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

Working Papers

2022

1. 800,000 Years of Climate Risk
   Staff Reports, Federal Reserve Bank of New York
2. A Medium-Scale DSGE Model for the Integrated Policy Framework
   IMF Working Papers, International Monetary Fund
3. A Multi-Currency Exchange and Contracting Platform
   IMF Working Papers, International Monetary Fund
4. Managing Monetary Tradeoffs in Vulnerable Open Economies
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
5. The Bond Market Selloff in Historical Perspective
   Liberty Street Economics, Federal Reserve Bank of New York
6. 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

7. 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)
8. A Quantitative Microfounded Model for the Integrated Policy Framework
   IMF Working Papers, International Monetary Fund
9. Central Banks and Digital Currencies
   Liberty Street Economics, Federal Reserve Bank of New York
10. 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

11. "Low for Long" and Risk-Taking
    IMF Departmental Papers / Policy Papers, International Monetary Fund View citations (1)
12. 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)
13. 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)
14. Managing Macrofinancial Risk
    IMF Working Papers, International Monetary Fund
15. 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)
16. 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)
17. Stress Testing at the IMF
    IMF Departmental Papers / Policy Papers, International Monetary Fund View citations (9)
18. 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)
19. What Do Financial Conditions Tell Us about Risks to GDP Growth?
    Liberty Street Economics, Federal Reserve Bank of New York View citations (3)

2019

20. A Monitoring Framework for Global Financial Stability
    IMF Staff Discussion Notes, International Monetary Fund View citations (7)
21. 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)
22. 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

23. A Review of Shadow Banking
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
24. 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)
25. Liquidity, Leverage, and Regulation Ten Years after the Global Financial Crisis
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
26. 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)
27. 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)
28. 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)
29. 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)
30. 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

31. 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)
32. Dealer Balance Sheets and Corporate Bond Liquidity Provision
    Liberty Street Economics, Federal Reserve Bank of New York View citations (21)
33. 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)
34. 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)
35. 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)
36. 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

37. Continuing the Conversation on Liquidity
    Liberty Street Economics, Federal Reserve Bank of New York
38. Corporate Bond Market Liquidity Redux: More Price-Based Evidence
    Liberty Street Economics, Federal Reserve Bank of New York View citations (3)
39. Did Third Avenue's Liquidation Reduce Corporate Bond Market Liquidity?
    Liberty Street Economics, Federal Reserve Bank of New York View citations (1)
40. 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)
41. Forecasting Interest Rates over the Long Run
    Liberty Street Economics, Federal Reserve Bank of New York
42. 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)
43. 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

44. Changes in the Returns to Market Making
    Liberty Street Economics, Federal Reserve Bank of New York View citations (1)
45. Discounting the Long-Run
    Liberty Street Economics, Federal Reserve Bank of New York
46. Discussion of “Systemic Risk and the Solvency-Liquidity Nexus of Banks”
    Staff Reports, Federal Reserve Bank of New York View citations (2)
47. 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)
48. Has Liquidity Risk in the Corporate Bond Market Increased?
    Liberty Street Economics, Federal Reserve Bank of New York View citations (4)
49. Has Liquidity Risk in the Treasury and Equity Markets Increased?
    Liberty Street Economics, Federal Reserve Bank of New York View citations (5)
50. Has U.S. Treasury Market Liquidity Deteriorated?
    Liberty Street Economics, Federal Reserve Bank of New York View citations (2)
51. 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)
52. Introduction to a Series on Market Liquidity
    Liberty Street Economics, Federal Reserve Bank of New York
53. Introduction to a Series on Market Liquidity: Part 2
    Liberty Street Economics, Federal Reserve Bank of New York
54. 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)
55. News shocks, monetary policy, and foreign currency positions
    Staff Reports, Federal Reserve Bank of New York View citations (1)
56. On the scale of financial intermediaries
    Staff Reports, Federal Reserve Bank of New York View citations (15)
57. Redemption Risk of Bond Mutual Funds and Dealer Positioning
    Liberty Street Economics, Federal Reserve Bank of New York View citations (2)
58. 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)
59. 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)
60. What's Driving Dealer Balance Sheet Stagnation?
    Liberty Street Economics, Federal Reserve Bank of New York View citations (4)

