Search Results
Showing results 1 to 10 of approximately 459.
(refine search)
Working Paper
Quantifying "Quantitative Tightening" (QT): How Many Rate Hikes Is QT Equivalent To?
Wei, Bin
(2022-07-15)
How many interest rate hikes is quantitative tightening (QT) equivalent to? In this paper, I examine this question based on the preferred-habitat model in Vayanos and Vila (2021). I define the equivalence between rate hikes and QT such that they both have the same impact on the 10-year yield. Based on the model calibrated to fit the nominal Treasury data between 1999 and 2022, I show that a passive roll-off of $2.2 trillion over three years is equivalent to an increase of 29 basis points in the current federal funds rate at normal times. However, during a crisis period with risk aversion ...
FRB Atlanta Working Paper
, Paper 2022-8
Working Paper
The Effects of the Federal Reserve Chair’s Testimony on Interest Rates and Stock Prices
Gordon, Matthew V.; Lunsford, Kurt Graden
(2023-11-13)
We study how congressional testimony about monetary policy by the Chair of the Board of Governors of the Federal Reserve System affects interest rates and stock prices. First, we study testimony associated with the Federal Reserve’s Monetary Policy Reports (MPRs) to Congress. Testimony for a particular MPR is usually given on two days, one day for each chamber of Congress. We separately study the first day and second day of MPR testimony. We also study testimonies not associated with MPRs but that are still related to monetary policy. We find that first-day MPR testimonies cause the largest ...
Working Papers
, Paper 23-26
Working Paper
A Model of Endogenous Debt Maturity with Heterogeneous Beliefs
Darst, Matt; Refayet, Ehraz
(2017-05)
This paper studies optimal debt maturity in an economy with repayment enforcement frictions and investors disagree about repayment probabilities. The optimal debt maturity choice is a mix of long- and short-term debt securities. Spreading risky debt claims on cash flows over time allows debt to be priced by investors most willing to hold risk at each point in time, thereby increasing investment and output. By contrast, a single maturity, either all long- or short-term, will be priced by investors less willing to hold risk, which reduces investment and output. The model provides a novel ...
Finance and Economics Discussion Series
, Paper 2017-057
Working Paper
Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement
Saxena, Konark; Reeves, Jonathan J.; Prono, Todd; Phin, Andrew
(2018-11-30)
Using high frequency data, we develop an event study method to test for level shifts in beta and measure abnormal returns for events that produce such level shifts. Using this method, we estimate abnormal returns for the Troubled Asset Relief Program (TARP) announcement and find that its abnormal returns are largely realized on the first day. The abnormal returns in the remaining post event period, which show up as a drift using standard methodology, are attributed to level shifts in beta.
Finance and Economics Discussion Series
, Paper 2018-081
Report
Intraday market making with overnight inventory costs
Vogt, Erik; Fleming, Michael J.; Zhang, Hongzhong; Capponi, Agostino; Adrian, Tobias
(2016-10-01)
The U.S. Treasury market is highly intermediated by nonbank principal trading firms (PTFs). Limited capital forces PTFs to end the trading day roughly flat. We construct a continuous time market making model to analyze the trade-off faced by a profit-maximizing firm with overnight inventory costs, and develop closed-form representations of the optimal price policy functions. Our model reveals that bid-ask spreads widen as the end of the trading day approaches, and that increases in order arrival rates do not always lead to higher price volatility. Our empirical analysis shows that ...
Staff Reports
, Paper 799
Working Paper
A Probability-Based Stress Test of Federal Reserve Assets and Income
Christensen, Jens H. E.; Lopez, Jose A.; Rudebusch, Glenn D.
(2013-12-16)
To support the economy, the Federal Reserve amassed a large portfolio of long-term bonds. We assess the Fed?s associated interest rate risk ? including potential losses to its Treasury securities holdings and declines in remittances to the Treasury. Unlike past examinations of this interest rate risk, we attach probabilities to alternative interest rate scenarios. These probabilities are obtained from a dynamic term structure model that respects the zero lower bound on yields. The resulting probability-based stress test finds that the Fed?s losses are unlikely to be large and remittances are ...
Working Paper Series
, Paper 2013-38
Report
The cost of capital of the financial sector
Muir, Tyler; Adrian, Tobias; Friedman, Evan
(2015-12-01)
Standard factor pricing models do not capture well the common time-series or cross-sectional variation in average returns of financial stocks. We propose a five-factor asset pricing model that complements the standard Fama and French (1993) three-factor model with a financial sector ROE factor (FROE) and the spread between the financial sector and the market return (SPREAD). This five-factor model helps to alleviate the pricing anomalies for financial sector stocks and also performs well for nonfinancial sector stocks compared with the Fama and French (2014) five-factor model or the Hou, Xue, ...
Staff Reports
, Paper 755
Working Paper
Bond Risk Premiums at the Zero Lower Bound
Andreasen, Martin M.; Joergensen, Kasper; Meldrum, Andrew C.
(2019-05-28)
This paper documents a significantly stronger relationship between the slope of the yield curve and future excess bond returns on Treasuries from 2008-2015 than before 2008. This new predictability result is not matched by the standard shadow rate model with Gaussian factor dynamics, but extending the model with regime-switching in the (physical) dynamics of the factors at the lower bound resolves this shortcoming. The model is also consistent with the downwards trend in surveys on short rate expectations at long horizons, but requires a break in the level of its factors to closely fit the ...
