Economic Research

Changes in the Returns to Market Making
Since the financial crisis, major U.S. banking institutions have increased their capital ratios in response to tighter capital requirements. This post estimates market-making returns in equity and corporate bond markets to assess the effects of the regulations.
By Tobias Adrian, Michael Fleming, Or Shachar, Daniel Stackman, Erik Vogt
Has Liquidity Risk in the Treasury and Equity Markets Increased?
The bloggers contend that recent changes in liquidity conditions in the Treasury and equity markets may best be described in terms of heightened changes in liquidity risk. They suggest a measure that shows that liquidity risk has increased and discuss some factors behind its rise.
By Tobias Adrian, Michael Fleming, Daniel Stackman, and Erik Vogt
Has Liquidity Risk in the Corporate Bond Market Increased?
Recent commentary suggests concern among market participants about corporate bond market liquidity, even as evidence suggests that liquidity remains ample. In this post, the bloggers propose a measure of liquidity risk in the corporate bond market, and analyze its evolution over time.
By Tobias Adrian, Michael Fleming, Or Shachar, and Erik Vogt
Has U.S. Corporate Bond Market Liquidity Deteriorated?
In the corporate debt market, dealer positions, which are considered essential to good liquidity, have declined, even as issuance and outstanding debt have increased. To measure market liquidity in the corporate bond market, the bloggers review both price- and quantity-based liquidity measures for the market, including trading volume, trade size, bid-ask spreads, and price impact.
By Tobias Adrian, Michael Fleming, Or Shachar, and Erik Vogt
Introduction to a Series on Market Liquidity: Part 2
First in a seven-part series. This week, Liberty Street Economics will publish a second series of six posts that shed light on the evolving nature of market liquidity. The bloggers examine various measures of liquidity in the corporate bond market; measure liquidity risk in the corporate bond, Treasury, and equity markets; examine the changing role of dealers; and examine the potential for increased uncertainty about the level of liquidity in markets where high-frequency trading is common.
By Tobias Adrian, Michael Fleming, and Ernst Schaumburg
Crisis Chronicles: Defensive Suspension and the Panic of 1857
In this edition of Crisis Chronicles, the bloggers describe the Panic of 1857 and explain why businesses pushed for national suspension to save themselves.
By Thomas Klitgaard and James Narron
Introducing Our New App: Economic Research Tracker
In this post, the Bank’s Research director introduces a new option for keeping up with our economists’ work—the Economic Research Tracker for Apple iPad. We invite readers to download the app and begin exploring bylines and topics of interest.
By Jamie McAndrews
Assessing Market Liquidity
In a series on Liberty Street Economics, our bloggers considered factors that might be driving a change in the nature of liquidity in key financial markets since the financial crisis.
Research Analyst Opportunities for College Graduates
The New York Fed’s Research Group is looking for talented individuals with a background in economics, mathematics, or statistics. We are now accepting applications for the RA position with a summer 2016 start date. Download our informational app from Apple's App Store.
Supplemental Survey Report
In the September Survey, manufacturers and service firms were asked how much their overall selling prices had changed over the past year and how much they expected their prices to rise or fall in the year ahead.
Business Leaders Survey
Business Leaders Survey
The September 2015 survey indicates that activity in the region’s service sector continued to expand modestly.
Empire State Manufacturing Survey
Empire State Manufacturing Survey
Latest survey for September 2015 finds business conditions index remained well below zero at -14.7.
U.S. Economy in a Snapshot
U.S. Economy in a Snapshot is a monthly presentation designed to give you a quick and accessible look at developments in the economy.
SCE Housing Survey
SCE Housing Survey—2015
Our 2015 survey finds U.S. households remain broadly optimistic about the housing market. Most renters report that they would rather own than rent if they had the necessary financial resources. As in last year’s survey, a majority believe that it would be difficult to obtain a mortgage, although responses suggest a slight easing in perceived credit access.
Recent Articles
The Affordable Care Act and the Labor Market: A First Look
Pinkovskiy considers changes in labor markets across U.S. states and counties subsequent to the enactment of the Affordable Care Act (ACA) in 2010 and its implementation in 2014. He finds that counties with large fractions of uninsured before the enactment or the implementation of the ACA experienced more rapid employment and salary growth than did counties with smaller fractions of people uninsured, after both the enactment and implementation of the ACA.
By Maxim Pinkovskiy, Staff Reports 746, October 2015
An Interest Rate Rule to Uniquely Implement the Optimal Equilibrium in a Liquidity Trap
Short-term nominal interest rates in many developed economies—including Japan, the United States, and Europe—have by now been against their effective zero lower bound (ZLB) for several years, with liftoff from the ZLB unlikely in the near future. In this paper, the authors put forth a new class of interest rate rules for an economy in a liquidity trap (that is, a time in which the natural rate of interest is negative).
By Fernando Duarte and Anna Zabai, Staff Reports 745, October 2015
Evaluating the Information in the Federal Reserve Stress Tests
As the annual supervisory stress test processes have evolved, the Federal Reserve has provided increasingly detailed public disclosures about the tests’ results and implications. This paper evaluates how the publication of this official sector analysis affects private investors’ assessments of the tested bank holding companies’ values.
By Mark Flannery, Beverly Hirtle, and Anna Kovner, Staff Reports 744, October 2015
The Cyclicality of Leverage
The authors document empirically that banks base their balance sheet management on book equity and book leverage. They also present evidence that balance sheet management of intermediaries is linked to market risk, which directly affects firms’ ability to take on leverage.
By Tobias Adrian, Nina Boyarchenko, and Hyun Song Shin, Staff Reports 743, October 2015
Macroprudential Policy: Case Study from a Tabletop Exercise
This paper presents a macroprudential tabletop exercise designed to provide Federal Reserve Bank Presidents with a plausible, albeit hypothetical, macro-financial scenario that would lend itself to macroprudential considerations. It describes the hypothetical macro-financial scenario, the set of macroprudential tools, their transmission mechanism, as well as an account of the participants’ assessment of vulnerabilities and potential policy actions under the scenario.
By Tobias Adrian, Patrick de Fontnouvelle, Emily Yang, and Andrei Zlate, Staff Reports 742, October 2015
Interest Rates and the Market for New Light Vehicles
The authors measure the dynamic response of real prices, sales, production, and inventories to changes in real interest rates for a particular durable goods market—new cars and light trucks. This is an important issue because the market for durable goods is a key channel through which monetary policy affects the real economy.
By Adam Copeland, George Hall, and Louis Maccini, Staff Reports 741, September 2015
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