C.E.P.R. Discussion Papers
- The Bond Market Selloff in Historical Perspective
Liberty Street Economics, Federal Reserve Bank of New York
- The Great Carbon Arbitrage
INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford 
Also in IMF Working Papers, International Monetary Fund (2022)
2021
- A Leverage-Based Measure of Financial Stability
Discussion Papers on Economics, University of Southern Denmark, Department of Economics View citations (1)
Also in Discussion Papers on Economics, University of Southern Denmark, Department of Economics (2018)  Staff Reports, Federal Reserve Bank of New York (2014) View citations (2) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) 
See also Journal Article in Journal of Financial Intermediation (2022)
- A Quantitative Microfounded Model for the Integrated Policy Framework
IMF Working Papers, International Monetary Fund
- Central Banks and Digital Currencies
Liberty Street Economics, Federal Reserve Bank of New York
- Non-Standard Errors
Working Papers, Faculty of Economics and Statistics, University of Innsbruck View citations (1)
Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2021)  Post-Print, HAL (2021)  Working Paper Series, Social and Economic Sciences, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz (2021) View citations (1)
2020
- "Low for Long" and Risk-Taking
IMF Departmental Papers / Policy Papers, International Monetary Fund View citations (1)
- A Quantitative Model for the Integrated Policy Framework
IMF Working Papers, International Monetary Fund View citations (12)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (12)
- Forecasting Macroeconomic Risks
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
Also in Staff Reports, Federal Reserve Bank of New York (2020) View citations (1)
See also Journal Article in International Journal of Forecasting (2021)
- Managing Macrofinancial Risk
IMF Working Papers, International Monetary Fund
- Monetary and Macroprudential Policy with Endogenous Risk
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)
Also in IMF Working Papers, International Monetary Fund (2020) View citations (9)
- Multimodality in Macro-Financial Dynamics
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
Also in Staff Reports, Federal Reserve Bank of New York (2019) View citations (7)
See also Journal Article in International Economic Review (2021)
- Stress Testing at the IMF
IMF Departmental Papers / Policy Papers, International Monetary Fund View citations (9)
- The Non-U.S. Bank Demand for U.S. Dollar Assets
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
Also in IMF Working Papers, International Monetary Fund (2020) View citations (1)
- What Do Financial Conditions Tell Us about Risks to GDP Growth?
Liberty Street Economics, Federal Reserve Bank of New York View citations (3)
2019
- A Monitoring Framework for Global Financial Stability
IMF Staff Discussion Notes, International Monetary Fund View citations (7)
- Global Price of Risk and Stabilization Policies
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
Also in Staff Reports, Federal Reserve Bank of New York (2016) View citations (5)
See also Journal Article in IMF Economic Review (2019)
- Monetary policy and financial conditions: a cross-country study
Staff Reports, Federal Reserve Bank of New York View citations (5)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (54)
2018
- A Review of Shadow Banking
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
- Financial Vulnerability and Monetary Policy
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (16)
Also in Staff Reports, Federal Reserve Bank of New York (2016) View citations (36) 2017 Meeting Papers, Society for Economic Dynamics (2017) View citations (12)
- Liquidity, Leverage, and Regulation Ten Years after the Global Financial Crisis
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
- Risk Management and Regulation
IMF Departmental Papers / Policy Papers, International Monetary Fund View citations (3)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017)
- Risk-Taking Channel of Monetary Policy
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
See also Journal Article in Financial Management (2019)
- Shadow Banking and Market-Based Finance
IMF Departmental Papers / Policy Papers, International Monetary Fund View citations (11)
See also Journal Article in Financial Stability Review (2018)
- The Term Structure of Growth-at-Risk
IMF Working Papers, International Monetary Fund View citations (62)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (65)
See also Journal Article in American Economic Journal: Macroeconomics (2022)
- Vulnerable Growth
Liberty Street Economics, Federal Reserve Bank of New York View citations (42)
Also in 2017 Meeting Papers, Society for Economic Dynamics (2017) View citations (10) Staff Reports, Federal Reserve Bank of New York (2016) View citations (44) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (5)
See also Journal Article in American Economic Review (2019)
2017
- Dealer Balance Sheets and Bond Liquidity Provision
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (48)