2014

61. 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)
62. Liquidity Risk, Liquidity Management, and Liquidity Policies
    Liberty Street Economics, Federal Reserve Bank of New York View citations (1)
63. Treasury Term Premia: 1961-Present
    Liberty Street Economics, Federal Reserve Bank of New York View citations (1)

2013

64. 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)
65. Do Treasury Term Premia Rise around Monetary Tightenings?
    Liberty Street Economics, Federal Reserve Bank of New York View citations (4)
66. 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)
67. 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)
68. Shadow bank monitoring
    Staff Reports, Federal Reserve Bank of New York View citations (7)
69. The Recent Bond Market Selloff in Historical Perspective
    Liberty Street Economics, Federal Reserve Bank of New York View citations (1)

2012

70. 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)
71. Discussion of “An Integrated Framework for Multiple Financial Regulations”
    Staff Reports, Federal Reserve Bank of New York
72. 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)
73. 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)
74. 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)
75. 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

76. Broker-Dealer Leverage and the Cross-Section of Stock Returns
    2011 Meeting Papers, Society for Economic Dynamics
77. 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)
78. Dodd-Frank one year on: implications for shadow banking
    Staff Reports, Federal Reserve Bank of New York
79. 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)
80. 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

81. 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)
82. Financial amplification of foreign exchange risk premia
    Staff Reports, Federal Reserve Bank of New York
    See also Journal Article in European Economic Review (2011)
83. Funding liquidity risk and the cross-section of stock returns
    Staff Reports, Federal Reserve Bank of New York View citations (1)
84. 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)
85. Monetary cycles, financial cycles, and the business cycle
    Staff Reports, Federal Reserve Bank of New York View citations (27)
86. 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)
87. Shadow banking
    Staff Reports, Federal Reserve Bank of New York View citations (89)
    See also Journal Article in Economic Policy Review (2013)
88. 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)
89. 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

90. Financial intermediaries and monetary economics
    Staff Reports, Federal Reserve Bank of New York View citations (28)
    See also Chapter (2010)
91. 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)
92. 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)
93. 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)
94. 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)
95. The term structure of inflation expectations
    Staff Reports, Federal Reserve Bank of New York View citations (25)

2008

96. 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)
97. Financial intermediary leverage and value at risk
    Staff Reports, Federal Reserve Bank of New York View citations (71)
98. 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)
99. Liquidity and financial cycles
    BIS Working Papers, Bank for International Settlements View citations (159)
100. Liquidity and leverage
     Staff Reports, Federal Reserve Bank of New York View citations (81)
     See also Journal Article in Journal of Financial Intermediation (2010)
101. 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

102. 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

103. 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

104. 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

1. A leverage-based measure of financial stability
   Journal of Financial Intermediation, 2022, 51, (C)
   See also Working Paper (2021)
2. 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

3. Forecasting macroeconomic risks
   International Journal of Forecasting, 2021, 37, (3), 1173-1191 View citations (19)
   See also Working Paper (2020)
4. MULTIMODALITY IN MACROFINANCIAL DYNAMICS
   International Economic Review, 2021, 62, (2), 861-886 View citations (6)
   See also Working Paper (2020)
5. The Rise of Digital Money
   Annual Review of Financial Economics, 2021, 13, (1), 57-77 View citations (4)

2020

6. Intraday market making with overnight inventory costs
   Journal of Financial Markets, 2020, 50, (C) View citations (2)
   See also Working Paper (2017)
7. NKV: A New Keynesian Model with Vulnerability
   AEA Papers and Proceedings, 2020, 110, 470-76

2019

8. Global Price of Risk and Stabilization Policies
   IMF Economic Review, 2019, 67, (1), 215-260 View citations (6)
   See also Working Paper (2019)
9. 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)
10. Risk‐taking channel of monetary policy
    Financial Management, 2019, 48, (3), 725-738 View citations (7)
    See also Working Paper (2018)
11. Vulnerable Growth
    American Economic Review, 2019, 109, (4), 1263-89 View citations (134)
    See also Working Paper (2018)

