Current Issues—Concise studies of topical economic and financial issues
Economic Policy Review—The Group's flagship policy journal
Staff Reports—Technical working papers
Course: Financial Instruments and Markets
See: Course selections »
2014 Readings | Mathematical Complexity |
| LIBOR: Origins, Economics, Crisis, Scandal, and Reform David Hou and David Skeie Staff Reports , No. 667 , March 2014 | Low |
| Dealer Financial Conditions and Lender-of-Last-Resort Facilities Viral Acharya, Michael J. Fleming, Warren B. Hrung, and Asani Sarkar Staff Reports , No. 673 , May 2014 | Low |
| Arbitrage-free Affine Models of the Forward Price of Foreign Currency J. Benson Durham Staff Reports , No. 665 , February 2014 | Medium |
| A simple and reliable way to compute option-based risk-neutral distributions Allan Malz Staff Reports , No. 677 , June 2014 | Medium |
| A Leverage-Based Measure of Financial Instability Alexander Tepper and Karol Jan Borowiecki Staff Reports , No. 688 , August 2014 | Medium |
| How Does Risk Management Influence Production Decisions? Evidence from a Field Experiment Shawn Cole, Xavier Gine, and James Vickery Staff Reports , No. 692 , September 2014 | Medium |
| Asset Pricing with Horizon-Dependent Risk Aversion Marianne Andries, Thomas Eisenbach, and Martin C Schmalz Staff Reports , No. 703 , December 2014 | High |
2013 Readings | Mathematical Complexity |
| A Sampling-Window Approach to Transactions-Based Libor Fixing David Skeie, Darrell Duffie, and James Vickery Staff Reports , No. 596 , February 2013 | Low |
| TBA Trading and Liquidity in the Agency MBS Market James Vickery and Joshua Wright Economic Policy Review | Low |
| The Capital Structure and Governance of a Mortgage Securitization Utility Patricia Mosser, Joseph Tracy, and Joshua Wright Staff Reports , No. 644 , October 2013 | Low |
| Securitization and the Fixed-Rate Mortgage Andreas M Fuster and James Vickery Staff Reports , No. 594 , January 2013 | Medium |
| Up Close It Feels Dangerous: 'Anxiety' in the Face of Risk Thomas M Eisenbach and Martin C Schmalz Staff Reports , No. 610 , April 2013 | Medium |
| Trading Activity and Price Transparency in the Inflation Swap Market Michael J. Fleming and John Sporn Economic Policy Review , Vol. Forthcoming | Medium |
| Did Liquidity Providers Become Liquidity Seekers? Jaewon Choi and Or Shachar Staff Reports , No. 650 , October 2013 | Medium |
| ECB Monetary Operations and the Interbank Repo Market Peter G. Dunne, Michael J. Fleming, and Andrey Zholos Staff Reports , No. 654 , December 2013 | Medium |
| Order Flow Segmentation and the Role of Dark Trading in the Price Discovery of U.S. Treasury Securities Michael J. Fleming and Giang Nguyen Staff Reports , No. 624 , August 2013 | High |
| Heterogeneity and Stability: Bolster the Strong, Not the Weak Dong Beom Choi Staff Reports , No. 637 , 09/2013 | High |
| The Fragility of Short-Term Secured Funding Markets Antoine Martin, David Skeie, and Ernst-Ludwig Von Thadden Staff Reports , No. 630 , September 2013 | High |
2012 Readings | Mathematical Complexity |
| Defaults and Losses on Commercial Real Estate Bonds during the Great Depression Era Tyler Wiggers and Adam B. Ashcraft Staff Reports , No. 544 , 01/2012 | Low |
| Leverage and Asset Prices: An Experiment Marco Cipriani, Ana Fostel, and Daniel Hauser Staff Reports , No. 548 , February 2012 | Low |
| Securities Lending Paul C. Lipson, Bradley K. Sabel, and Frank M. Keane Staff Reports , No. 555 , March 2012 | Low |
| Follow the Money: Quantifying Domestic Effects of Foreign Bank Shocks in the Great Recession Nicola Cetorelli and Linda Goldberg Staff Reports , No. 545 , February 2012 | Medium |
| Estimating a Structural Model of Herd Behavior in Financial Markets Marco Cipriani and Antonio Garino Staff Reports , No. 561 , May 2012 | Medium |
| Payment Changes and Default Risk: The Impact of Refinancing on Expected Credit Losses Joseph Tracy and Joshua Wright Staff Reports , No. 562 , June 2012 | Medium |
| Market Declines: What Is Accomplished by Banning Short-Selling? Robert Battalio, Hamid Mehran, and Paul Schultz Current Issues , Vol. 18 , No. 5 , August 2012 | Medium |