Finance and Economics Discussion Series
, Paper 2019-040
Working Paper
Credit-Market Sentiment and the Business Cycle
López-Salido, J. David; Zakrajšek, Egon; Stein, Jeremy C.
(2015-04-25)
Using U.S. data from 1929 to 2015, we show that elevated credit-market sentiment in year t-2 is associated with a decline in economic activity in years t and t+1. Underlying this result is the existence of predictable mean reversion in credit-market conditions. When credit risk is aggressively priced, spreads subsequently widen. The timing of this widening is, in turn, closely tied to the onset of a contraction in economic activity. Exploring the mechanism, we find that buoyant credit-market sentiment in year t-2 also forecasts a change in the composition of external finance: Net debt ...
Finance and Economics Discussion Series
, Paper 2015-28
Working Paper
Flights to Safety
Wei, Min; Inghelbrecht, Koen; Bekaert, Geert; Baele, Lieven
(2014-06-05)
Using only daily data on bond and stock returns, we identify and characterize flight to safety (FTS) episodes for 23 countries. On average, FTS days comprise less than 3% of the sample, and bond returns exceed equity returns by 2.5 to 4%. The majority of FTS events are country-specific not global. FTS episodes coincide with increases in the VIX and the Ted spread, decreases in consumer sentiment indicators and appreciations of the Yen, Swiss franc, and US dollar. The financial, basic materials and industrial industries under-perform in FTS episodes, but the telecom industry outperforms. Money ...
Finance and Economics Discussion Series
, Paper 2014-46
FILTER BY year
FILTER BY Bank
Board of Governors of the Federal Reserve System (U.S.) 129 items
Federal Reserve Bank of New York 101 items
Federal Reserve Bank of San Francisco 38 items
Federal Reserve Bank of St. Louis 37 items
Federal Reserve Bank of Atlanta 33 items
Federal Reserve Bank of Dallas 31 items
Federal Reserve Bank of Chicago 28 items
Federal Reserve Bank of Boston 16 items
Federal Reserve Bank of Cleveland 12 items
Federal Reserve Bank of Kansas City 12 items
Federal Reserve Bank of Philadelphia 12 items
Federal Reserve Bank of Minneapolis 7 items
Federal Reserve Bank of Richmond 3 items
show more (8)
show less
FILTER BY Series
Finance and Economics Discussion Series 97 items
Staff Reports 87 items
Working Papers 75 items
Working Paper Series 64 items
International Finance Discussion Papers 31 items
FRB Atlanta Working Paper 27 items
Globalization Institute Working Papers 19 items
Research Working Paper 11 items
Economic Policy Review 8 items
Liberty Street Economics 6 items
Review 6 items
Staff Report 5 items
Current Policy Perspectives 4 items
Policy Hub 4 items
Supervisory Research and Analysis Working Papers 3 items
Working Paper 3 items
Working Papers (Old Series) 3 items
Chicago Fed Letter 2 items
Economic Bulletin 1 items
FRB Atlanta CQER Working Paper 1 items
Federal Reserve Bulletin 1 items
Policy Hub* 1 items
show more (17)
show less
FILTER BY Content Type
Working Paper 334 items
Report 96 items
Journal Article 19 items
Discussion Paper 8 items
Newsletter 2 items
FILTER BY Author
Christensen, Jens H. E. 27 items
Boyarchenko, Nina 19 items
Fleming, Michael J. 18 items
Crump, Richard K. 16 items
Shachar, Or 13 items
Wei, Bin 13 items
Adrian, Tobias 12 items
Gospodinov, Nikolay 11 items
Kovner, Anna 11 items
Neely, Christopher J. 10 items
D'Amico, Stefania 9 items
Athreya, Kartik B. 8 items
Benzoni, Luca 8 items
Chien, YiLi 8 items
Kozlowski, Julian 8 items
Mather, Ryan 8 items
Mustre-del-Rio, Jose 8 items
Sanchez, Juan M. 8 items
Yue, Vivian Z. 8 items
Zakrajšek, Egon 8 items
Gilchrist, Simon 7 items
Londono, Juan M. 7 items
Moench, Emanuel 7 items
Van Tassel, Peter 7 items
Vogt, Erik 7 items
Caramp, Nicolas 6 items
Jahan-Parvar, Mohammad 6 items
Sarkar, Asani 6 items
Smolyansky, Michael 6 items
Teeple, Keisuke 6 items
Eisenbach, Thomas M. 5 items
Liu, Haoyang 5 items
Lopez, Jose A. 5 items
Nguyen, Giang 5 items
Rudebusch, Glenn D. 5 items
Schularick, Moritz 5 items
Song, Zhaogang 5 items
Yu, Yang 5 items
Andreasen, Martin M. 4 items
