Details about Tobias Adrian

Access statistics for papers by Tobias Adrian.

Last updated 2019-11-19. Update your information in the RePEc Author Service.

Short-id: pad61

Working Papers

2019

1. A Monitoring Framework for Global Financial Stability
   IMF Staff Discussion Notes, International Monetary Fund
2. Global Price of Risk and Stabilization Policies
   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 (2)
   See also Journal Article in IMF Economic Review (2019)
3. Intraday market making with overnight inventory costs
   Staff Reports, Federal Reserve Bank of New York View citations (1)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017)
4. Monetary policy and financial conditions: a cross-country study
   Staff Reports, Federal Reserve Bank of New York View citations (1)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (10)
5. Multimodality in Macro-Financial Dynamics
   Staff Reports, Federal Reserve Bank of New York

2018

6. A Leverage-Based Measure of Financial Stability
   Discussion Papers of Business and Economics, University of Southern Denmark, Department of Business and Economics
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018)
7. A Review of Shadow Banking
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
8. Financial Vulnerability and Monetary Policy
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)
   Also in Staff Reports, Federal Reserve Bank of New York (2017) View citations (8)
   2017 Meeting Papers, Society for Economic Dynamics (2017) View citations (3)
9. Liquidity, Leverage, and Regulation Ten Years after the Global Financial Crisis
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
10. Risk Management and Regulation
    IMF Departmental Papers / Policy Papers, International Monetary Fund View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017)
11. Risk-Taking Channel of Monetary Policy
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
    See also Journal Article in Financial Management (2019)
12. Shadow Banking and Market-Based Finance
    IMF Departmental Papers / Policy Papers, International Monetary Fund View citations (2)
    See also Journal Article in Financial Stability Review (2018)
13. The Term Structure of Growth-at-Risk
    IMF Working Papers, International Monetary Fund View citations (4)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (3)

2017

14. An index of Treasury Market liquidity: 1991-2017
    Staff Reports, Federal Reserve Bank of New York View citations (1)
15. Dealer Balance Sheets and Bond Liquidity Provision
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (18)
    Also in Staff Reports, Federal Reserve Bank of New York (2017) View citations (28)
    See also Journal Article in Journal of Monetary Economics (2017)
16. Liquidity Policies and Systemic Risk
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    Also in Staff Reports, Federal Reserve Bank of New York (2014) View citations (5)
    2014 Meeting Papers, Society for Economic Dynamics (2014) View citations (1)
    See also Journal Article in Journal of Financial Intermediation (2018)
17. Market Liquidity after the Financial Crisis
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (10)
    Also in Staff Reports, Federal Reserve Bank of New York (2016) View citations (27)
    See also Journal Article in Annual Review of Financial Economics (2017)
18. Vulnerable Growth
    2017 Meeting Papers, Society for Economic Dynamics View citations (9)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (5)
    Staff Reports, Federal Reserve Bank of New York (2017) View citations (7)
    See also Journal Article in American Economic Review (2019)

2016

19. Dynamic Leverage Asset Pricing
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    Also in Staff Reports, Federal Reserve Bank of New York (2014) View citations (7)
20. Monetary Policy, Financial Conditions, and Financial Stability
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (14)
    Also in Staff Reports, Federal Reserve Bank of New York (2016) View citations (19)
    IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan (2014) View citations (12)
    See also Journal Article in International Journal of Central Banking (2018)
21. 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 (2016) View citations (16)
    See also Journal Article in Journal of Finance (2019)
22. On the scale of financial intermediaries
    Staff Reports, Federal Reserve Bank of New York View citations (7)