| Information Acquisition and Financial Intermediation Nina Boyarchenko Staff Reports , No. 571 , September 2012 | Medium |
| Have Financial Markets Become More Informative? Jennie Bai, Thomas Philippon, and Alexi Savov Staff Reports , No. 578 , October 2012 | Medium |
| Forecasting through the Rear-view Mirror: Data Revisions and Bond Return Predictability Eric Ghysels, Casidhe Horan, and Emanuel Moench Staff Reports , No. 581 , November 2012 | Medium |
| No Good Deals-No Bad Models Nina Boyarchenko, Mario Cerrato, John Crosby, and Stewart Hodges Staff Reports , No. 589 , December 2012 | Medium |
| Decomposing Real and Nominal Yield Curves Michael Abrahams, Tobias Adrian, Richard K. Crump, and Emanuel Moench Staff Reports , No. 570 , September 2012 | High |
| On Bounding Credit Event Risk Premia Jennie Bai, Pierre Collin-Dufresne, Robert Goldstein, and Jean Helwege Staff Reports , No. 577 , October 2012 | High |
| Liquidity, Volatility and Flights to Safety in the U.S. Treasury Market: Evidence From A New Class of Dynamic Order Book Models Robert F. Engle, Michael J. Fleming, Eric Ghysels, and Giang Nguyen Staff Reports , No. 590 , December 2012 | High |
2011 Readings | Mathematical Complexity |
| Responses to the Financial Crisis, Treasury Debt, and the Impact on Short-Term Money Markets Warren B. Hrung and Jason S. Seligman Staff Reports , No. 481 , January 2011 | Low |
| Subprime Foreclosures and the 2005 Bankruptcy Reform Donald P. Morgan, Benjamin Iverson, and Matthew Botsch Economic Policy Review , Vol. 18 , No. 1 , March 2012 | Low |
| Subprime Foreclosures and the 2005 Bankruptcy Reform Donald P. Morgan, Benjamin Iverson, and Matthew Botsch Economic Policy Review , Vol. 18 , No. 1 , March 2012 | Low |
| An Analysis of CDS Transactions: Implications for Public Reporting Kathryn Chen, Michael J. Fleming, John Jackson, Ada Li, and Asani Sarkar Staff Reports , No. 517 , September 2011 | Low |
| Decomposing Short-Term Return Reversal Zhi Da, Qianqiu Liu, and Ernst Schaumburg Staff Reports , No. 513 , September 2011 | Low |
| Low | |
| Repo and Securities Lending Tobias Adrian, Brian Begalle, Adam Copeland, and Antoine Martin Staff Reports , No. 529 , December 2011 | Low |
| The Microstructure of the TIPS Market Michael J. Fleming and Neel Krishnan Economic Policy Review , Vol. 18 , No. 1 | Low |
| Is There an S&P 500 Index Effect? Maria Kasch and Asani Sarkar Staff Reports , No. 484 , February 2011 | Medium |
| Central Bank Transparency and the Crowding Out of Private Information in an Experimental Asset Market Menno Middeldorp and Stephanie Rosenkranz Staff Reports , No. 487 , March 2011 | Medium |
| FOMC Communication Policy and the Accuracy of Fed Funds Futures Menno Middeldorp Staff Reports , No. 491 , April 2011 | Medium |
| Central Bank Transparency, the Accuracy of Professional Forecasts and Interest Rate Volatility Menno Middeldorp Staff Reports , No. 496 , May 2011 | Medium |
| Market Declines: What Is Accomplished by Banning Short-Selling? Robert Battalio, Hamid Mehran, and Paul Schultz Staff Reports , No. 518 , September 2011 | Medium |
| Regression-Based Estimation of Dynamic Asset Pricing Models Emanuel Moench, Richard K. Crump, and Tobias Adrian Staff Reports , No. 493 , May 2011 | High |
| Mapping Change in the Federal Funds Market Morten Bech, Carl Bergstrom, Rod Garratt, and Martin Rosvall Staff Reports , No. 507 , August 2011 | High |
2010 Readings | Mathematical Complexity |
| Stressed, not Frozen: The Federal Funds Market in the Financial Crisis Gara Afonso, Anna Kovner, and Antoinette Schoar Staff Reports , No. 437 , March 2010 | Low |
| On the Design of Contingent Capital With Market Trigger Suresh Sundaresan and Zhenyu Wang Staff Reports , No. 448 , May 2010 | Low |
| A Private Lender Cooperative Model for Residential Mortgage Finance Toni Dechario, Patricia C. Mosser, Joseph Tracy, James Vickery, and Joshua Wright Staff Reports , No. 466 , August 2010 | Low |
| TBA Trading and Liquidity in the Agency MBS Market James Vickery and Joshua Wright Staff Reports , No. 468 , August 2010 | Low |
| Performance Maximization of Actively Managed Funds Paolo Guasoni, Gur Huberman, and Zhenyu Wang Staff Reports , No. 427 , January 2010 | Medium |