Also in Staff Reports, Federal Reserve Bank of New York (2016) View citations (39)
See also Journal Article in Journal of Monetary Economics (2017)
- Dealer Balance Sheets and Corporate Bond Liquidity Provision
Liberty Street Economics, Federal Reserve Bank of New York View citations (21)
- Intraday Market Making with Overnight Inventory Costs
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
Also in Staff Reports, Federal Reserve Bank of New York (2016) View citations (4)
See also Journal Article in Journal of Financial Markets (2020)
- Liquidity Policies and Systemic Risk
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
Also in 2014 Meeting Papers, Society for Economic Dynamics (2014) View citations (1) Liberty Street Economics, Federal Reserve Bank of New York (2014)  Staff Reports, Federal Reserve Bank of New York (2014) View citations (6)
See also Journal Article in Journal of Financial Intermediation (2018)
- Market Liquidity after the Financial Crisis
Liberty Street Economics, Federal Reserve Bank of New York View citations (22)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (39) Staff Reports, Federal Reserve Bank of New York (2016) View citations (40)
See also Journal Article in Annual Review of Financial Economics (2017)
- The Evolution of Treasury Market Liquidity: Evidence from 30 Years of Limit Order Book Data
Staff Reports, Federal Reserve Bank of New York View citations (6)
2016
- Continuing the Conversation on Liquidity
Liberty Street Economics, Federal Reserve Bank of New York
- Corporate Bond Market Liquidity Redux: More Price-Based Evidence
Liberty Street Economics, Federal Reserve Bank of New York View citations (3)
- Did Third Avenue's Liquidation Reduce Corporate Bond Market Liquidity?
Liberty Street Economics, Federal Reserve Bank of New York View citations (1)
- Dynamic Leverage Asset Pricing
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (12)
Also in Staff Reports, Federal Reserve Bank of New York (2013) View citations (10)
- Forecasting Interest Rates over the Long Run
Liberty Street Economics, Federal Reserve Bank of New York
- Monetary Policy, Financial Conditions, and Financial Stability
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (50)
Also in IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan (2014) View citations (32) Staff Reports, Federal Reserve Bank of New York (2014) View citations (24)
See also Journal Article in International Journal of Central Banking (2018)
- Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
Also in Staff Reports, Federal Reserve Bank of New York (2015) View citations (24)
See also Journal Article in Journal of Finance (2019)
2015
- Changes in the Returns to Market Making
Liberty Street Economics, Federal Reserve Bank of New York View citations (1)
- Discounting the Long-Run
Liberty Street Economics, Federal Reserve Bank of New York
- Discussion of “Systemic Risk and the Solvency-Liquidity Nexus of Banks”
Staff Reports, Federal Reserve Bank of New York View citations (2)
- Financial Stability Policies for Shadow Banking
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
Also in Staff Reports, Federal Reserve Bank of New York (2014) View citations (14)
- Has Liquidity Risk in the Corporate Bond Market Increased?
Liberty Street Economics, Federal Reserve Bank of New York View citations (4)
- Has Liquidity Risk in the Treasury and Equity Markets Increased?
Liberty Street Economics, Federal Reserve Bank of New York View citations (5)
- Has U.S. Treasury Market Liquidity Deteriorated?
Liberty Street Economics, Federal Reserve Bank of New York View citations (2)
- Intermediary Balance Sheets
2015 Meeting Papers, Society for Economic Dynamics View citations (9)
Also in Staff Reports, Federal Reserve Bank of New York (2013) View citations (12)
- Introduction to a Series on Market Liquidity
Liberty Street Economics, Federal Reserve Bank of New York
- Introduction to a Series on Market Liquidity: Part 2
Liberty Street Economics, Federal Reserve Bank of New York
- Macroprudential Policy: Case Study from a Tabletop Exercise
Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston View citations (1)
Also in Staff Reports, Federal Reserve Bank of New York (2015) View citations (2)
See also Journal Article in Economic Policy Review (2017)
- News shocks, monetary policy, and foreign currency positions
Staff Reports, Federal Reserve Bank of New York View citations (1)
- On the scale of financial intermediaries
Staff Reports, Federal Reserve Bank of New York View citations (15)
- Redemption Risk of Bond Mutual Funds and Dealer Positioning
Liberty Street Economics, Federal Reserve Bank of New York View citations (2)
- Regression Based Estimation of Dynamic Asset Pricing Models
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (36)
Also in Staff Reports, Federal Reserve Bank of New York (2011) View citations (2)
See also Journal Article in Journal of Financial Economics (2015)
- The Cost of Capital of the Financial Sector
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (14)
Also in Staff Reports, Federal Reserve Bank of New York (2015) View citations (10)
- What's Driving Dealer Balance Sheet Stagnation?