Chen, Andrew Y. 4 items
Chyruk, Olena 4 items
Doh, Taeyoung 4 items
Duarte, Fernando M. 4 items
Durham, J. Benson 4 items
Eusepi, Stefano 4 items
Giannone, Domenico 4 items
Hugonnier, Julien 4 items
Jordà, Òscar 4 items
Kan, Raymond 4 items
Keane, Frank M. 4 items
Kim, Don H. 4 items
Lester, Benjamin 4 items
Lopez, Pierlauro 4 items
Lustig, Hanno 4 items
López-Salido, J. David 4 items
Meldrum, Andrew C. 4 items
Ozdagli, Ali K. 4 items
Robotti, Cesare 4 items
Samadi, Mehrdad 4 items
Taylor, Alan M. 4 items
Weill, Pierre-Olivier 4 items
Ammer, John 3 items
Auer, Raphael 3 items
Carey, Mark S. 3 items
Chari, V. V. 3 items
Cole, Harold L. 3 items
Copeland, Adam 3 items
Cunningham, Chris 3 items
Duca, John V. 3 items
Erdemlioglu, Deniz 3 items
Fischer, Eric 3 items
Garlappi, Lorenzo 3 items
Garriga, Carlos 3 items
Gerardi, Kristopher S. 3 items
Goldstein, Robert S. 3 items
Gordy, Michael B. 3 items
Grossman, Valerie 3 items
Han, Song 3 items
Hedlund, Aaron 3 items
Infante, Sebastian 3 items
Kavoussi, Cullen 3 items
Kitsul, Yuriy 3 items
Kruttli, Mathias S. 3 items
Lansing, Kevin J. 3 items
Lucca, David O. 3 items
Martinez-Garcia, Enrique 3 items
Park, Yang-Ho 3 items
Rogers, John H. 3 items
Saretto, Alessio 3 items
Schmalz, Martin C. 3 items
Shen, Lily 3 items
Shultz, Patrick 3 items
Silva, André F. 3 items
Song, Dongho 3 items
Spiegel, Mark M. 3 items
Tang, Jenny 3 items
Vazquez-Grande, Francisco 3 items
Vickery, James 3 items
Wang, Gang 3 items
Wang, Zhenyu 3 items
Yang, Xiye 3 items
Zhang, Xin 3 items
von Beschwitz, Bastian 3 items
Acharya, Sushant 2 items
Ahrens, Maximilian 2 items
Andries, Marianne 2 items
Aramonte, Sirio 2 items
Asako, Yasushi 2 items
Barone, Jordan 2 items
Beauregard, Remy 2 items
Bekaert, Geert 2 items
Bhattarai, Saroj 2 items
Breach , Tomas 2 items
Brown, Jason 2 items
Capponi, Agostino 2 items
Cashin, David B. 2 items
Ceballos, Luis 2 items
Chaboud, Alain P. 2 items
Christiano, Lawrence J. 2 items
Cipriani, Marco 2 items
Costello, Anna M. 2 items
Cox, Caren 2 items
Crosignani, Matteo 2 items
Danzig, Andrew 2 items
Darst, Matt 2 items
Del Negro, Marco 2 items
Doshi, Hitesh 2 items
Du, Wenxin 2 items
Ebsim, Mahdi 2 items
Engstrom, Eric C. 2 items
Etula, Erkko 2 items
Famiglietti, Matthew 2 items
Fan, Roger 2 items
Faria-e-Castro, Miguel 2 items
Fernández-Villaverde, Jesús 2 items
Ferris, Erin E. Syron 2 items
Fuster, Andreas 2 items
Gallant, A. Ronald 2 items
Gamba, Andrea 2 items
Ghysels, Eric 2 items
Giannoni, Marc 2 items
Gourio, François 2 items
Gupta, Pooja 2 items
Han, Lina 2 items
Healy, Christopher 2 items
Hsu, Alex 2 items
Ivanova, Yuliya 2 items
Jagtiani, Julapa 2 items
Kahn, R. Jay 2 items
Kang, Wensheng 2 items
Karson, Evan 2 items
Kiley, Michael T. 2 items
Kim, Hyung Joo 2 items
King, Thomas B. 2 items
Klee, Elizabeth C. 2 items
Knox, Benjamin 2 items
Kwak, Seung 2 items
Lee, Junsang 2 items
Lee, Michael Junho 2 items
Lee, Seung Jung 2 items
Leonard, Deborah 2 items
Li, Dan 2 items
Liao, Gordon Y. 2 items
Ling, David C. 2 items
Liu, Hening 2 items
Macchiavelli, Marco 2 items
Malkhozov, Aytek 2 items
Mandelman, Federico S. 2 items
Manuelli, Rodolfo E. 2 items
Matschke, Johannes 2 items
McAndrews, James J. 2 items
McMahon, Michael 2 items
Meursault, Vitaly 2 items
Miao, Jianjun 2 items
Mirkov, Nikola 2 items
Mussche, Paul 2 items
Nikolaou, Kleopatra 2 items
Ochoa, Marcelo 2 items
Orphanides, Athanasios 2 items
Palomino, Francisco J. 2 items
Pavlidis, Efthymios 2 items
Podjasek, Rich 2 items
Ratti, Ronald A. 2 items
Refayet, Ehraz 2 items
Romero, Damian 2 items
Rosa, Carlo 2 items
Ross, Chase P. 2 items
Roth Tran, Brigitte 2 items
Saravay, Zack 2 items
Sattiraju, Sai 2 items
Schmidt, Daniel 2 items
Schurmeier, Jake 2 items
Searls, Seth 2 items
Seo, Sang Byung 2 items
Sharpe, Steven A. 2 items
Shin, Hyun Song 2 items
Skeie, David R. 2 items
Sokolinskiy, Oleg 2 items
Steele, Nick 2 items
Steiner, Patrick 2 items
Sultanum, Bruno 2 items
Sun, Bo 2 items
Tambalotti, Andrea 2 items
Tanaka, Hiroatsu 2 items
Tuzun, Tugkan 2 items
Ueda, Kozo 2 items
Velikov, Mihail 2 items
Vespignani, Joaquin L. 2 items
