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
What’s behind the March Spike in Treasury Fails?
Michael Fleming and Frank Keane
April 18, 2016
A Peek behind the Curtain of Bank Supervision
Paul Goldsmith-Pinkham, Beverly Hirtle, and David Lucca
April 14, 2016
The Economics of Bank Supervision: So Much to Do, So Little Time
Thomas Eisenbach, David Lucca, and Robert Townsend
April 12, 2016
Hey, Economist! What Did You Make of “The Big Short”?
Jason Bram and Andreas Fuster
April 1, 2016
Did Third Avenue’s Liquidation Reduce Corporate Bond Market Liquidity?
Tobias Adrian, Michael Fleming, Erik Vogt, and Zachary Wojtowicz
February 19, 2016
Quantifying Potential Spillovers from Runs on High-Yield Funds
Nicola Cetorelli, Fernando Duarte, Thomas Eisenbach, and Emily Eisner
February 19, 2016
Are Asset Managers Vulnerable to Fire Sales?
Nicola Cetorelli, Fernando Duarte, and Thomas Eisenbach
February 18, 2016
Primary Dealer Participation in the Secondary U.S. Treasury Market
Michael Fleming, Frank Keane, and Ernst Schaumburg
February 12, 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
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
Economic Policy Review
The Equity Risk Premium: A Review of Models
Fernando Duarte and Carlo Rosa
Forthcoming
Staff Reports
The Term Structure of Expectations and Bond Yields
Richard K. Crump, Stefano Eusepi, and Emanuel Moench
Number 775  May 2016
Term Structures of Asset Prices and Returns
David Backus, Nina Boyarchenko, and Mikhail Chernov
Number 774  April 2016
The Federal Reserve and Market Confidence
Nina Boyarchenko, Valentin Haddad, and Matthew Plosser
Number 773  April 2016
Parsing the Content of Bank Supervision
Paul Goldsmith-Pinkham, Beverly Hirtle, and David Lucca
Number 770  March 2016
The Economics of Bank Supervision
Thomas M. Eisenbach, David O. Lucca, and Robert M. Townsend
Number 769  March 2016
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
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