Search Results
Showing results 1 to 10 of approximately 164.
(refine search)
Speech
What role for asset prices in U.S. monetary policy?
Poole, William
(2001)
Presentation at Bradley University, Peoria, Ill. - Sept. 5, 2001
Speech
, Paper 57
Report
The market for OTC derivatives
Eisfeldt, Andrea L.; Atkeson, Andrew; Weill, Pierre-Olivier
(2013)
We develop a model of equilibrium entry, trade, and price formation in over-the-counter (OTC) markets. Banks trade derivatives to share an aggregate risk subject to two trading frictions: they must pay a fixed entry cost, and they must limit the size of the positions taken by their traders because of risk-management concerns. Although all banks in our model are endowed with access to the same trading technology, some large banks endogenously arise as ?dealers,? trading mainly to provide intermediation services, while medium sized banks endogenously participate as ?customers? mainly to share ...
Staff Report
, Paper 479
Discussion Paper
When Do Trade Frictions Increase Liquidity?
Afonso, Gara
(2011-12-19)
Economists tend to assume that frictions that limit trading in financial markets reduce liquidity and lower investor welfare. In this blog I discuss a recent staff study of mine that challenges that conventional wisdom. I explain how introducing trading frictions—such as circuit breakers—that slow or halt trading in an over-the-counter market experiencing a fire sale might, paradoxically, lead to higher liquidity and investor welfare.
Liberty Street Economics
, Paper 20111219
Conference Paper
The declining equity premium: what role does macroeconomic risk play?
Lettau, Martin; Wachter, Jessica A.; Ludvigson, Sydney
(2005)
Proceedings
Working Paper
A quantitative study of the role of wealth inequality on asset prices
Hatchondo, Juan Carlos
(2005)
This paper studies the equilibrium properties of asset prices in a Lucas-tree model when agents display a concave coefficient of absolute risk tolerance. The latter introduces a role for wealth inequality, even under the presence of complete markets. The paper finds evidence suggesting that the role of wealth inequality on asset prices may be non-negligible. For the baseline calibration, the equity premium in the unequal economy is half a percentage point larger than the equity premium displayed by an egalitarian economy. The difference increases to one percentage point once we allow for the ...
Working Paper
, Paper 05-12
Working Paper
Mining for Oil Forecasts
Calomiris, Charles W.; Cakir Melek, Nida; Mamaysky, Harry
(2020-12-23)
In this paper, we study the usefulness of a large number of traditional determinants and novel text-based variables for in-sample and out-of-sample forecasting of oil spot and futures returns, energy company stock returns, oil price volatility, oil production, and oil inventories. After carefully controlling for small-sample biases, we find compelling evidence of in-sample predictability. Our text measures hold their own against traditional variables for oil forecasting. However, none of this translates to out-of-sample predictability until we data mine our set of predictive variables. Our ...
Research Working Paper
, Paper RWP 20-20
Report
Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying
Ludvigson, Sydney; Lettau, Martin
(1999)
This paper explores the ability of theoretically based asset pricing models such as the CAPM and the consumption CAPM-referred to jointly as the (C)CAPM - to explain the cross-section of average stock returns. Unlike many previous empirical tests of the (C)CAPM, we specify the pricing kernel as a conditional linear factor model, as would be expected if risk premia vary over time. Central to our approach is the use of a conditioning variable which proxies for fluctuations in the log consumption-aggregate wealth ratio and is likely to be important for summarizing conditional expectations of ...
Staff Reports
, Paper 93
Report
The Risk of Becoming Risk Averse: A Model of Asset Pricing and Trade Volumes
Atkeson, Andrew; Alvarez, Fernando
(2018-12-31)
We develop a new general equilibrium model of asset pricing and asset trading volume in which agents? motivations to trade arise due to uninsurable idiosyncratic shocks to agents? risk tolerance. In response to these shocks, agents trade to rebalance their portfolios between risky and riskless assets. We study a positive question ? When does trade volume become a pricing factor? ? and a normative question ? What is the impact of Tobin taxes on asset trading on welfare? In our model, economies in which marketwide risk tolerance is negatively correlated with trade volume have a higher risk ...