Villa, Alessandro 2 items
Wang, J. Christina 2 items
Warusawitharana, Missaka 2 items
Watugala, Sumudu W. 2 items
Wei, Min 2 items
Weller, Paul A. 2 items
Winkler, Fabian 2 items
Wright, Jonathan H. 2 items
Wu, Shu 2 items
Xu, Nancy R. 2 items
Yen, Jacqueline 2 items
Ying, Chao 2 items
Yu, Jianfeng 2 items
Zanetti, Francesco 2 items
Zha, Tao 2 items
Zhou, Hao 2 items
Zhu, Simon 2 items
de Groot, Oliver 2 items
Çakır Melek, Nida 2 items
Abrahams, Michael 1 items
Adam, Klaus 1 items
Afonso, Gara M. 1 items
Aikman, David 1 items
Ajello, Andrea 1 items
Akbari, Amir 1 items
Allen, Franklin 1 items
Alquist, Ron 1 items
Alvarez, Fernando 1 items
Amaral, Francisco 1 items
An, Li 1 items
Anatolyev, Stanislav 1 items
Anderson, Christopher 1 items
Anene, Dominic 1 items
Antill, Samuel 1 items
Antolin-Diaz, Juan 1 items
Arellano, Cristina 1 items
Aronovich, Alex 1 items
Assa, Hirbod 1 items
Atkeson, Andrew 1 items
Avramov, Doron 1 items
Aït-Sahalia, Yacine 1 items
Backus, David K. 1 items
Baele, Lieven 1 items
Bai, Jennie 1 items
Bai, Yan 1 items
Baker, Colleen 1 items
Baklanova, Viktoria 1 items
Barnes, Michelle L. 1 items
Barro, Robert J. 1 items
Barth, Daniel 1 items
Bernales, Alejandro 1 items
Bernhardt, Robert 1 items
Bi, Huixin 1 items
Blanchard, Olivier Jean 1 items
Bocola, Luigi 1 items
Bodenstein, Martin 1 items
Boehm, Christoph E. 1 items
Bogusz, Theodore 1 items
Boons, Martijn 1 items
Bordo, Michael D. 1 items
Borochin, Paul 1 items
Bowman, Robert G. 1 items
Brousseau, Vincent 1 items
Brunetti, Celso 1 items
Bräuning, Falk 1 items
Bundick, Brent 1 items
Cabanilla, Christian 1 items
Caglio, Cecilia R. 1 items
Cai, Fang 1 items
Caines, Colin C. 1 items
Cao, Shuo 1 items
Cardozo, Cristhian Hernando Ruiz 1 items
Carlson, Mark A. 1 items
Carrieri, Francesca 1 items
Carriero, Andrea 1 items
Caspi, Itamar 1 items
Cattaneo, Matias D. 1 items
Chabot, Benjamin 1 items
Chahboun, Imad 1 items
Chan, Kam Fong 1 items
Chang, Andrew C. 1 items
Chang, P.H. Kevin 1 items
Chatterjee, Satyajit 1 items
Chaumont, Gaston 1 items
Chen, Kaiji 1 items
Chernov, Mikhail 1 items
Chib, Siddhartha 1 items
Choi, Jaewon 1 items
Claessens, Stijn 1 items
Clark, Todd E. 1 items
Cocco, Alessandro 1 items
Collins, Christopher G. 1 items
Contessi, Silvio 1 items
Coroneo, Laura 1 items
Correa, Ricardo 1 items
Cumming, Christine M. 1 items
Dabbous, Amal 1 items
David, Joel M. 1 items
De Pace, Pierangelo 1 items
De Pooter, Michiel 1 items
DeMarco, Laurie 1 items
Dempsey, Kyle 1 items
Diamond, William 1 items
Dice, Jacob 1 items
Diercks, Anthony M. 1 items
Dilts Stedman, Karlye 1 items
Doblas-Madrid, Antonio 1 items
Dogra, Keshav 1 items
Dohmen, Martin 1 items
Duffie, Darrell 1 items
Dunne, Peter G. 1 items
Dyskant, Lucas 1 items
Elias, Leonardo 1 items
Engen, Eric M. 1 items
Engle, Robert 1 items
Ergungor, O. Emre 1 items
Ermolov, Andrey 1 items
Eyigungor, Burcu 1 items
Fan, Zhenzhen 1 items
Farhi, Emmanuel 1 items
Fernholz, Ricardo T. 1 items
Feunou, Bruno 1 items
Fischl-Lanzoni, Natalia 1 items
Foley-Fisher, Nathan 1 items
Fostel, Ana 1 items
Frei, Christoph 1 items
Friedman, Evan 1 items
Fuentes-Albero, Cristina 1 items
Fuerst, Timothy S. 1 items
Fujiwara, Ippei 1 items
Funaki, Yukihiko 1 items
Fusari, Nicola 1 items
Gadgil, Salil 1 items
Gelain, Paolo 1 items
Giglio, Stefano 1 items
Gil de Rubio Cruz, Antonio 1 items
Gillan, James M. 1 items
Gissler, Stefan 1 items
Goldberg, Linda S. 1 items
Goldstein, Itay 1 items
Gordon, Grey 1 items
Gordon, Matthew V. 1 items
Goyal, Amit 1 items
Greene, Claire 1 items
Greenfield, Patrick 1 items
Greenwald, Emily 1 items
Grishchenko, Olesya V. 1 items
Grisse, Christian 1 items
Gruber, Joseph W. 1 items
Guidolin, Massimo 1 items
Gómez-González, José E. 1 items
Haddad, Valentin 1 items
Hall, Arden 1 items
Hanson, Samuel 1 items
Harkrader, James Collin 1 items
Haubrich, Joseph G. 1 items
Hayashi, Fumio 1 items
Heitfield, Erik 1 items
Hendershott, Patric H. 1 items
Heston, Steven L. 1 items
Hetland, Simon Thinggaard 1 items
Hiti, Martin 1 items
Hoover, Nathaniel 1 items
Horan, Casidhe 1 items
Hore, Satadru 1 items
Hossain, Mallick 1 items
Hou, David 1 items