2018

12. Liquidity policies and systemic risk
    Journal of Financial Intermediation, 2018, 35, (PB), 45-60 View citations (22)
    See also Working Paper (2017)
13. Liquidity, Leverage, and Regulation 10 Years After the Global Financial Crisis
    Annual Review of Financial Economics, 2018, 10, (1), 1-24 View citations (10)
14. 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)
15. Shadow banking and market-based finance
    Financial Stability Review, 2018, (22), 13-24 View citations (12)
    See also Working Paper (2018)

2017

16. Dealer balance sheets and bond liquidity provision
    Journal of Monetary Economics, 2017, 89, (C), 92-109 View citations (53)
    See also Working Paper (2017)
17. 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)
18. Market Liquidity After the Financial Crisis
    Annual Review of Financial Economics, 2017, 9, (1), 43-83
    See also Working Paper (2017)

2016

19. CoVaR
    American Economic Review, 2016, 106, (7), 1705-41 View citations (319)
    See also Working Paper (2011)
20. Decomposing real and nominal yield curves
    Journal of Monetary Economics, 2016, 84, (C), 182-200 View citations (68)
    See also Working Paper (2012)

2015

21. Financial Stability Monitoring
    Annual Review of Financial Economics, 2015, 7, (1), 357-395 View citations (23)
    See also Working Paper (2014)
22. 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

23. Financial Intermediaries and the Cross-Section of Asset Returns
    Journal of Finance, 2014, 69, (6), 2557-2596 View citations (238)
24. Procyclical Leverage and Value-at-Risk
    Review of Financial Studies, 2014, 27, (2), 373-403 View citations (239)
    See also Working Paper (2013)

2013

25. Pricing the term structure with linear regressions
    Journal of Financial Economics, 2013, 110, (1), 110-138 View citations (306)
    See also Working Paper (2008)
26. 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)
27. 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

28. Shadow Banking Regulation
    Annual Review of Financial Economics, 2012, 4, (1), 99-140 View citations (65)
    See also Working Paper (2012)

2011

29. Financial Intermediary Balance Sheet Management
    Annual Review of Financial Economics, 2011, 3, (1), 289-307 View citations (57)
    See also Working Paper (2011)
30. Financial amplification of foreign exchange risk premia
    European Economic Review, 2011, 55, (3), 354-370 View citations (10)
    See also Working Paper (2010)
31. 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

32. Liquidity and leverage
    Journal of Financial Intermediation, 2010, 19, (3), 418-437 View citations (1081)
    See also Working Paper (2008)
33. Macro Risk Premium and Intermediary Balance Sheet Quantities
    IMF Economic Review, 2010, 58, (1), 179-207 View citations (69)
    See also Working Paper (2010)
34. 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

35. 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)
36. Inference, arbitrage, and asset price volatility
    Journal of Financial Intermediation, 2009, 18, (1), 49-64 View citations (4)
    See also Working Paper (2004)
37. 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)
38. Money, Liquidity, and Monetary Policy
    American Economic Review, 2009, 99, (2), 600-605 View citations (260)
    See also Working Paper (2009)
39. 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)
40. The Federal Reserve's Primary Dealer Credit Facility
    Current Issues in Economics and Finance, 2009, 15, (Aug) View citations (44)
41. 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

42. Financial intermediaries, financial stability and monetary policy
    Proceedings - Economic Policy Symposium - Jackson Hole, 2008, 287-334 View citations (46)
    See also Working Paper (2008)
43. Liquidity and financial contagion
    Financial Stability Review, 2008, (11), 1-7 View citations (57)
44. Liquidity, monetary policy, and financial cycles
    Current Issues in Economics and Finance, 2008, 14, (Jan) View citations (89)
45. Monetary tightening cycles and the predictability of economic activity
    Economics Letters, 2008, 99, (2), 260-264 View citations (23)
    See also Working Paper (2009)
46. 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

47. Measuring risk in the hedge fund sector
    Current Issues in Economics and Finance, 2007, 13, (Mar) View citations (24)

2005

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

2004

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

1999

51. 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

1. 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

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 (95)
   See also Journal Article in NBER Macroeconomics Annual (2013)
3. shadow banking: a review of the literature
   Palgrave Macmillan View citations (36)
   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 (6)

2010

6. 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)