Capital Markets: Publications

Research focusing on asset pricing and financial market liquidity and on the interaction between markets, institutions, and the macroeconomy.
Liberty Street Economics
Discounting the Long Run
Tobias Adrian, Richard Crump, Peter Diamond, and Rui Yu
August 31, 2015
Rethinking Mortgage Design
John Campbell, Andreas Fuster, David Lucca, Stijn Van Nieuwerburgh, and James Vickery
August 24, 2015
What’s Driving Dealer Balance Sheet Stagnation?
Tobias Adrian, Michael Fleming, Daniel Stackman, and Erik Vogt
August 21, 2015
The Evolution of Workups in the U.S. Treasury Securities Market
Michael Fleming, Ernst Schaumburg, and Ron Yang
August 20, 2015
High-Frequency Cross-Market Trading in U.S. Treasury Markets
Dobrislav Dobrev and Ernst Schaumburg
August 19, 2015
Liquidity during Flash Events
Ernst Schaumburg and Ron Yang
August 18, 2015
Introduction to a Series on Market Liquidity
Tobias Adrian, Michael Fleming, and Ernst Schaumburg
August 17, 2015
Has U.S. Treasury Market Liquidity Deteriorated?
Tobias Adrian, Michael Fleming, Daniel Stackman, and Erik Vogt
August 17, 2015
Do Asset Purchase Programs Push Capital Abroad?
Thomas Klitgaard and David Lucca
August 12, 2015
Just Released: The U.S. Treasury Market on October 15, 2014
Nashrah Ahmed, Alain Chaboud, Dobrislav Dobrev, Joseph Fiorica, Michael Fleming, Frank Keane, Michael McMorrow, Suraj Prasanna, Ernst Schaumburg, Nathaniel Wuerffel, and Ron Yang
July 20, 2015
Have Dealers' Strategies in the GCF Repo© Market Changed?
Nina Boyarchenko, Thomas Eisenbach, and Or Shachar
July 20, 2015
Just Released: What Do Banking Supervisors Do?
Beverly Hirtle and David Lucca
May 28, 2015
Counterparty Risk in Material Supply Contracts
Nina Boyarchenko
February 9, 2015
FRN Follow-Up: Who Are the Market Participants?
Ezechiel Copic, Luis Gonzalez, Caitlin Gorback, Blake Gwinn, and Ernst Schaumburg
January 14, 2015
Worker Flows in Banking Regulation
David Lucca, Amit Seru, and Francesco Trebbi
January 5, 2015
Data Insight: Which Growth Rate? It’s a Weighty Subject
Richard Crump, Stefano Eusepi, David Lucca, and Emanuel Moench
December 29, 2014
A special series on Liquidity
Liquidity Risk, Liquidity Management, and Liquidity Policies
Tobias Adrian and João Santos
April 14, 2014
Depositor Discipline of Risk-Taking by U.S. Banks
Stavros Peristiani and João Santos
April 14, 2014
On Fire-Sale Externalities, TARP Was Close to Optimal
Fernando Duarte and Thomas Eisenbach
April 15, 2014
Liquidity Policies and Systemic Risk
Tobias Adrian and Nina Boyarchenko
April 17, 2014
Staff Reports
The Cyclicality of Leverage
Tobias Adrian, Nina Boyarchenko, and Hyun Song Shin
Number 743  October 2015
Subjective Intertemporal Substitution
Richard K. Crump, Stefano Eusepi, Andrea Tambalotti, and Giorgio Topa
Number 734  July 2015
Regional Heterogeneity and Monetary Policy
Martin Beraja, Andreas Fuster, Erik Hurst, and Joseph Vavra
Number 731  June 2015
Supervising Large, Complex Financial Companies: What Do Supervisors Do?
Thomas Eisenbach, Andrew Haughwout, Beverly Hirtle, Anna Kovner, David Lucca, and Matthew Plosser
Number 729  May 2015
Intermediaries as Information Aggregators: An Application to U.S. Treasury Auctions
Nina Boyarchenko, David O. Lucca, and Laura Veldkamp
Number 726  April 2015
Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds
Tobias Adrian, Richard Crump, and Erik Vogt
Number 723  April 2015
The Rescue of Fannie Mae and Freddie Mac
W. Scott Frame, Andreas Fuster, Joseph Tracy, and James Vickery
Number 719  March 2015
The Equity Risk Premium: A Review of Models
Fernando Duarte and Carlo Rosa
Number 714  February 2015
Option-Implied Term Structures
Erik Vogt
Number 706  December 2014
The Sensitivity of Housing Demand to Financing Conditions: Evidence from a Survey
Andreas Fuster and Basit Zafar
Number 702  November 2014
Counterparty Risk in Material Supply Contracts
Nina Boyarchenko and Anna M. Costello
Number 694  October 2014
Understanding Mortgage Spreads
Nina Boyarchenko, Andreas Fuster, and David O. Lucca
Number 674  May 2014
Dealer Financial Conditions and Lender-of-Last-Resort Facilities
Viral Acharya, Michael J. Fleming, Warren B. Hrung, and Asani Sarkar
Number 673  May 2014
LIBOR: Origins, Economics, Crisis, Scandal, and Reform
David Hou and David Skeie
Number 667  March 2014
Financial Stability Policies for Shadow Banking
Tobias Adrian
Number 664   February2014
Liquidity Policies and Systemic Risk
Tobias Adrian and Nina Boyarchenko
Number 661   December 2013
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