Details about Erik Vogt

Access statistics for papers by Erik Vogt.

Last updated 2016-08-15. Update your information in the RePEc Author Service.

Short-id: pvo214

Working Papers

2017

1. 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 (8)

2016

2. Corporate Bond Market Liquidity Redux: More Price-Based Evidence
   Liberty Street Economics, Federal Reserve Bank of New York View citations (3)
3. Did Third Avenue's Liquidation Reduce Corporate Bond Market Liquidity?
   Liberty Street Economics, Federal Reserve Bank of New York View citations (1)
4. Global price of risk and stabilization policies
   Staff Reports, Federal Reserve Bank of New York View citations (5)
5. Global variance term premia and intermediary risk appetite
   Staff Reports, Federal Reserve Bank of New York View citations (3)
6. Intraday market making with overnight inventory costs
   Staff Reports, Federal Reserve Bank of New York View citations (5)
7. Market liquidity after the financial crisis
   Staff Reports, Federal Reserve Bank of New York View citations (40)
8. Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds
   CEPR Discussion Papers, Centre for Economic Policy Research View citations (4)
   Also in Staff Reports, Federal Reserve Bank of New York (2015) View citations (24)

2015

9. Changes in the Returns to Market Making
   Liberty Street Economics, Federal Reserve Bank of New York View citations (1)
10. Has Liquidity Risk in the Corporate Bond Market Increased?
    Liberty Street Economics, Federal Reserve Bank of New York View citations (4)
11. Has Liquidity Risk in the Treasury and Equity Markets Increased?
    Liberty Street Economics, Federal Reserve Bank of New York View citations (5)
12. Has U.S. Treasury Market Liquidity Deteriorated?
    Liberty Street Economics, Federal Reserve Bank of New York View citations (2)
13. Redemption Risk of Bond Mutual Funds and Dealer Positioning
    Liberty Street Economics, Federal Reserve Bank of New York View citations (2)
14. What's Driving Dealer Balance Sheet Stagnation?
    Liberty Street Economics, Federal Reserve Bank of New York View citations (4)

2014

15. Option-implied term structures
    Staff Reports, Federal Reserve Bank of New York View citations (2)