Houser, Daniel 1 items
Huang, Alan G. 1 items
Hur, Sewon 1 items
Hébert, Benjamin 1 items
Inghelbrecht, Koen 1 items
Ionescu, Felicia 1 items
Ippolito, Filippo 1 items
Islamaj, Ergys 1 items
Jagannathan, Ravi 1 items
Jamali, Ibrahim 1 items
Jensen, Mark J. 1 items
Jermann, Urban J. 1 items
Jiang, Jiajun 1 items
Joergensen, Kasper 1 items
Kahn, Robert Jay 1 items
Kalimipalli, Madhu 1 items
Kaplan, Nathan 1 items
Kargar, Mahyar 1 items
Kasch, Maria 1 items
Kazemi, Maziar 1 items
Keim, Donald B. 1 items
Kelley, David 1 items
Knoll, Katharina 1 items
Koch, Christoffer 1 items
Kogan, Shimon 1 items
Kohl, Sebastian 1 items
Koijen, Ralph S. J. 1 items
Kondo, Illenin O. 1 items
Krogstrup, Signe 1 items
Kroner, Niklas 1 items
Kuvshinov, Dmitry 1 items
Lagos, Ricardo 1 items
Lambie-Hanson, Lauren 1 items
LeRoy, Stephen F. 1 items
Lehnert, Andreas 1 items
Leung, Charles Ka Yui 1 items
Li, Erica X. N. 1 items
Li, Erica X.N. 1 items
Li, Kai 1 items
Li, Wei 1 items
Li, Wenhao 1 items
Li, Wenli 1 items
Li, Yi 1 items
Liang, Pierre Jinghong 1 items
Lindsay, David 1 items
Liu, Lily Y. 1 items
Liu, Qi 1 items
Liu, Shuo 1 items
Liu, Zheng 1 items
Lo, Stephanie 1 items
Lopez, Pier 1 items
Lu, Yang 1 items
Lunghi, Sandro 1 items
Lunsford, Kurt Graden 1 items
Ma, Jun 1 items
Maasoumi, Esfandiar 1 items
Mack, Adrienne 1 items
Maggiori, Matteo 1 items
Maheu, John M. 1 items
Marcellino, Massimiliano 1 items
Marcet, Albert 1 items
Marsh, W. Blake 1 items
Martin, Antoine 1 items
Martin, Robert F. 1 items
Martinez-Gutierrez, Jose 1 items
Massa, Massimo 1 items
Mattesini, Fabrizio 1 items
Matthys, Felix 1 items
Mau, Ronald 1 items
McCracken, Michael W. 1 items
Medhat, Mamdouh 1 items
Meisenzahl, Ralf R. 1 items
Melin, Lionel 1 items
Mertens, Thomas M. 1 items
Miller, David S. 1 items
Mitra, Indrajit 1 items
Mixon, Scott 1 items
Mizrach, Bruce 1 items
Modugno, Michele 1 items
Monin, Phillip J. 1 items
Mouabbi, Sarah 1 items
Mueller, Philippe 1 items
Muir, Tyler 1 items
Nakata, Taisuke 1 items
Naknoi, Kanda 1 items
Nanda, Vikram 1 items
Natvik, Gisele J. 1 items
Nelson, Claire 1 items
Ng, Serena 1 items
Ngo, Phuong 1 items
Nicolini, Juan Pablo 1 items
Nosal, Ed 1 items
Ojeda-Joya, Jair N. 1 items
Okou, Cedric 1 items
Osambela, Emilio 1 items
Osler, Carol L. 1 items
Ozdagli, Ali 1 items
Palazzo, Berardino 1 items
Palida, Ali 1 items
Palumbo, Michael G. 1 items
Pancost, N. Aaron 1 items
Panjwani, Ahyan 1 items
Park, Hun Y. 1 items
Patel, Ketan B. 1 items
Paul, Pascal 1 items
Paulson, Anna L. 1 items
Paya, Ivan 1 items
Pedraza, Alvaro 1 items
Peel, David 1 items
Pellet, Thomas 1 items
Pence, Karen M. 1 items
Perri, Fabrizio 1 items
Petrella, Ivan 1 items
Phin, Andrew 1 items
Pieters, Gina 1 items
Pill, Huw 1 items
Plante, Michael D. 1 items
Plosser, Matthew 1 items
Posenau, Kelly E. 1 items
Press, Charles 1 items
Preston, Bruce 1 items
Priebsch, Marcel A. 1 items
Prono, Todd 1 items
Pruitt, Seth 1 items
Puglia, Michael 1 items
show more (495)
show less
FILTER BY Jel Classification
E44 107 items
E43 79 items
G14 64 items
E52 59 items
G11 55 items
G21 47 items
E58 44 items
G10 43 items
G18 38 items
G13 37 items
G15 29 items
G01 28 items
G32 27 items
C58 26 items
E32 26 items
G23 26 items
G17 24 items
C32 22 items
G28 21 items
F31 19 items
E51 17 items
E21 16 items
D83 14 items
E47 14 items
G24 14 items
G19 13 items
D31 12 items
D84 11 items
R31 10 items
E31 9 items
E37 9 items
H63 9 items
C12 8 items
C13 8 items
D58 8 items
D81 8 items
G20 8 items
C22 7 items
C53 7 items
E30 7 items
E62 7 items
G22 7 items
R30 7 items
C52 6 items
E22 6 items
E42 6 items
E61 6 items
F34 6 items
R21 6 items
C11 5 items
C14 5 items
C15 5 items
E4 5 items
G00 5 items
G1 5 items
C63 4 items
D80 4 items
E12 4 items
E40 4 items
E41 4 items
E5 4 items
E50 4 items
E63 4 items
F36 4 items
F42 4 items
G30 4 items
G33 4 items
Q54 4 items
C51 3 items
C61 3 items
C68 3 items
D40 3 items
D53 3 items
D82 3 items
E02 3 items
E66 3 items
F30 3 items
F33 3 items
F44 3 items
G31 3 items
G38 3 items
G40 3 items
G41 3 items
L10 3 items
Q43 3 items
C00 2 items
C23 2 items
C33 2 items
C45 2 items