Liberty Street Economics, Federal Reserve Bank of New York View citations (4)
2014
- Financial Stability Monitoring
FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
Also in Staff Reports, Federal Reserve Bank of New York (2013) View citations (8) Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2013) View citations (10)
See also Journal Article in Annual Review of Financial Economics (2015)
- Liquidity Risk, Liquidity Management, and Liquidity Policies
Liberty Street Economics, Federal Reserve Bank of New York View citations (1)
- Treasury Term Premia: 1961-Present
Liberty Street Economics, Federal Reserve Bank of New York View citations (1)
2013
- Dealer Balance Sheet Capacity and Market Liquidity during the 2013 Selloff in Fixed Income Markets
FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (11)
Also in Liberty Street Economics, Federal Reserve Bank of New York (2013) View citations (6)
- Do Treasury Term Premia Rise around Monetary Tightenings?
Liberty Street Economics, Federal Reserve Bank of New York View citations (4)
- Intermediary Leverage Cycles and Financial Stability
Liberty Street Economics, Federal Reserve Bank of New York View citations (1)
Also in Staff Reports, Federal Reserve Bank of New York (2012) View citations (176)
- Procyclical Leverage and Value-at-Risk
NBER Working Papers, National Bureau of Economic Research, Inc View citations (83)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2013) View citations (79)
See also Journal Article in Review of Financial Studies (2014)
- Shadow bank monitoring
Staff Reports, Federal Reserve Bank of New York View citations (7)
- The Recent Bond Market Selloff in Historical Perspective
Liberty Street Economics, Federal Reserve Bank of New York View citations (1)
2012
- Decomposing real and nominal yield curves
Staff Reports, Federal Reserve Bank of New York View citations (18)
See also Journal Article in Journal of Monetary Economics (2016)
- Discussion of “An Integrated Framework for Multiple Financial Regulations”
Staff Reports, Federal Reserve Bank of New York
- Repo and Securities Lending
NBER Working Papers, National Bureau of Economic Research, Inc View citations (32)
Also in Staff Reports, Federal Reserve Bank of New York (2012) View citations (7)
See also Chapter (2013)
- Shadow banking regulation
Staff Reports, Federal Reserve Bank of New York View citations (35)
See also Journal Article in Annual Review of Financial Economics (2012)
- Shadow banking: a review of the literature
Staff Reports, Federal Reserve Bank of New York View citations (32)
See also Chapter (2012,4th quarter update)
- Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007-9
NBER Working Papers, National Bureau of Economic Research, Inc View citations (117)
2011
- Broker-Dealer Leverage and the Cross-Section of Stock Returns
2011 Meeting Papers, Society for Economic Dynamics
- CoVaR
NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
Also in Staff Reports, Federal Reserve Bank of New York (2008) 
See also Journal Article in American Economic Review (2016)
- Dodd-Frank one year on: implications for shadow banking
Staff Reports, Federal Reserve Bank of New York
- Financial intermediary balance sheet management
Staff Reports, Federal Reserve Bank of New York View citations (49)
See also Journal Article in Annual Review of Financial Economics (2011)
- Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007-09
Working Papers, Princeton University, Department of Economics, Econometric Research Program. View citations (14)
Also in Staff Reports, Federal Reserve Bank of New York (2011) View citations (19)
2010
- Financial Intermediation, Asset Prices, and Macroeconomic Dynamics
2010 Meeting Papers, Society for Economic Dynamics View citations (66)
Also in Staff Reports, Federal Reserve Bank of New York (2010) View citations (31)
- Financial amplification of foreign exchange risk premia
Staff Reports, Federal Reserve Bank of New York 
See also Journal Article in European Economic Review (2011)
- Funding liquidity risk and the cross-section of stock returns
Staff Reports, Federal Reserve Bank of New York View citations (1)