Staff Report
, Paper 577
Working Paper
Liquidity Premia, Price-Rent Dynamics, and Business Cycles
Miao, Jianjun; Wang, Pengfei; Zha, Tao
(2014-08-01)
n the U.S. economy during the past 25 years, house prices exhibit fluctuations considerably larger than house rents, and these large fluctuations tend to move together with business cycles. We build a simple theoretical model to characterize these observations by showing the tight connection between price-rent fluctuation and the liquidity constraint faced by productive firms. After developing economic intuition for this result, we estimate a medium-scale dynamic general equilibrium model to assess the empirical importance of the role the price-rent fluctuation plays in the business cycle. ...
FRB Atlanta Working Paper
, Paper 2014-15
Working Paper
Liquidity and the threat of fraudulent assets
Li, Yiting; Rocheteau, Guillaume; Weill, Pierre-Olivier
(2011)
We study an over-the-counter (OTC) market with bilateral meetings and bargaining where the usefulness of assets, as means of payment or collateral, is limited by the threat of fraudulent practices. We assume that agents can produce fraudulent assets at a positive cost, which generates endogenous upper bounds on the quantity of each asset that can be sold, or posted as collateral in the OTC market. Each endogenous, asset-specific, resalability constraint depends on the vulnerability of the asset to fraud, on the frequency of trade, and on the current and future prices of the asset. In ...
Working Papers (Old Series)
, Paper 1124
FILTER BY year
FILTER BY Bank
Federal Reserve Bank of St. Louis 24 items
Board of Governors of the Federal Reserve System (U.S.) 23 items
Federal Reserve Bank of New York 23 items
Federal Reserve Bank of San Francisco 22 items
Federal Reserve Bank of Atlanta 19 items
Federal Reserve Bank of Minneapolis 12 items
Federal Reserve Bank of Cleveland 9 items
Federal Reserve Bank of Chicago 7 items
Federal Reserve Bank of Philadelphia 7 items
Federal Reserve Bank of Dallas 6 items
Federal Reserve Bank of Kansas City 6 items
Federal Reserve Bank of Boston 4 items
Federal Reserve Bank of Richmond 2 items
show more (8)
show less
FILTER BY Series
Working Papers 29 items
Staff Reports 18 items
FRB Atlanta Working Paper 16 items
Speech 12 items
Finance and Economics Discussion Series 11 items
Working Paper Series 11 items
FRBSF Economic Letter 9 items
Working Papers (Old Series) 9 items
Staff Report 8 items
Proceedings 5 items
Proceedings - Economic Policy Symposium - Jackson Hole 4 items
Economic Review 3 items
Economic Synopses 3 items
International Finance Discussion Papers 3 items
Business Review 2 items
Economic Policy Review 2 items
Globalization Institute Working Papers 2 items
Liberty Street Economics 2 items
Research Working Paper 2 items
Review 2 items
Chicago Fed Letter 1 items
Current Issues in Economics and Finance 1 items
Econ Focus 1 items
Economic Perspectives 1 items
National Economic Trends 1 items
Quarterly Review 1 items
Southwest Economy 1 items
Supervisory Research and Analysis Working Papers 1 items
The Region 1 items
Working Paper 1 items
Working Papers in Applied Economic Theory 1 items
show more (26)
show less
FILTER BY Content Type
Working Paper 86 items
Journal Article 28 items
Report 26 items
Speech 12 items
Conference Paper 9 items
Discussion Paper 2 items
Newsletter 1 items
show more (2)
show less
FILTER BY Author
Robotti, Cesare 8 items
Rocheteau, Guillaume 7 items
Adrian, Tobias 6 items
Guo, Hui 6 items
Lansing, Kevin J. 6 items
Guidolin, Massimo 5 items
Kan, Raymond 5 items
Lagos, Ricardo 5 items