C72 2 items
D14 2 items
D20 2 items
D24 2 items
D52 2 items
E13 2 items
E24 2 items
E53 2 items
F3 2 items
F38 2 items
F41 2 items
F51 2 items
G02 2 items
G34 2 items
G51 2 items
H74 2 items
L50 2 items
N10 2 items
N20 2 items
O16 2 items
Q47 2 items
A10 1 items
A12 1 items
C02 1 items
C1 1 items
C30 1 items
C43 1 items
C44 1 items
C55 1 items
C59 1 items
C6 1 items
C62 1 items
C82 1 items
C90 1 items
D01 1 items
D03 1 items
D25 1 items
D30 1 items
D43 1 items
D51 1 items
D61 1 items
D89 1 items
D90 1 items
D91 1 items
D92 1 items
E0 1 items
E01 1 items
E10 1 items
E14 1 items
E17 1 items
E3 1 items
E6 1 items
F10 1 items
F13 1 items
F21 1 items
F37 1 items
F4 1 items
F40 1 items
F55 1 items
G0 1 items
G2 1 items
G35 1 items
G50 1 items
H20 1 items
H25 1 items
H30 1 items
H39 1 items
H41 1 items
J22 1 items
J24 1 items
J26 1 items
J31 1 items
J64 1 items
K20 1 items
K22 1 items
K24 1 items
K34 1 items
K42 1 items
L11 1 items
L86 1 items
M40 1 items
N13 1 items
N21 1 items
N90 1 items
O11 1 items
O13 1 items
O31 1 items
O40 1 items
O47 1 items
O50 1 items
Q11 1 items
R33 1 items
show more (177)
show less
FILTER BY Keywords
liquidity 40 items
monetary policy 38 items
asset pricing 23 items
interest rates 18 items
COVID-19 14 items
term structures 11 items
Bankruptcy 11 items
Corporate bonds 11 items
volatility 11 items
Federal Reserve 10 items
term structure modeling 10 items
Uncertainty 10 items
financial stability 10 items
Treasury market 9 items
Consumption 9 items
Equity premium 9 items
Inflation 9 items
return predictability 9 items
stock returns 9 items
affine arbitrage-free term structure model 8 items
financial market frictions 8 items
investment 8 items
liquidity risk 8 items
quantitative easing 8 items
Delinquency 8 items
Foreclosure 8 items
Collateral 7 items
Financial Distress 7 items
Mortgage 7 items
Tail Risk 7 items
event study 7 items
fiscal policy 7 items
survey forecasts 7 items
Great Recession 6 items
Treasury securities 6 items
financial crisis 6 items
unconventional monetary policy 6 items
Term structure 6 items
present bias 6 items
Capital Structure 6 items
Credit Spreads 6 items
CDS 5 items
excess bond premium 5 items
Corporate profits 5 items
Corporate taxes 5 items
Long-run prediction 5 items
Recession 5 items
Repo 5 items
agency mortgage-backed securities 5 items
asset prices 5 items
bond risk premia 5 items
dealers 5 items
market liquidity 5 items
Credit Card Debt 5 items
Equity Premium Puzzle 5 items
Equity and bond yields 4 items
Learning 4 items
TBA 4 items
Treasury 4 items
banks 4 items
convenience yields 4 items
equity premiums 4 items
financial markets 4 items
heterogeneity 4 items
high-frequency data 4 items
housing 4 items
model misspecification 4 items
option pricing 4 items
variance risk premium 4 items
Bayesian estimation 4 items
Exchange rates 4 items
Factor models 4 items
Search frictions 4 items
Stock Market 4 items
Term Structure of Interest Rates 4 items
Carry trade 3 items
Credit Card 3 items
Downside variance risk premium 3 items
Federal Reserve lending facilities 3 items
Futures 3 items
Geography 3 items
MBS 3 items
Macroeconomic Releases, FOMC 3 items
Momentum 3 items
Over-the-counter markets 3 items
Risk 3 items
Risk Premium 3 items
SMCCF 3 items
Stock return anomalies 3 items
TIPS 3 items
TRACE 3 items
Text Analysis 3 items
VIX futures 3 items
Variance Risk 3 items
Yield curve 3 items
banking 3 items
central bank credibility 3 items
chinese financial markets 3 items
continuously updated GMM 3 items
corporate bond markets 3 items
corporate credit facilities 3 items
credit derivatives 3 items
dynamic asset pricing 3 items
economic growth expectations 3 items
financial intermediaries 3 items
financial intermediation 3 items
financial repression 3 items
forecasting 3 items
global financial cycle 3 items
house prices 3 items
intermediation 3 items
long-run risks 3 items
maximum likelihood 3 items
money 3 items
mutual fund managers 3 items
options 3 items
price informativeness 3 items
public debt sustainability 3 items
purchase effects 3 items
real estate 3 items
real estate agent 3 items