- Macro risk premium and intermediary balance sheet quantities
Staff Reports, Federal Reserve Bank of New York View citations (48)
See also Journal Article in IMF Economic Review (2010)
- Monetary cycles, financial cycles, and the business cycle
Staff Reports, Federal Reserve Bank of New York View citations (27)
- Risk Appetite and Exchange Rates
2010 Meeting Papers, Society for Economic Dynamics View citations (29)
Also in Staff Reports, Federal Reserve Bank of New York (2009) View citations (4)
- Shadow banking
Staff Reports, Federal Reserve Bank of New York View citations (89)
See also Journal Article in Economic Policy Review (2013)
- The Federal Reserve's Commercial Paper Funding Facility
Staff Reports, Federal Reserve Bank of New York View citations (23)
See also Journal Article in Economic Policy Review (2011)
- The changing nature of financial intermediation and the financial crisis of 2007-09
Staff Reports, Federal Reserve Bank of New York View citations (99)
2009
- Financial intermediaries and monetary economics
Staff Reports, Federal Reserve Bank of New York View citations (28)
See also Chapter (2010)
- Monetary tightening cycles and the predictability of economic activity
Staff Reports, Federal Reserve Bank of New York View citations (1)
See also Journal Article in Economics Letters (2008)
- Money, liquidity, and monetary policy
Staff Reports, Federal Reserve Bank of New York View citations (192)
See also Journal Article in American Economic Review (2009)
- Prices and quantities in the monetary policy transmission mechanism
Staff Reports, Federal Reserve Bank of New York View citations (25)
See also Journal Article in International Journal of Central Banking (2009)
- The shadow banking system: implications for financial regulation
Staff Reports, Federal Reserve Bank of New York View citations (60)
See also Journal Article in Financial Stability Review (2009)
- The term structure of inflation expectations
Staff Reports, Federal Reserve Bank of New York View citations (25)
2008
- Financial intermediaries, financial stability, and monetary policy
Staff Reports, Federal Reserve Bank of New York View citations (63)
See also Journal Article in Proceedings - Economic Policy Symposium - Jackson Hole (2008)
- Financial intermediary leverage and value at risk
Staff Reports, Federal Reserve Bank of New York View citations (71)
- Learning about Beta: Time-Varying Factor Loadings, Expected Returns,and the Conditional CAPM
Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (6)
Also in Working Papers, HAL (2005) View citations (18) HEC Research Papers Series, HEC Paris (2005) View citations (18) Staff Reports, Federal Reserve Bank of New York (2008) View citations (3)
See also Journal Article in Journal of Empirical Finance (2009)
- Liquidity and financial cycles
BIS Working Papers, Bank for International Settlements View citations (159)
- Liquidity and leverage
Staff Reports, Federal Reserve Bank of New York View citations (81)
See also Journal Article in Journal of Financial Intermediation (2010)
- Pricing the term structure with linear regressions
Staff Reports, Federal Reserve Bank of New York View citations (18)
See also Journal Article in Journal of Financial Economics (2013)
2007
- Disagreement and Learning in a Dynamic Contracting Model
2007 Meeting Papers, Society for Economic Dynamics View citations (2)
Also in Staff Reports, Federal Reserve Bank of New York (2006) View citations (2)
See also Journal Article in Review of Financial Studies (2009)
2006
- Stock returns and volatility: pricing the short-run and long-run components of market risk
Staff Reports, Federal Reserve Bank of New York View citations (49)
See also Journal Article in Journal of Finance (2008)
2004
- Inference, arbitrage, and asset price volatility
Staff Reports, Federal Reserve Bank of New York View citations (1)
See also Journal Article in Journal of Financial Intermediation (2009)
Journal Articles
2022
- A leverage-based measure of financial stability
Journal of Financial Intermediation, 2022, 51, (C) 
See also Working Paper (2021)
- The Term Structure of Growth-at-Risk
American Economic Journal: Macroeconomics, 2022, 14, (3), 283-323 View citations (5)