Atkeson, Andrew 4 items
Gospodinov, Nikolay 4 items
Lettau, Martin 4 items
Alvarez, Fernando 3 items
Chien, YiLi 3 items
Ferguson, Roger W. 3 items
Juvenal, Luciana 3 items
Kohn, Donald L. 3 items
Ludvigson, Sydney 3 items
Sack, Brian P. 3 items
Wang, Pengfei 3 items
Weill, Pierre-Olivier 3 items
Yellen, Janet L. 3 items
Zha, Tao 3 items
Benzoni, Luca 2 items
Boldrin, Michele 2 items
Boyarchenko, Nina 2 items
Etula, Erkko 2 items
Fisher, Mark 2 items
Goldstein, Robert S. 2 items
Haubrich, Joseph G. 2 items
Kambhu, John 2 items
Kamstra, Mark 2 items
Kehoe, Patrick J. 2 items
Larrain, Borja 2 items
Lustig, Hanno 2 items
Miao, Jianjun 2 items
Pennacchi, George 2 items
Peralta-Alva, Adrian 2 items
Rigobon, Roberto 2 items
Ritchken, Peter H. 2 items
Rudebusch, Glenn D. 2 items
Savickas, Robert 2 items
Shin, Hyun Song 2 items
Swanson, Eric T. 2 items
Vissing-Jorgensen, Annette 2 items
Wen, Yi 2 items
Williams, John C. 2 items
http://fedora:8080/fcrepo/rest/objects/authors/ 2 items
Abel, Andrew B. 1 items
Ackert, Lucy F. 1 items
Adam, Klaus 1 items
Afonso, Gara 1 items
Afonso, Gara M. 1 items
Anderson, Christopher 1 items
Armenter, Roc 1 items
Balduzzi, Pierluigi 1 items
Barczi, Nathan 1 items
Barlevy, Gadi 1 items
Bartolini, Leonardo 1 items
Bekaert, Geert 1 items
Bergin, Paul R. 1 items
Berkowitz, Jeremy 1 items
Bernhardt, Robert 1 items
Bocola, Luigi 1 items
Bogusz, Theodore 1 items
Bolmatis, Athanasios 1 items
Bordo, Michael D. 1 items
Borovicka, Jaroslav 1 items
Braun, Matias 1 items
Cakir Melek, Nida 1 items
Calomiris, Charles W. 1 items
Campello, Murillo 1 items
Carlstrom, Charles T. 1 items
Cerrato, Mario 1 items
Chatterjee, Satyajit 1 items
Chen, Kaiji 1 items
Chen, Long 1 items
Christiano, Lawrence J. 1 items
Church, Bryan K. 1 items
Cipriani, Marco 1 items
Cogley, Timothy 1 items
Cole, Harold L. 1 items
Collin-Dufresne, Pierre 1 items
Collins, Susan M. 1 items
Croce, Mariano 1 items
Crosby, John 1 items
D'Amico, Stefania 1 items
Dennis, Richard 1 items
Diercks, Anthony M. 1 items
Dolmas, Jim 1 items
Duca, John V. 1 items
Durham, J. Benson 1 items
Eisfeldt, Andrea L. 1 items
Eitelman, Paul 1 items
Engel, Charles 1 items
Engstrom, Eric 1 items
Falato, Antonio 1 items
Fawley, Brett W. 1 items
Filardo, Andrew J. 1 items
Fostel, Ana 1 items
Fratzscher, Marcel 1 items
Friedman, Evan 1 items
Fuerst, Timothy S. 1 items
Fugazza, Carolina 1 items
Garlappi, Lorenzo 1 items
Gelain, Paolo 1 items
Gilchrist, Simon 1 items
Gilles, Christian 1 items
Giorgianni, Lorenzo 1 items
Goernemann, Nils 1 items
Goodhart, Charles A. E. 1 items
Guerrieri, Veronica 1 items
GĂĽrkaynak, Refet S. 1 items
Hansen, Lars Peter 1 items
Hatchondo, Juan Carlos 1 items
Heuvel, Skander J. van den 1 items
Himmelberg, Charles P. 1 items
Hodges, Stewart 1 items
Hofmann, Boris 1 items
Houser, Daniel 1 items
Huang, Kevin X. D. 1 items
Huberman, Gur 1 items
Hugonnier, Julien 1 items
Hyde, Stuart 1 items
Ilut, Cosmin 1 items
Iwata, Kazumasa 1 items
Jahan-Parvar, Mohammad R. 1 items
Jermann, Urban J. 1 items
Killgo, Kory A. 1 items
Kishor, N. Kundan 1 items
Knox, Benjamin 1 items
Kocherlakota, Narayana R. 1 items
Koenig, Evan F. 1 items
Kondor, Peter 1 items
Kovner, Anna 1 items
Krishnamurthy, Arvind 1 items
Leduc, Sylvain 1 items
Lev, Baruch 1 items
Lewis, Karen K. 1 items
Li, Yiting 1 items
Ling, David C. 1 items
Liu, Zheng 1 items
Maasoumi, Esfandiar 1 items
Mamaysky, Harry 1 items
Marcet, Albert 1 items
Martin, Robert F. 1 items
Mattesini, Fabrizio 1 items
McGrattan, Ellen R. 1 items
Mishkin, Frederic S. 1 items
Motto, Roberto 1 items
Muir, Tyler 1 items
Nakajima, Makoto 1 items