regulation 3 items
risk premia 3 items
rstar 3 items
safe assets 3 items
securities lending 3 items
systemic risk 3 items
term premiums 3 items
textual analysis 3 items
variance swaps 3 items
volatility risk 3 items
yield curves 3 items
yield spreads 3 items
zero lower bound 3 items
bargaining 3 items
cost of capital 3 items
credit default swaps 3 items
debt maturity 3 items
default risk 3 items
effective lower bound 3 items
Adaptive markets hypothesis 2 items
Asymmetric state variables 2 items
Basel III 2 items
Bayesian learning 2 items
Broker-dealers 2 items
Business cycle 2 items
Business cycles 2 items
CDS positions 2 items
CDS transactions 2 items
CPFF 2 items
Consumption-based asset pricing 2 items
Covered interest rate parity 2 items
Debt 2 items
Duration 2 items
Early warning system 2 items
Economic disasters 2 items
Efficient markets hypothesis 2 items
Equity returns 2 items
Excess Volatility 2 items
Exchange rate 2 items
Export controls 2 items
Extended Kalman filter 2 items
FOMC 2 items
Financial Frictions 2 items
Great Moderation 2 items
Hedge funds 2 items
Institutional investors 2 items
Insurance companies 2 items
Interbank rate options 2 items
Interbank rates 2 items
International stock markets 2 items
Investments 2 items
Investor sentiment 2 items
Issuance Costs 2 items
LIBOR 2 items
Limits of arbitrage 2 items
Machine Learning 2 items
Macroeconomic announcements 2 items
Macroeconomic priorities 2 items
Maximum likelihood estimation 2 items
Mispricing 2 items
Mortgages 2 items
Municipal bonds 2 items
Mutual funds 2 items
NLP 2 items
Open interest 2 items
Optimal monetary policy 2 items
Portfolio choice 2 items
Price discovery 2 items
Publication bias 2 items
QE 2 items
QT 2 items
R&D 2 items
Rare disasters 2 items
Single Security Initiative 2 items
Stochastic Discount Factor 2 items
Stock return predictability 2 items
Technical analysis 2 items
Technical trading 2 items
Time-varying disaster risk 2 items
Treasury markets 2 items
Treasury yields 2 items
UMBS 2 items
VIX 2 items
Volcker rule 2 items
Welfare cost of business cycles 2 items
adverse selection 2 items
affine arbitrage-free models 2 items
announcements 2 items
arbitrage-free Nelson-Siegel model 2 items
asset pricing models 2 items
asset purchases 2 items
bank deposits 2 items
bank run 2 items
bank runs 2 items
bid-ask spreads 2 items
blockchain 2 items
bond liquidity 2 items
bond risk premiums 2 items
capital regulations 2 items
central bank communication 2 items
central banks 2 items
commercial paper market 2 items
corporate bond liquidity 2 items
corporate bond market conditions 2 items
credit market support facilities 2 items
cryptoassets 2 items
cryptocurrencies 2 items
cyber 2 items
dealer 2 items
dealer market power 2 items
debt management 2 items
decoupling 2 items
deflation protection 2 items
deflation risk 2 items
density forecasts 2 items
digitalisation 2 items
disagreement 2 items
distributed ledger technology 2 items
entropy 2 items
expectation formation 2 items
finance 2 items
fixed-income markets 2 items
frictions 2 items
funding liquidity 2 items
geopolitical risk 2 items
global financial risk 2 items
government bonds 2 items
haircut 2 items
implied volatility 2 items
inflation expectations 2 items
inflation risk premium 2 items
interconnectedness 2 items
interest rate risk 2 items
intermediary asset pricing 2 items
large-scale asset purchase programs 2 items
leverage 2 items
macroprudential policy 2 items
market making 2 items
money markets 2 items
multimodal machine learning 2 items
natural language processing 2 items
negative interest rates 2 items
networks 2 items
nominal rigidities 2 items
option returns 2 items
option-adjusted spreads 2 items
payments 2 items
positions 2 items
post-crisis regulations 2 items
preferred-habitat 2 items
price impact 2 items
proof-of-stake 2 items
proof-of-work 2 items
quantitative tightening 2 items
rank test 2 items
rate hikes 2 items
recession forecasts 2 items
risk premiums 2 items
risk-free rates 2 items
risk-return trade-off 2 items
safety premium 2 items
shadow rate models 2 items
short-selling 2 items
