Search Results

(refine search)

SORT BY: PREVIOUS / NEXT

All:
Title:
Author:
Abstract:
Keywords:

+ Add Search Parameter

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
Monetary policy surprises, positions of traders, and changes in commodity futures prices
Jamali, Ibrahim; Gospodinov, Nikolay (2013-11-01)
Using futures data for the period 1990?2008, this paper finds evidence that expansionary monetary policy surprises tend to increase crude and heating oil prices, and contractionary monetary policy shocks increase gold and platinum prices. Our analysis uncovers substantial heterogeneity in the magnitude of this response to positive and negative surprises across different commodities and commodity groups. The results also suggest that the positions of futures traders for the metals and energy commodities strongly respond to monetary policy shocks. The adjustment of the net long positions of ...
FRB Atlanta Working Paper , Paper 2013-12

Working Paper
Assessing Abenomics: Evidence from Inflation-Indexed Japanese Government Bonds
Christensen, Jens H. E.; Spiegel, Mark M. (2019-10-15)
We assess the impact of news concerning the reforms associated with ?Abenomics? using an arbitrage-free term structure model of nominal and real yields. Our model explicitly accounts for the deflation protection enhancement embedded in Japanese inflation-indexed bonds issued since 2013, which pay their original nominal principal when deflation has occurred from issue to maturity. The value of this enhancement is sizable and time-varying, with substantive impacts on estimates of expected inflation compensation. After properly accounting for deflation protection, our results suggest that ...
Working Paper Series , Paper 2019-15

Journal Article
The equity risk premium: a review of models
Rosa, Carlo; Duarte, Fernando M. (2015)
The authors estimate the equity risk premium (ERP)?the expected return on stocks in excess of the risk-free rate?by combining information from twenty models for the period 1960-2013. They begin their analysis by categorizing the models into five classes: trailing historical mean, dividend discount, cross-sectional estimation, regression analysis using valuation ratios or macroeconomic variables, and surveys. They find that an optimal weighted average of all models places the one-year-ahead ERP in June 2012 at 12.2 percent, close to levels reached in the mid- and late 1970s, when the ERP was ...
Economic Policy Review , Issue 2 , Pages 39-57

Working Paper
Clearing the Fog: The Predictive Power of Weather for Employment Reports and their Asset Price Responses
Wilson, Daniel J. (2017-09-26)
This paper exploits vast granular data – with over one million county-month observations – to estimate a dynamic panel data model of weather’s local employment effects. The fitted county model is then aggregated and used to generate in-sample and rolling out-of-sample (“nowcast”) estimates of the weather effect on national monthly employment. These nowcasts, which use only employment and weather data available prior to a given employment report, are significantly predictive not only of the surprise component of employment reports but also of stock and bond market returns on the days ...
Working Paper Series , Paper 2017-13

Report
Option-implied term structures
Vogt, Erik (2014-12-01)
This paper proposes a nonparametric sieve regression framework for pricing the term structure of option spanning portfolios. The framework delivers closed-form, nonparametric option pricing and hedging formulas through basis function expansions that grow with the sample size. Novel confidence intervals quantify term structure estimation uncertainty. The framework is applied to estimating the term structure of variance risk premia and finds that a short-run component dominates market excess return predictability. This finding is inconsistent with existing asset pricing models that seek to ...
Staff Reports , Paper 706

Working Paper
Inflation Expectations, Liquidity Premia and Global Spillovers in Japanese Bond Markets
Christensen, Jens H. E.; Spiegel, Mark M. (2024-04-08)
We provide market-based estimates of Japanese inflation expectations using an arbitrage-free dynamic term structure model of nominal and real yields that accounts for liquidity premia and the deflation protection afforded by Japanese inflation-indexed bonds, known as JGBi’s. We find that JGBi liquidity premia exhibit significant variation, and even switch sign. Properly accounting for them significantly lowers the estimated value of the indexed bonds’ deflation protection and affects inflation risk premium estimates. After liquidity adjustment, long-term Japanese inflation expectations ...
Working Paper Series , Paper 2024-12

Report
Assessing financial stability: the Capital and Loss Assessment under Stress Scenarios (CLASS) model
Hirtle, Beverly; Kovner, Anna; Bhanot, Meru; Vickery, James (2014-02-01)
The CLASS model is a top-down capital stress testing framework that uses public data, simple econometric models, and auxiliary assumptions to project the effect of macroeconomic scenarios on U.S. banking firms. Through the lens of the model, we find that the total banking system capital shortfall under stressful macroeconomic conditions began to rise four years before the financial crisis, peaking in the fourth quarter of 2008. The capital gap has since fallen sharply, and is now significantly below pre-crisis levels. In the cross section, banking firms estimated to be most sensitive to ...
Staff Reports , Paper 663

Working Paper
From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors
Kruttli, Mathias S. (2016-03-29)
This paper compares consumption-based asset pricing models based on the forecasting performance of investors who use economic constraints derived from the models to predict the equity premium. Three prominent asset pricing models are considered: Habit Formation, Long Run Risk, and Prospect Theory. I propose a simple Bayesian framework through which the investors impose the economic constraints as model-based priors on the parameters of their predictive regressions. An investor whose prior beliefs are rooted in the Long Run Risk model achieves more accurate forecasts overall. The greatest ...
Finance and Economics Discussion Series , Paper 2016-027

show more (43)

PREVIOUS / NEXT

Fed in Print

Search Results

FILTER BY year

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

FILTER BY Keywords