2015

23. Decomposing real and nominal yield curves
    Staff Reports, Federal Reserve Bank of New York View citations (15)
    See also Journal Article in Journal of Monetary Economics (2016)
24. Discussion of “Systemic Risk and the Solvency-Liquidity Nexus of Banks”
    Staff Reports, Federal Reserve Bank of New York View citations (1)
25. Financial Stability Policies for Shadow Banking
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in Staff Reports, Federal Reserve Bank of New York (2014) View citations (6)
26. Intermediary Balance Sheets
    2015 Meeting Papers, Society for Economic Dynamics View citations (7)
    Also in Staff Reports, Federal Reserve Bank of New York (2013) View citations (8)
27. Intermediary leverage cycles and financial stability
    Staff Reports, Federal Reserve Bank of New York View citations (115)
    Also in Working Papers, Becker Friedman Institute for Research In Economics (2012) View citations (66)
28. 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)
29. News shocks, monetary policy, and foreign currency positions
    Staff Reports, Federal Reserve Bank of New York
30. Regression Based Estimation of Dynamic Asset Pricing Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (16)
    Also in Staff Reports, Federal Reserve Bank of New York (2014) View citations (1)
    See also Journal Article in Journal of Financial Economics (2015)
31. Risk appetite and exchange Rates
    Staff Reports, Federal Reserve Bank of New York View citations (3)
    Also in 2010 Meeting Papers, Society for Economic Dynamics (2010) View citations (14)
32. The Cost of Capital of the Financial Sector
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
    Also in Staff Reports, Federal Reserve Bank of New York (2015) View citations (2)

2014

33. CoVaR
    Staff Reports, Federal Reserve Bank of New York
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (1)
    See also Journal Article in American Economic Review (2016)
34. Financial Stability Monitoring
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2013) View citations (6)
    Staff Reports, Federal Reserve Bank of New York (2014) View citations (5)
    See also Journal Article in Annual Review of Financial Economics (2015)

2013

35. 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 (4)
36. Procyclical Leverage and Value-at-Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (36)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2013) View citations (33)
    See also Journal Article in Review of Financial Studies (2014)
37. Repo and securities lending
    Staff Reports, Federal Reserve Bank of New York View citations (4)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (31)
    See also Chapter (2013)
38. Shadow bank monitoring
    Staff Reports, Federal Reserve Bank of New York View citations (3)

2012

39. Discussion of “An Integrated Framework for Multiple Financial Regulations”
    Staff Reports, Federal Reserve Bank of New York
40. Shadow banking regulation
    Staff Reports, Federal Reserve Bank of New York View citations (26)
    See also Journal Article in Annual Review of Financial Economics (2012)
41. Shadow banking: a review of the literature
    Staff Reports, Federal Reserve Bank of New York View citations (27)
    See also Chapter (2012,4th quarter update)
42. Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007-9
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (79)

2011

43. Broker-Dealer Leverage and the Cross-Section of Stock Returns
    2011 Meeting Papers, Society for Economic Dynamics
44. Dodd-Frank one year on: implications for shadow banking
    Staff Reports, Federal Reserve Bank of New York
45. Financial intermediary balance sheet management
    Staff Reports, Federal Reserve Bank of New York View citations (26)
    See also Journal Article in Annual Review of Financial Economics (2011)
46. 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 (6)
    Also in Staff Reports, Federal Reserve Bank of New York (2011) View citations (19)

2010

47. Financial Intermediation, Asset Prices, and Macroeconomic Dynamics
    2010 Meeting Papers, Society for Economic Dynamics View citations (6)
    Also in Staff Reports, Federal Reserve Bank of New York (2010) View citations (24)
48. Financial amplification of foreign exchange risk premia
    Staff Reports, Federal Reserve Bank of New York
    See also Journal Article in European Economic Review (2011)
49. Funding liquidity risk and the cross-section of stock returns
    Staff Reports, Federal Reserve Bank of New York View citations (1)
50. Macro risk premium and intermediary balance sheet quantities
    Staff Reports, Federal Reserve Bank of New York View citations (42)
    See also Journal Article in IMF Economic Review (2010)
51. Monetary cycles, financial cycles, and the business cycle
    Staff Reports, Federal Reserve Bank of New York View citations (16)
52. Shadow banking
    Staff Reports, Federal Reserve Bank of New York View citations (89)
    See also Journal Article in Economic Policy Review (2013)
53. The Federal Reserve's Commercial Paper Funding Facility
    Staff Reports, Federal Reserve Bank of New York View citations (21)
    See also Journal Article in Economic Policy Review (2011)
54. The changing nature of financial intermediation and the financial crisis of 2007-09
    Staff Reports, Federal Reserve Bank of New York View citations (69)