See also Working Paper (2018)
2021
- Forecasting macroeconomic risks
International Journal of Forecasting, 2021, 37, (3), 1173-1191 View citations (19)
See also Working Paper (2020)
- MULTIMODALITY IN MACROFINANCIAL DYNAMICS
International Economic Review, 2021, 62, (2), 861-886 View citations (6)
See also Working Paper (2020)
- The Rise of Digital Money
Annual Review of Financial Economics, 2021, 13, (1), 57-77 View citations (4)
2020
- Intraday market making with overnight inventory costs
Journal of Financial Markets, 2020, 50, (C) View citations (2)
See also Working Paper (2017)
- NKV: A New Keynesian Model with Vulnerability
AEA Papers and Proceedings, 2020, 110, 470-76
2019
- Global Price of Risk and Stabilization Policies
IMF Economic Review, 2019, 67, (1), 215-260 View citations (6)
See also Working Paper (2019)
- Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds
Journal of Finance, 2019, 74, (4), 1931-1973 View citations (27)
See also Working Paper (2016)
- Risk‐taking channel of monetary policy
Financial Management, 2019, 48, (3), 725-738 View citations (7)
See also Working Paper (2018)
- Vulnerable Growth
American Economic Review, 2019, 109, (4), 1263-89 View citations (134)
See also Working Paper (2018)
2018
- Liquidity policies and systemic risk
Journal of Financial Intermediation, 2018, 35, (PB), 45-60 View citations (22)
See also Working Paper (2017)
- Liquidity, Leverage, and Regulation 10 Years After the Global Financial Crisis
Annual Review of Financial Economics, 2018, 10, (1), 1-24 View citations (10)
- Monetary Policy, Financial Conditions, and Financial Stability
International Journal of Central Banking, 2018, 14, (1), 73-131 View citations (63)
See also Working Paper (2016)
- Shadow banking and market-based finance
Financial Stability Review, 2018, (22), 13-24 View citations (12)
See also Working Paper (2018)
2017
- Dealer balance sheets and bond liquidity provision
Journal of Monetary Economics, 2017, 89, (C), 92-109 View citations (53)
See also Working Paper (2017)
- Macroprudential policy: a case study from a tabletop exercise
Economic Policy Review, 2017, (23-1), 1-30 View citations (3)
See also Working Paper (2015)
- Market Liquidity After the Financial Crisis
Annual Review of Financial Economics, 2017, 9, (1), 43-83 
See also Working Paper (2017)
2016
- CoVaR
American Economic Review, 2016, 106, (7), 1705-41 View citations (319)
See also Working Paper (2011)
- Decomposing real and nominal yield curves
Journal of Monetary Economics, 2016, 84, (C), 182-200 View citations (68)
See also Working Paper (2012)
2015
- Financial Stability Monitoring
Annual Review of Financial Economics, 2015, 7, (1), 357-395 View citations (23)
See also Working Paper (2014)
- Regression-based estimation of dynamic asset pricing models
Journal of Financial Economics, 2015, 118, (2), 211-244 View citations (33)
See also Working Paper (2015)
2014
- Financial Intermediaries and the Cross-Section of Asset Returns
Journal of Finance, 2014, 69, (6), 2557-2596 View citations (238)
- Procyclical Leverage and Value-at-Risk
Review of Financial Studies, 2014, 27, (2), 373-403 View citations (239)
See also Working Paper (2013)
2013
- Pricing the term structure with linear regressions
Journal of Financial Economics, 2013, 110, (1), 110-138 View citations (306)
See also Working Paper (2008)
- Shadow banking
Economic Policy Review, 2013, (Dec), 1-16 View citations (16)
Also in Revue d'Économie Financière, 2012, 105, (1), 157-184 (2012) View citations (12) Revue d'économie financière, 2012, N° 105, (1), 157-184 (2012) View citations (1)
See also Working Paper (2010)
- Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007 to 2009
NBER Macroeconomics Annual, 2013, 27, (1), 159 - 214 View citations (99)
See also Chapter (2012)
2012
- Shadow Banking Regulation
Annual Review of Financial Economics, 2012, 4, (1), 99-140 View citations (65)
See also Working Paper (2012)
2011
- Financial Intermediary Balance Sheet Management
Annual Review of Financial Economics, 2011, 3, (1), 289-307 View citations (57)
See also Working Paper (2011)
- Financial amplification of foreign exchange risk premia
