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Author:Rodrigues, Anthony P. 

Nonbank lenders and the credit slowdown


Working Paper
Tests of mean-variance efficiency of international equity markets

Research Working Paper , Paper 90-05

Discussion Paper
How Do Survey- and Market-Based Expectations of the Policy Rate Differ?

Over the past year, market pricing on interest rate derivatives linked to the federal funds rate has suggested a significantly lower expected path of the policy rate than responses to the New York Fed?s Survey of Primary Dealers (SPD) and Survey of Market Participants (SMP). However, this gap narrowed considerably from December 2015 to January 2016, before widening slightly at longer horizons in March. This post argues that the narrowing between December and January was mostly the result of survey respondents placing greater weight on lower rate outcomes, while the subsequent widening between ...
Liberty Street Economics , Paper 20160407

A test of international CAPM

Research Paper , Paper 8822

One-sided test for an unknown breakpoint: theory, computation, and application to monetary theory

The econometrics literature contains a variety of two-sided tests for unknown breakpoints in time-series models with one or more parameters. This paper derives an analogous one-sided test that takes into account the direction of the change for a single parameter. In particular, we propose a sup t statistic, which is distributed as a normalized Brownian bridge. The method is illustrated by testing whether the reaction of monetary policy to inflation has increased since 1959.
Staff Reports , Paper 232

Journal Article
Government securities investments of commercial banks

Government securities holdings at U.S. commercial banks have risen rapidly since 1990. The author contrasts the recent rise with increases observed during and after earlier recessions and evaluates possible explanations for the buildup. In addition, he presents a rough estimate of the interest exposure created solely by the securities acquisitions and compares it with estimates for earlier periods when commercial banks also added U.S. securities to their portfolios at a fast rate.
Quarterly Review , Volume 18 , Issue Sum

Discussion Paper
Reconciling Survey- and Market-Based Expectations for the Policy Rate

In our previous post, we showed that the gap between the market-implied path for the federal funds rate and the survey-implied mean expectations for the federal funds rate from the Survey of Primary Dealers (SPD) and the Survey of Market Participants (SMP) narrowed from the December survey to the January survey. In particular, we provided explanations for this narrowing as well as for the subsequent widening from January to March. This post continues the discussion by presenting a novel approach called ?tilting? that yields insights by measuring how much the survey probability distributions ...
Liberty Street Economics , Paper 20160408

Discussion Paper
Breaking Down TRACE Volumes Further

Following an earlier joint FEDS Note and Liberty Street Economics blog post that examined aggregate trading volume in the Treasury cash market across venues, this post looks at volume across security type, seasoned-ness (time since issuance), and maturity. The analysis, which again relies on transactions recorded in the Financial Industry Regulatory Authority's (FINRA) Trade Reporting and Compliance Engine (TRACE), sheds light on perceptions that some Treasury securities—in particular those that are off-the-run—may not trade very actively. We confirm that most trading volume is made up of ...
Liberty Street Economics , Paper 20181129

Tests of mean-variance efficiency of international equity markets

Research Paper , Paper 9209

Journal Article
Financial implications of the U.S. external deficit

Quarterly Review , Volume 13 , Issue Win , Pages 33-51



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