2009

55. Financial intermediaries and monetary economics
    Staff Reports, Federal Reserve Bank of New York View citations (22)
    See also Chapter (2010)
56. Monetary tightening cycles and the predictability of economic activity
    Staff Reports, Federal Reserve Bank of New York
    See also Journal Article in Economics Letters (2008)
57. Money, liquidity, and monetary policy
    Staff Reports, Federal Reserve Bank of New York View citations (149)
    See also Journal Article in American Economic Review (2009)
58. Prices and quantities in the monetary policy transmission mechanism
    Staff Reports, Federal Reserve Bank of New York View citations (23)
    See also Journal Article in International Journal of Central Banking (2009)
59. The shadow banking system: implications for financial regulation
    Staff Reports, Federal Reserve Bank of New York View citations (39)
    See also Journal Article in Financial Stability Review (2009)
60. The term structure of inflation expectations
    Staff Reports, Federal Reserve Bank of New York View citations (19)

2008

61. Disagreement and learning in a dynamic contracting model
    Staff Reports, Federal Reserve Bank of New York View citations (2)
    Also in 2007 Meeting Papers, Society for Economic Dynamics (2007)
    See also Journal Article in Review of Financial Studies (2009)
62. Financial intermediaries, financial stability, and monetary policy
    Staff Reports, Federal Reserve Bank of New York View citations (51)
    See also Journal Article in Proceedings - Economic Policy Symposium - Jackson Hole (2008)
63. Financial intermediary leverage and value at risk
    Staff Reports, Federal Reserve Bank of New York View citations (63)
64. 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 (3)
    HEC Research Papers Series, HEC Paris (2005) View citations (9)
    Staff Reports, Federal Reserve Bank of New York (2008) View citations (3)
    See also Journal Article in Journal of Empirical Finance (2009)
65. Liquidity and financial cycles
    BIS Working Papers, Bank for International Settlements View citations (42)
66. Liquidity and leverage
    Staff Reports, Federal Reserve Bank of New York View citations (76)
    See also Journal Article in Journal of Financial Intermediation (2010)
67. 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)

2006

68. 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 (48)
    See also Journal Article in Journal of Finance (2008)

2004

69. 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

2019

1. Global Price of Risk and Stabilization Policies
   IMF Economic Review, 2019, 67, (1), 215-260 View citations (1)
   See also Working Paper (2019)
2. Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds
   Journal of Finance, 2019, 74, (4), 1931-1973
   See also Working Paper (2016)
3. Risk‐taking channel of monetary policy
   Financial Management, 2019, 48, (3), 725-738
   See also Working Paper (2018)
4. Vulnerable Growth
   American Economic Review, 2019, 109, (4), 1263-89
   See also Working Paper (2017)

2018

5. Liquidity policies and systemic risk
   Journal of Financial Intermediation, 2018, 35, (PB), 45-60 View citations (3)
   See also Working Paper (2017)
6. Liquidity, Leverage, and Regulation 10 Years After the Global Financial Crisis
   Annual Review of Financial Economics, 2018, 10, (1), 1-24 View citations (1)
7. Monetary Policy, Financial Conditions, and Financial Stability
   International Journal of Central Banking, 2018, 14, (1), 73-131 View citations (10)
   See also Working Paper (2016)
8. Shadow banking and market-based finance
   Financial Stability Review, 2018, (22), 13-24 View citations (2)
   See also Working Paper (2018)

2017

9. Dealer balance sheets and bond liquidity provision
   Journal of Monetary Economics, 2017, 89, (C), 92-109 View citations (28)
   See also Working Paper (2017)
10. Macroprudential policy: a case study from a tabletop exercise
    Economic Policy Review, 2017, 1-30 View citations (2)
    See also Working Paper (2015)
11. Market Liquidity After the Financial Crisis
    Annual Review of Financial Economics, 2017, 9, (1), 43-83
    See also Working Paper (2017)

2016

12. CoVaR
    American Economic Review, 2016, 106, (7), 1705-41
    See also Working Paper (2014)
13. Decomposing real and nominal yield curves
    Journal of Monetary Economics, 2016, 84, (C), 182-200 View citations (18)
    See also Working Paper (2015)

2015

14. Financial Stability Monitoring
    Annual Review of Financial Economics, 2015, 7, (1), 357-395 View citations (9)
    See also Working Paper (2014)
15. Regression-based estimation of dynamic asset pricing models
    Journal of Financial Economics, 2015, 118, (2), 211-244 View citations (14)
    See also Working Paper (2015)

2014

16. Financial Intermediaries and the Cross-Section of Asset Returns
    Journal of Finance, 2014, 69, (6), 2557-2596 View citations (123)
17. Procyclical Leverage and Value-at-Risk
    Review of Financial Studies, 2014, 27, (2), 373-403 View citations (108)
    See also Working Paper (2013)