Naknoi, Kanda 1 items
Nandi, Saikat 1 items
Natal, Jean-Marc 1 items
Nicodano, Giovanna 1 items
Nicolini, Juan Pablo 1 items
Nosal, Ed 1 items
Ono, Sadayuki 1 items
Ozdagli, Ali K. 1 items
Pintus, Patrick A. 1 items
Plosser, Charles I. 1 items
Poole, William 1 items
Prescott, Edward C. 1 items
Ren, Jue 1 items
Ria, Federica 1 items
Robinson, Kenneth J. 1 items
Rosen, Samuel 1 items
Rosenberg, Joshua V. 1 items
Rostagno, Massimo 1 items
Sarno, Lucio 1 items
Sekeris, Evan G. 1 items
Shanken, Jay 1 items
Smith, Stephen D. 1 items
Steelman, Aaron 1 items
Stern, Gary H. 1 items
Stock, James H. 1 items
Thornton, Daniel L. 1 items
Timmerman, Allan 1 items
Trehan, Bharat 1 items
Velikov, Mihail 1 items
Vitanza, Justin 1 items
Wachter, Jessica A. 1 items
Waggoner, Daniel F. 1 items
Wang, Jian 1 items
Wang, Zhenyu 1 items
Watson, Mark W. 1 items
Wei, Chenyang 1 items
Wheelock, David C. 1 items
Whitelaw, Robert 1 items
Winkler, Fabian 1 items
Wright, Randall 1 items
Wu, Hao 1 items
Xing, Yuhang 1 items
Ying, Chao 1 items
Yogo, Motohiro 1 items
Zhang, Lu 1 items
Zhang, Ping 1 items
Zhang, Xiaoyan 1 items
Zhu, Qi 1 items
anonymous 1 items
show more (195)
show less
FILTER BY Jel Classification
G12 23 items
C13 5 items
E32 5 items
E44 5 items
G14 4 items
C12 3 items
E52 3 items
F31 3 items
G10 3 items
G11 3 items
G15 3 items
G24 3 items
C52 2 items
E02 2 items
E22 2 items
F30 2 items
G1 2 items
G18 2 items
G21 2 items
G23 2 items
G28 2 items
G32 2 items
C22 1 items
D40 1 items
D51 1 items
D83 1 items
D84 1 items
E12 1 items
E21 1 items
E31 1 items
E4 1 items
E5 1 items
E58 1 items
F10 1 items
F40 1 items
G00 1 items
G13 1 items
G17 1 items
G3 1 items
G33 1 items
G40 1 items
G50 1 items
G51 1 items
H74 1 items
Q47 1 items
R33 1 items
show more (41)
show less
FILTER BY Keywords
Asset pricing 164 items
Monetary policy 26 items
Stock market 15 items
Financial markets 12 items
Econometric models 11 items
Risk 11 items
Inflation (Finance) 10 items
Liquidity (Economics) 9 items
Interest rates 7 items
Foreign exchange rates 6 items
Consumption (Economics) 5 items
Investments 5 items
Rate of return 5 items
Forecasting 4 items
Risk management 4 items
Stock - Prices 4 items
Uncertainty 4 items
Wealth 4 items
Liquidity 4 items
Arbitrage 3 items
Financial crises 3 items
Housing - Prices 3 items
Macroeconomics 3 items
continuously updated GMM 3 items
maximum likelihood 3 items
model misspecification 3 items
Balance of trade 2 items
Capital 2 items
Federal Open Market Committee 2 items
Financial risk management 2 items
Income 2 items
Learning 2 items
Portfolio management 2 items
Prices 2 items
Recessions 2 items
Repurchase agreements 2 items
Swaps (Finance) 2 items
bank loans 2 items
congestion 2 items
endogenous TFP 2 items
financial intermediaries 2 items
heterogeneous firms 2 items
rank test 2 items
search 2 items
unidentified models 2 items
Bond Interest Rates 2 items
Business cycles 2 items
Capital Structure 2 items
Exchange rates 2 items
Financial Frictions 2 items
Money 2 items
Trading Volume 2 items
Alternative asset classes 1 items
Asset-liability management 1 items
Balance of payments 1 items
Bank deregulation 1 items
Bank liquidity 1 items
Bankruptcy 1 items
Banks and banking, Central - Japan 1 items
Basel capital accord 1 items
Capital and Ownership Structure 1 items
Cash flow 1 items
Coase Conjecture 1 items
Commercial real estate 1 items
Commitment 1 items
Commodity Markets 1 items
Consumer mistakes 1 items
Consumption-based asset pricing 1 items
Corporations 1 items
Corporations - Finance 1 items
Cost of Business Cycles 1 items