sovereign bond markets 2 items
sovereign bonds 2 items
speech analysis 2 items
stock-bond return correlation 2 items
supply chains 2 items
tail risks 2 items
time-varying risk premia 2 items
trading activity 2 items
trading costs 2 items
trading volume 2 items
treasury bonds 2 items
unidentified models 2 items
Bond Return Predictability 2 items
Capital Constraints 2 items
Credit Risk 2 items
ATSM 1 items
Accrual anomaly 1 items
Agency cost 1 items
Alpha 1 items
Alternative FOMC statements 1 items
Alternative asset classes 1 items
Ambiguity 1 items
Ambiguity aversion 1 items
Analysts 1 items
Anomaly 1 items
Anomaly zoo 1 items
Arbitrage 1 items
Asset return predictability 1 items
Asset returns 1 items
Asymmetry 1 items
Auction 1 items
Backus-Smith puzzle 1 items
Bail-in debt 1 items
Balance sheet policy 1 items
Bank capital 1 items
Bank deregulation 1 items
Bank leverage constraints 1 items
Bank regulation 1 items
Banking crises 1 items
Bayesian Filtering 1 items
Bayesian VARs 1 items
Bayesian analysis 1 items
Bayesian econometrics 1 items
Behavioral biases 1 items
Bid-ask spread 1 items
Bond 1 items
Bond Interest Rates 1 items
Bond premiums 1 items
Bond prices 1 items
Bonds 1 items
Boom-bust cycles 1 items
Borrowing constraints 1 items
Borrowing premia 1 items
Bottom-up Forecast 1 items
Breakeven 1 items
BrokerTec 1 items
CDS spreads 1 items
CDS-bond basis 1 items
CET1 1 items
CIP deviations 1 items
CIR process 1 items
COVID-19 shock 1 items
CS restrictions 1 items
Capital and Ownership Structure 1 items
Capital market 1 items
Capital requirements 1 items
Central bank lending authority 1 items
Central clearing 1 items
Chicago Board Options Exchange Volatility Index 1 items
Chinese currency 1 items
Coase Conjecture 1 items
Colombia 1 items
Commercial Paper Funding Facility 1 items
Commercial real estate 1 items
Commitment 1 items
Commodity prices 1 items
Conditional performance measures 1 items
Consumer credit 1 items
Consumer mistakes 1 items
Consumer search 1 items
Consumption risks 1 items
Contingent convertible debt 1 items
Continuum of types 1 items
Contrarian 1 items
Convenience Yield 1 items
Conventional and unconventional US monetary policy 1 items
Corporate Bond 1 items
Corporate Default 1 items
Corporate loans 1 items
Cost of Business Cycles 1 items
Counterfactual policy evaluation 1 items
Counterparty credit risk 1 items
Counterparty risk 1 items
Country studies 1 items
Credit Constraints 1 items
Credit easing 1 items
Credit market condition 1 items
Credit market segmentation 1 items
Credit rating 1 items
Credit-market sentiment 1 items
Credit-to-GDP gap 1 items
Crisis management 1 items
Cross Section of Returns 1 items
Cross-Sectional Dynamics 1 items
Cross-section of expected returns 1 items
Cumulative abnormal returns 1 items
Currency crises 1 items
Currency momentum 1 items
Currency returns 1 items
Cyclical financial regulation 1 items
DSGE 1 items
DSGE Model 1 items
DSGE models 1 items
Data mining 1 items
Debt covenants 1 items
Debt default 1 items
Debt dilution 1 items
Debt limit 1 items
Deflation floor 1 items
Depository institutions 1 items
Differentiated product demand systems 1 items
Directed search 1 items
Dirichlet process prior 1 items
Disaster Probability 1 items
Discount factor 1 items
Dispersion 1 items
Dividends 1 items
Dodd-Frank Act 1 items
Dodd–Frank Act 1 items
Dodd–Frank Wall Street Reform and Consumer Protection Act 1 items
Dollar convenience yield 1 items
Dollar rolls 1 items
Downside risk 1 items
Dynamic Capital Structure 1 items
Dynamic Financial Oligopoly 1 items
Dynamic Panel Logit Model 1 items
Dynamic Term Structure Model 1 items
ELB 1 items
ETF 1 items
ETF premium 1 items
Earnings 1 items
Earnings Forecasts 1 items
Earnings management 1 items
Emerging market economies 1 items
Endogenous Financial Markups 1 items
Endowment model 1 items
Epstein-Zin Utility 1 items
Equities 1 items
Equity Analyst Bias 1 items
Equity Markets 1 items
Equity risk premia 1 items
Equity tail risk 1 items
Eurodollar future 1 items
European Central Bank 1 items
European Central Bank (ECB) 1 items
show more (495)
show less