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
Primary Dealer Participation in the Secondary U.S. Treasury Market
Michael Fleming, Frank Keane, and Ernst Schaumburg
February 12, 2016
Is Treasury Market Liquidity Becoming More Concentrated?
Michael Fleming
February 11, 2016
Further Analysis of Corporate Bond Market Liquidity
Tobias Adrian, Michael Fleming, Erik Vogt, and Zach Wojtowicz
February 10, 2016
Corporate Bond Market Liquidity Redux: More Price-Based Evidence
Tobias Adrian, Michael Fleming, Erik Vogt, and Zach Wojtowicz
February 9, 2016
Has MBS Market Liquidity Deteriorated?
Rich Podjasek, Linsey Molloy, Michael Fleming, and Andreas Fuster
February 9, 2016
Continuing the Conversation on Liquidity
Tobias Adrian, Michael Fleming, and Ernst Schaumburg
February 8, 2016
Fundamental Disagreement: How Much and Why?
Richard Crump and Stefano Eusepi
January 13, 2016
Characterizing the Rising Settlement Fails in Seasoned Treasury Securities
Michael Fleming and Frank Keane
January 4, 2016
The Effect of Fed Funds Rate Hikes on Consumer Borrowing Costs
Nina Boyarchenko, Sooji Kim, and Matthew Plosser
December 21, 2015
Dealer Positioning and Expected Returns
Michael Fleming, Frank Keane, Michael McMorrow, Ernst Schaumburg, and Nathaniel Wuerffel
December 7, 2015
At the N.Y. Fed: Conference on the Evolving Structure of the U.S. Treasury Market
Tobias Adrian, Michael Fleming, and Erik Vogt
December 4, 2015
How Did Quantitative Easing Interact with Regional Inequality?
Andreas Fuster
November 5, 2015
Evaluating the Rescue of Fannie Mae and Freddie Mac
W. Scott Frame, Andreas Fuster, Joseph Tracy, and James Vickery
October 15, 2015
Dealers’ Positions and the Auction Cycle
Michael Fleming and Collin Jones
October 14, 2015
Redemption Risk of Bond Mutual Funds and Dealer Positioning
Tobias Adrian, Michael Fleming, Or Shachar, and Erik Vogt
October 8, 2015
Changes in the Returns to Market Making
Tobias Adrian, Michael Fleming, Or Shachar, Daniel Stackman, Erik Vogt
October 7, 2015
Has Liquidity Risk in the Treasury and Equity Markets Increased?
Tobias Adrian, Michael Fleming, Daniel Stackman, and Erik Vogt
October 6, 2015
Has Liquidity Risk in the Corporate Bond Market Increased?
Tobias Adrian, Michael Fleming, Or Shachar, and Erik Vogt
October 6, 2015
Has U.S. Corporate Bond Market Liquidity Deteriorated?
Tobias Adrian, Michael Fleming, Or Shachar, and Erik Vogt
October 5, 2015
Introduction to a Series on Market Liquidity: Part 2
Tobias Adrian, Michael Fleming, and Ernst Schaumburg
October 5, 2015
Economic Policy Review
The Equity Risk Premium: A Review of Models
Fernando Duarte and Carlo Rosa
Forthcoming
Staff Reports
Merger Options and Risk Arbitrage
Peter Van Tassel
Number 761  January 2016
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
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