Counterfeits and counterfeiting 1 items
Credit 1 items
Credit Constraints 1 items
Credit Spreads 1 items
Credit and Equity Shocks 1 items
Credit derivatives 1 items
Duration 1 items
Economic growth 1 items
Employment forecasting 1 items
Energy Forecasting 1 items
Equilibrium (Economics) - Mathematical models 1 items
Equity 1 items
Eurodollar market 1 items
Expectations 1 items
External Positions 1 items
Federal funds rate 1 items
Financial Risk and Risk Management 1 items
Financial leverage 1 items
Financing Policy 1 items
Foreign exchange 1 items
Fraud 1 items
Going public (Securities) 1 items
Goodwill 1 items
Great Britain 1 items
Hedging (Finance) 1 items
Hellinger distance 1 items
Heterogeneous Agents 1 items
Households - Economic aspects 1 items
Households - Finance 1 items
Housing 1 items
Illinois budget 1 items
Inflation risk 1 items
Institutional investors 1 items
Intermediation (Finance) 1 items
Internal rationality 1 items
International finance 1 items
International risk sharing 1 items
Intertemporal CAPM 1 items
Issuance Costs 1 items
Japanese yen 1 items
Liabilities (Accounting) 1 items
Liquidation 1 items
Long-run risk 1 items
Long-run risks 1 items
Market segmentation 1 items
Markets 1 items
Markov processes 1 items
Model Validation 1 items
Monetary policy - United States 1 items
Mortgage-backed securities 1 items
Municipal bonds 1 items
Over-the-counter markets 1 items
Pricing 1 items
Random walks (Mathematics) 1 items
Rational expectations (Economic theory) 1 items
Regression analysis 1 items
Regulation 1 items
Regulatory arbitrage 1 items
Return decomposition 1 items
Securities 1 items
Speculation 1 items
Stochastic analysis 1 items
Stock exchanges 1 items
Subjective beliefs 1 items
Survey Data 1 items
Survey Forecasts 1 items
Taxation 1 items
Taylor's rule 1 items
Technology 1 items
Tobin taxes 1 items
Trade volume 1 items
Value of Firms 1 items
Vector autoregression 1 items
Welfare 1 items
asymptotic approximation 1 items
balance sheets 1 items
betting against beta 1 items
bonds 1 items
bubbles 1 items
capital asset pricing model 1 items
capital regulations 1 items
central banks and their policies 1 items
commodity prices 1 items
comovements 1 items
cost of capital 1 items
cutoff productivity 1 items
debt 1 items
dynamic equilibrium models 1 items
economic conditions - United States 1 items
entropy 1 items
entrusted loans 1 items
equilibrium survival 1 items
equity premiums 1 items
estimation theory 1 items
financial intermediation 1 items
financial stability 1 items
futures markets 1 items
general equilibrium 1 items
goodness-of-fit 1 items
heterogeneity 1 items
heterogeneous beliefs 1 items
heterogeneous preferences. 1 items
house prices 1 items
institutional asymmetry 1 items
irrelevant risk factors 1 items
large banks 1 items
liquidity constraints 1 items
liquidity premium 1 items
macro-finance 1 items
macroprudential 1 items
misspecification-robust tests 1 items
misspecified models 1 items
model aggregation 1 items
municipal liquidity facility 1 items
nonbank trustees 1 items
nonloan investment 1 items
optimal decisions 1 items
oracle inequality 1 items
over-the-counter 1 items
private equity 1 items
production economy 1 items
risk appetite 1 items
risk factors 1 items
risk parity 1 items
risk taking 1 items
shadow loans 1 items
small banks 1 items
spurious risk factors 1 items
state and local borrowing 1 items
stochastic discount factor 1 items
technological innovations 1 items
term structures 1 items
test for overidentifying restrictions 1 items
trading halts 1 items
working capital 1 items
show more (215)
show less