European Economic Review, 2011, 55, (3), 354-370 View citations (10)
See also Working Paper (2010)
- The Federal Reserve’s Commercial Paper Funding Facility
Economic Policy Review, 2011, 17, (May), 25-39 View citations (15)
See also Working Paper (2010)
2010
- Liquidity and leverage
Journal of Financial Intermediation, 2010, 19, (3), 418-437 View citations (1081)
See also Working Paper (2008)
- Macro Risk Premium and Intermediary Balance Sheet Quantities
IMF Economic Review, 2010, 58, (1), 179-207 View citations (69)
See also Working Paper (2010)
- The Changing Nature of Financial Intermediation and the Financial Crisis of 2007–2009
Annual Review of Economics, 2010, 2, (1), 603-618 View citations (160)
2009
- Disagreement and Learning in a Dynamic Contracting Model
Review of Financial Studies, 2009, 22, (10), 3873-3906 View citations (24)
See also Working Paper (2007)
- Inference, arbitrage, and asset price volatility
Journal of Financial Intermediation, 2009, 18, (1), 49-64 View citations (4)
See also Working Paper (2004)
- Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM
Journal of Empirical Finance, 2009, 16, (4), 537-556 View citations (49)
See also Working Paper (2008)
- Money, Liquidity, and Monetary Policy
American Economic Review, 2009, 99, (2), 600-605 View citations (260)
See also Working Paper (2009)
- Prices and Quantities in the Monetary Policy Transmission Mechanism
International Journal of Central Banking, 2009, 5, (4), 131-142 View citations (34)
See also Working Paper (2009)
- The Federal Reserve's Primary Dealer Credit Facility
Current Issues in Economics and Finance, 2009, 15, (Aug) View citations (44)
- The shadow banking system: implications for fi nancial regulation
Financial Stability Review, 2009, (13), 1-10 View citations (44)
See also Working Paper (2009)
2008
- Financial intermediaries, financial stability and monetary policy
Proceedings - Economic Policy Symposium - Jackson Hole, 2008, 287-334 View citations (46)
See also Working Paper (2008)
- Liquidity and financial contagion
Financial Stability Review, 2008, (11), 1-7 View citations (57)
- Liquidity, monetary policy, and financial cycles
Current Issues in Economics and Finance, 2008, 14, (Jan) View citations (89)
- Monetary tightening cycles and the predictability of economic activity
Economics Letters, 2008, 99, (2), 260-264 View citations (23)
See also Working Paper (2009)
- Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk
Journal of Finance, 2008, 63, (6), 2997-3030 View citations (140)
See also Working Paper (2006)
2007
- Measuring risk in the hedge fund sector
Current Issues in Economics and Finance, 2007, 13, (Mar) View citations (24)
2005
- Stock returns and volatility: pricing the long-run and short-run components of market risk
Proceedings, 2005 View citations (2)
- What financing data reveal about dealer leverage
Current Issues in Economics and Finance, 2005, 11, (Mar) View citations (26)
2004
- The degree of openness and the cost of fixing exchange rate
Economics Letters, 2004, 83, (1), 141-146
1999
- A Stochastic Model of Self-Fulfilling Crises in Fixed Exchange Rate Systems
International Journal of Finance & Economics, 1999, 4, (2), 129-46 View citations (5)
Chapters
2013
- Repo and Securities Lending
A chapter in Risk Topography: Systemic Risk and Macro Modeling, 2013, pp 131-148 View citations (37)
See also Working Paper (2012)
2012
- 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 View citations (95)
See also Journal Article in NBER Macroeconomics Annual (2013)
- shadow banking: a review of the literature
Palgrave Macmillan View citations (36)
See also Working Paper (2012)
2011
- Comment on "Two Monetary Tools: Interest Rates and Haircuts"
A chapter in NBER Macroeconomics Annual 2010, volume 25, 2011, pp 181-191 View citations (1)
- Hedge Fund Tail Risk
A chapter in Quantifying Systemic Risk, 2011, pp 155-172 View citations (6)
2010
- Financial Intermediaries and Monetary Economics
Chapter 12 in Handbook of Monetary Economics, 2010, vol. 3, pp 601-650 View citations (346)
See also Working Paper (2009)
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