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
Houses as ATMs No Longer
Andreas Fuster, Eilidh Geddes, and Andrew Haughwout
February 15, 2017
How Resilient Is the U.S. Housing Market Now?
Andreas Fuster, Eilidh Geddes, Benedict Guttman-Kenney, and Andrew Haughwout
February 13, 2017
Credit Market Arbitrage and Regulatory Leverage
Nina Boyarchenko, Pooja Gupta, Nick Steele, and Jacqueline Yen
January 11, 2017
Trends in Arbitrage-Based Measures of Bond Liquidity
Nina Boyarchenko, Pooja Gupta, and Jacqueline Yen
January 9, 2017
At the N.Y. Fed: Second Annual Conference on the Evolving Structure of the U.S. Treasury Market
Ellen Correia Golay, Michael Fleming, Frank Keane, and Nathaniel Wuerffel
December 2, 2016
A Closer Look at the Federal Reserve’s Securities Lending Program
Michael Fleming, Frank Keane, Jake Schurmeier, and Emma Weiss
August 17, 2016
What Drives Forecaster Disagreement about Monetary Policy?
Richard Crump and Stefano Eusepi
August 15, 2016
Forecasting Interest Rates over the Long Run
Tobias Adrian, Richard Crump, Peter Diamond, and Rui Yu
June 18, 2016
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
Economic Policy Review
The Equity Risk Premium: A Review of Models
Fernando Duarte and Carlo Rosa
Staff Reports
The Time-Varying Price of Financial Intermediation in the Mortgage Market
Andreas Fuster, Stephanie H. Lo, and Paul S. Willen
Number 805  January 2017
Financial Vulnerability and Monetary Policy
Tobias Adrian and Fernando Duarte
Number 804  December 2016
Intraday Market Making with Overnight Inventory Costs
Tobias Adrian, Agostino Capponi, Erik Vogt, and Hongzhong Zhang
Number 799  October 2016
Home Price Expectations and Behavior: Evidence from a Randomized Information
Luis Armona, Andreas Fuster, and Basit Zafar
Number 798  October 2016
Market Liquidity after the Financial Crisis
Tobias Adrian, Michael Fleming, Or Shachar, and Erik Vogt
Number 796  October 2016
Vulnerable Growth
Tobias Adrian, Nina Boyarchenko, and Domenico Giannone
Number 794  September 2016
Global Variance Term Premia and Intermediary Risk Appetite
Peter Van Tassel and Erik Vogt
Number 789  August 2016
Characteristic-Sorted Portfolios: Estimation and Inference
Matias D. Cattaneo, Richard K. Crump, Max H. Farrell, and Ernst Schaumburg
Number 788  August 2016
Tracking and Stress-Testing U.S. Household Leverage
Andreas Fuster, Benedict Guttman-Kenney, and Andrew Haughwout
Number 787  August 2016
Global Price of Risk and Stabilization Policies
Tobias Adrian, Daniel Stackman, and Erik Vogt
Number 786  August 2016
Trading Activity in the Indian Government Bond Market
Michael Fleming, Samita Sareen, and Seema Saggar
Number 785  August 2016
Trends in Credit Market Arbitrage
Nina Boyarchenko, Pooja Gupta, and Jacqueline Yen
Number 784  July 2016
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
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