Tobias Adrian

Tobias Adrian

Senior Vice President and Function Head
Capital Markets Function
Federal Reserve Bank of New York
33 Liberty Street
New York, NY 10045

Phone (212) 720-1717
Fax (212) 720-1582
tobias.adrian@ny.frb.org

Publications

Regression-Based Estimation of Dynamic Asset Pricing Models
With Richard K. Crump and Emanuel Moench
Journal of Financial Economics, forthcoming
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 493, Revised June 2014

Financial Intermediaries and the Cross-Section of Asset Returns
With Erkko Etula and Tyler Muir
Journal of Finance, forthcoming
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 464, Revised April 2011

Procyclical Leverage and Value-at-Risk
With Hyun Song Shin
Review of Financial Studies, 27(2), February 2014, pp. 373-403
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 338, Revised March 2011

Pricing the Term Structure with Linear Regressions
With Emanuel Moench and Richard Crump
Journal of Financial Economics 110(1), October 2013, pp. 110-138
Previously circulated as Federal Reserve Bank of New York Staff Reports 340, Revised May 2012

Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007-09
With Paolo Colla, and Hyun Song Shin
NBER Macroeconomics Annual 2012,Volume 27 edited by Daron Acemoglu, Jonathan Parker, and Michael Woodford, May 2013, pp. 159 - 214
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 528, December 2011

Financial Intermediary Balance Sheet Management
Annual Review of Financial Economics 3, pp. 289-307.
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 532, December 2011

Financial Amplification of Foreign Exchange Risk Premia
With Erkko Etula, and Jan J. J. Groen
European Economic Review, 55(3), April 2011, pp. 354-370
See also ››
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 461, July 2010 OFFSITE

Hedge Fund Tail Risk
With Markus K. Brunnermeier and Hoai-Luu Nguyen
Quantifying Systemic Risk, Forthcoming, ed. by Joseph G. Haubrich and Andrew W. Lo
See also ››
Previously circulated as National Bureau of Economic Research, chapter c12057, April 2011 OFFSITE

Financial Intermediaries and Monetary Economics
With Hyun Song Shin
Handbook of Monetary Economics, 3A, ch. 12, ed. by Benjamin Friedman and Michael Woodford, pp. 601-650
See also ››
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 398, October 2009

Macro Risk Premium and Intermediary Balance Sheet Quantities
With Emmanuel Moench and Hyun Song Shin
IMF Economic Review, 58, September 2010, pp. 179-207
See also ››
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 428, January 2010

The Changing Nature of Financial Intermediation and the Financial Crisis of 2007-09
With Hyun Song Shin
Annual Review of Economics, 2, September 2010, pp. 603-618
See also ››
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 439, March 2010

Money, Liquidity and Monetary Policy
With Hyun Song Shin
American Economic Review, Volume 99, Issue 2, May 2009
pp. 600-605
See also ››
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 360, January 2009

Liquidity and Leverage
With Hyun Song Shin
Journal of Financial Intermediation,Volume 19, Issue 3, July 2010
See also ››
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 328, May 2008

Monetary Tightening Cycles and the Predictability of Economic Activity OFFSITE
With Arturo Estrella
Economics Letters, Volume 99, Issue 2, May 2008
pp. 260-264
See also ››
updated version circulated as: Federal Reserve Bank of New York Staff Reports, Number 397, October 2009

Disagreement and Learning in a Dynamic Contracting Model
With Mark Westerfield
Review of Financial Studies, Volume 22, Number 10
pp. 3873-3906
See also ››
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 269, December 2006
Received the WFA/CRA International 2007 Best Paper in Corporate Finance Award.

Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk
With Joshua Rosenberg
Journal of Finance, Volume 63, Issue 6, December 2008
pp. 2997-3030
See also ››
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 254, July 2006

Learning about Beta: Time-varying Factor Loadings, Expected Returns, and the Conditional CAPM
With Francesco Franzoni
Journal of Empirical Finance, Volume 16, Number 4, September 2009
pp.537-556
See also ››
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 193, September 2004

Inference, Arbitrage, and the Volatility of Asset Prices
Journal of Financial Intermediation, Volume 18, Issue 1, January 2009
pp. 49-64
See also ››
Previously circulated as Federal Reserve Bank of New York Staff Reports, Number 187, August 2007

The Degree of Openness and the Costs of Fixing the Exchange Rate
With Daniel Gros
Economics Letters, Volume 83, Issue 1, April 2004
pp. 141-146

A Stochastic Model of Self-Fulfilling Crisis in Fixed Exchange Rate Systems
With Daniel Gros
International Journal of Finance and Economics, Volume 4, Issue 2, May 1999
pp. 129-146

Number 340

Tobias Adrian's CVPDFThe views expressed in the papers listed on this page are those of the author(s) and do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System.