| Equity Premium Predictions with Adaptive Macro Indexes Jennie Bai Staff Reports , No. 475 , October 2010 | Medium |
| Financial Intermediaries and the Cross-Section of Asset Returns Tobias Adrian, Erkko Etula, and Muir Tyler Staff Reports , No. 464 , July 2010 | High |
2009 Readings | Mathematical Complexity |
| The Term Securities Lending Facility: Origin, Design, and Effects Michael J. Fleming, Frank Keane, and Warren B. Hrung Current Issues , Vol. 15 , No. 2 , February 2009 | Low |
| Credit Default Swap Auctions Jean Helwege, Samuel Maurer, Asani Sarkar, and Yuan Wang Staff Reports , No. 372 , May 2009 | Low |
| The Persistent Effects of a False News Shock Carlos Carvalho, Nicholas Klagge, and Emanuel Moench Staff Reports , No. 374 , May 2009 | Low |
| Liquidity Risk, Credit Risk and The Federal Reserve's Responses to the Crisis Asani Sarkar Staff Reports , No. 389 , September 2009 | Low |
| The Microstructure of the TIPS Market Michael J. Fleming and Neel Krishnan Staff Reports , No. 414 , December 2009 | Low |
| Broker-Dealer Risk Appetite and Commodity Returns Erkko Etula Staff Reports , No. 406 , November 2009 | Medium |
| Second Chances: Subprime Mortgage Modification and Re-Default Andrew Haughwout, Ebiere Okah, and Joseph Tracy Staff Reports , No. 417 , December 2009 | Medium |
| Valuing the Treasury's Capital Assistance Program Paul Glasserman and Zhenyu Wang Staff Reports , No. 413 , December 2009 | Medium |
| The Term Structure of Inflation Expectations Tobias Adrian and Hao Wu Staff Reports , No. 362 , February 2009 | High |
| The Microstructure of a U.S. Treasury ECN: The BrokerTec Platform Michael J. Fleming and Bruce Mizrach Staff Reports , No. 381 , July 2009 | High |
| Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes Michel Van der Wel, Albert J. Menkveld, and Asani Sarkar Staff Reports , No. 395 , September 2009 | High |
2008 Readings | Mathematical Complexity |
| Understanding the Securitization of Subprime Mortgage Credit Adam B. Ashcraft and Til Schuermann Staff Reports , No. 318 , March 2008 | Low |
| How Economic News Moves Markets Leonardo Bartolini, Linda Goldberg, and Adam Sacarny Current Issues , Vol. 14 , No. 6 , August 2008 | Low |
| Juvenile Delinquent Mortgages: Bad Credit or Bad Economy? Andrew Haughwout, Richard Peach, and Joseph Tracy Staff Reports , No. 341 , August 2008 | Medium |
| Medium | |
| Medium | |
| Pricing the Term Structure with Linear Regressions Tobias Adrian, Richard K. Crump, and Emanuel Moench Staff Reports , No. 340 , August 2008 | High |
| Precautionary Demand and Liquidity in Payment Systems Gara M. Afonso and Hyun Song Shin Staff Reports , No. 352 , October 2008 | High |
| The Topology of the Federal Funds Market Morten L. Bech and Enghin Atalay Staff Reports , No. 354 , November 2008 | High |
2007 Readings | Mathematical Complexity |
| Evaluating the Relative Strength of the U.S. Capital Markets Stavros Peristiani Current Issues , Vol. 13 , No. 6 | Low |
| Medium | |
| Hedge Funds, Financial Intermediation, and Systemic Risk Kevin Stiroh, Til Schuermann, and John Kambhu Economic Policy Review , 2007 | |
2006 Readings | Mathematical Complexity |
| Empirical Evaluation of Asset Pricing Models: Arbitrage and Pricing Errors over Contingent Claims Zhenyu Wang and Xiaoyan Zhang Staff Reports , No. 265 , October 2006 | Medium |
| On the Market Discipline of Informationally Opaque Firms: Evidence from Bank Borrowers in the Federal Funds Market Hoyt Bleakley and Adam Ashcraft Staff Reports , No. 257 , August 2005 | Medium |
1996 Readings | Mathematical Complexity |
| The Yield Curve as a Predictor of U.S. Recessions Frederic Mishkin and Arturo Estrella Current Issues , Vol. 2 , No. 7 , June 1996 | Low |
Readings | Mathematical Complexity |
| Securities Loans Collateralized by Cash: Reinvestment Risk, Run Risk, and Incentive Issues Frank M. Keane Current Issues , Vol. 19 , No. 3 | Low |
| The Introduction of the TMPG Fails Charge for U.S. Treasury Securities Kenneth Garbade, Frank Keane, Lorie Logan, Amanda Stokes, and Jennifer Wolgemuth Economic Policy Review , Vol. 10 , No. 16 | Low |
| The Role of Bank Credit Enhancements in Securitization Don Morgan and Chenyang Wei Economic Policy Review , Vol. 18 , No. 2 | Medium |
