Details about Tobias Adrian

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Homepage:	http://sites.google.com/site/tobiasadrian
Workplace:	International Monetary Fund (IMF), (more information at EDIRC)

Access statistics for papers by Tobias Adrian.

Last updated 2020-07-26. Update your information in the RePEc Author Service.

Short-id: pad61

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Working Papers

2021

Central Banks and Digital Currencies
Liberty Street Economics, Federal Reserve Bank of New York

2012

Decomposing real and nominal yield curves
Staff Reports, Federal Reserve Bank of New York View citations (16)
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 (32)
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 (29)
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 (91)

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 (40)
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 (6)
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 (11)
Also in Staff Reports, Federal Reserve Bank of New York (2010) View citations (30)
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 (45)
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 (25)
Risk Appetite and Exchange Rates
2010 Meeting Papers, Society for Economic Dynamics View citations (16)
Also in Staff Reports, Federal Reserve Bank of New York (2009) View citations (3)
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 (22)
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 (89)

2009

Financial intermediaries and monetary economics
Staff Reports, Federal Reserve Bank of New York View citations (25)
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 (182)
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 (24)
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 (51)
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 (23)

2008

Financial intermediaries, financial stability, and monetary policy
Staff Reports, Federal Reserve Bank of New York View citations (58)
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 (67)
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 Staff Reports, Federal Reserve Bank of New York (2008) View citations (3)
Working Papers, HAL (2005) View citations (4)
HEC Research Papers Series, HEC Paris (2005) View citations (10)
See also Journal Article in Journal of Empirical Finance (2009)
Liquidity and financial cycles
BIS Working Papers, Bank for International Settlements View citations (47)
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
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

2020

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 (3)
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 (12)
See also Working Paper (2016)
Risk‐taking channel of monetary policy
Financial Management, 2019, 48, (3), 725-738 View citations (5)
See also Working Paper (2018)
Vulnerable Growth
American Economic Review, 2019, 109, (4), 1263-89 View citations (5)
See also Working Paper (2018)

2018

Liquidity policies and systemic risk
Journal of Financial Intermediation, 2018, 35, (PB), 45-60 View citations (16)
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 (6)
Monetary Policy, Financial Conditions, and Financial Stability
International Journal of Central Banking, 2018, 14, (1), 73-131 View citations (42)
See also Working Paper (2016)
Shadow banking and market-based finance
Financial Stability Review, 2018, (22), 13-24 View citations (7)
See also Working Paper (2018)

2017

Dealer balance sheets and bond liquidity provision
Journal of Monetary Economics, 2017, 89, (C), 92-109 View citations (42)
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
See also Working Paper (2011)
Decomposing real and nominal yield curves
Journal of Monetary Economics, 2016, 84, (C), 182-200 View citations (38)
See also Working Paper (2012)

2015

Financial Stability Monitoring
Annual Review of Financial Economics, 2015, 7, (1), 357-395 View citations (16)
See also Working Paper (2014)
Regression-based estimation of dynamic asset pricing models
Journal of Financial Economics, 2015, 118, (2), 211-244 View citations (25)
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 (184)
Procyclical Leverage and Value-at-Risk
Review of Financial Studies, 2014, 27, (2), 373-403 View citations (159)
See also Working Paper (2013)

2013

Pricing the term structure with linear regressions
Journal of Financial Economics, 2013, 110, (1), 110-138 View citations (258)
See also Working Paper (2008)
Shadow banking
Economic Policy Review, 2013, (Dec), 1-16 View citations (17)
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 (70)
See also Chapter (2012)

2012

Shadow Banking Regulation
Annual Review of Financial Economics, 2012, 4, (1), 99-140 View citations (32)
See also Working Paper (2012)

2011

Financial Intermediary Balance Sheet Management
Annual Review of Financial Economics, 2011, 3, (1), 289-307 View citations (40)
See also Working Paper (2011)
Financial amplification of foreign exchange risk premia
European Economic Review, 2011, 55, (3), 354-370 View citations (7)
See also Working Paper (2010)
The Federal Reserve’s Commercial Paper Funding Facility
Economic Policy Review, 2011, 17, (May), 25-39 View citations (12)
See also Working Paper (2010)

2010

Liquidity and leverage
Journal of Financial Intermediation, 2010, 19, (3), 418-437 View citations (905)
See also Working Paper (2008)
Macro Risk Premium and Intermediary Balance Sheet Quantities
IMF Economic Review, 2010, 58, (1), 179-207 View citations (46)
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 (72)

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 (46)
See also Working Paper (2008)
Money, Liquidity, and Monetary Policy
American Economic Review, 2009, 99, (2), 600-605 View citations (166)
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 (21)
See also Working Paper (2009)
The Federal Reserve's Primary Dealer Credit Facility
Current Issues in Economics and Finance, 2009, 15, (Aug) View citations (42)
The shadow banking system: implications for fi nancial regulation
Financial Stability Review, 2009, (13), 1-10 View citations (35)
See also Working Paper (2009)

2008

Financial intermediaries, financial stability and monetary policy
Proceedings - Economic Policy Symposium - Jackson Hole, 2008, 287-334 View citations (41)
See also Working Paper (2008)
Liquidity and financial contagion
Financial Stability Review, 2008, (11), 1-7 View citations (33)
Liquidity, monetary policy, and financial cycles
Current Issues in Economics and Finance, 2008, 14, (Jan) View citations (88)
Monetary tightening cycles and the predictability of economic activity
Economics Letters, 2008, 99, (2), 260-264 View citations (19)
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 (124)
See also Working Paper (2006)

2007

Measuring risk in the hedge fund sector
Current Issues in Economics and Finance, 2007, 13, (Mar) View citations (23)

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 (4)

Chapters

2013

Repo and Securities Lending
A chapter in Risk Topography: Systemic Risk and Macro Modeling, 2013, pp 131-148 View citations (18)
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 (64)
See also Journal Article in NBER Macroeconomics Annual (2013)
shadow banking: a review of the literature
Palgrave Macmillan
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 (4)

2010

Financial Intermediaries and Monetary Economics
Chapter 12 in Handbook of Monetary Economics, 2010, vol. 3, pp 601-650 View citations (141)
See also Working Paper (2009)