2013

18. Pricing the term structure with linear regressions
    Journal of Financial Economics, 2013, 110, (1), 110-138 View citations (169)
    See also Working Paper (2008)
19. Shadow banking
    Economic Policy Review, 2013, 1-16 View citations (11)
    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)
20. Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007 to 2009
    NBER Macroeconomics Annual, 2013, 27, (1), 159 - 214 View citations (42)
    See also Chapter (2012)

2012

21. Shadow Banking Regulation
    Annual Review of Financial Economics, 2012, 4, (1), 99-140 View citations (26)
    See also Working Paper (2012)

2011

22. Financial Intermediary Balance Sheet Management
    Annual Review of Financial Economics, 2011, 3, (1), 289-307 View citations (26)
    See also Working Paper (2011)
23. Financial amplification of foreign exchange risk premia
    European Economic Review, 2011, 55, (3), 354-370 View citations (4)
    See also Working Paper (2010)
24. The Federal Reserve’s Commercial Paper Funding Facility
    Economic Policy Review, 2011, (may), 25-39 View citations (9)
    See also Working Paper (2010)

2010

25. Liquidity and leverage
    Journal of Financial Intermediation, 2010, 19, (3), 418-437 View citations (731)
    See also Working Paper (2008)
26. Macro Risk Premium and Intermediary Balance Sheet Quantities
    IMF Economic Review, 2010, 58, (1), 179-207 View citations (43)
    See also Working Paper (2010)
27. The Changing Nature of Financial Intermediation and the Financial Crisis of 2007–2009
    Annual Review of Economics, 2010, 2, (1), 603-618 View citations (52)

2009

28. Disagreement and Learning in a Dynamic Contracting Model
    Review of Financial Studies, 2009, 22, (10), 3873-3906 View citations (22)
    See also Working Paper (2008)
29. Inference, arbitrage, and asset price volatility
    Journal of Financial Intermediation, 2009, 18, (1), 49-64 View citations (1)
    See also Working Paper (2004)
30. Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM
    Journal of Empirical Finance, 2009, 16, (4), 537-556 View citations (34)
    See also Working Paper (2008)
31. Money, Liquidity, and Monetary Policy
    American Economic Review, 2009, 99, (2), 600-605 View citations (133)
    See also Working Paper (2009)
32. Prices and Quantities in the Monetary Policy Transmission Mechanism
    International Journal of Central Banking, 2009, 5, (4), 131-142 View citations (20)
    See also Working Paper (2009)
33. The Federal Reserve's Primary Dealer Credit Facility
    Current Issues in Economics and Finance, 2009, (aug) View citations (32)
34. The shadow banking system: implications for fi nancial regulation
    Financial Stability Review, 2009, (13), 1-10 View citations (23)
    See also Working Paper (2009)

2008

35. Financial intermediaries, financial stability and monetary policy
    Proceedings - Economic Policy Symposium - Jackson Hole, 2008, 287-334 View citations (34)
    See also Working Paper (2008)
36. Liquidity and financial contagion
    Financial Stability Review, 2008, (11), 1-7 View citations (29)
37. Liquidity, monetary policy, and financial cycles
    Current Issues in Economics and Finance, 2008, (jan) View citations (73)
38. Monetary tightening cycles and the predictability of economic activity
    Economics Letters, 2008, 99, (2), 260-264 View citations (17)
    See also Working Paper (2009)
39. 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 (97)
    See also Working Paper (2006)

2007

40. Measuring risk in the hedge fund sector
    Current Issues in Economics and Finance, 2007, (mar) View citations (20)

2005

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

2004

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

1999

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

Chapters

2013

1. Repo and Securities Lending
   A chapter in Risk Topography: Systemic Risk and Macro Modeling, 2013, pp 131-148 View citations (13)
   See also Working Paper (2013)

2012

2. 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 (51)
   See also Journal Article in NBER Macroeconomics Annual (2013)
3. shadow banking: a review of the literature
   Palgrave Macmillan
   See also Working Paper (2012)

2011

4. 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)
5. Hedge Fund Tail Risk
   A chapter in Quantifying Systemic Risk, 2011, pp 155-172 View citations (4)

2010

6. Financial Intermediaries and Monetary Economics
   Chapter 12 in Handbook of Monetary Economics, 2010, vol. 3, pp 601-650 View citations (117)
   See also Working Paper (2009)