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Details about Erik Vogt

Homepage:http://www.newyorkfed.org/research/economists/vogt/index.html
Workplace:Federal Reserve Bank of New York, (more information at EDIRC)

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 Downloads View citations (6)

2016

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

2015

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

2014

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