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Bank:Federal Reserve Bank of New York  Series:Research Paper 

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Money demand, transactions proxies, and the effects of fiscal policies in open economies

Research Paper , Paper 8602

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Volatility and liquidity in futures markets

We study the provision of liquidity in futures markets as price volatility changes. For both active and inactive contracts, customer trading costs do not increase with volatility. However, for three of the four contracts studied, the nature of liquidity supply changes with volatility. Specifically, for relatively inactive contracts, customers as a group trade more with each other (and less with market makers) on higher volatility days. By contrast, for the most active contract, trading between customers and market makers increases with volatility. We also find that market makers' income per ...
Research Paper , Paper 9612

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Tests for measurement of service sector productivity

Research Paper , Paper 8906

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Corporate leverage and the consequences of macroeconomic instability

Research Paper , Paper 9012

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Is implied correlation worth calculating? Evidence from foreign exchange options and historical data

This paper examines the performance of implied correlations in forecasting subsequently realized correlations between exchange rates. Implied correlations are derived from sets of implied volatilities on the three exchange rates in a currency trio. We compare the forecasting performance of the implied correlations from two currency trios with markedly different characteristics over two forecast horizons (one month and three months) against a set of alternative correlation forecasts based on time-series data. ; For the correlations in the USD/DEM/ JPY currency trio, we find that the ...
Research Paper , Paper 9730

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Measuring economic activity and economic welfare: what are we missing?

Major U.S. economic data, most notably GDP and Industrial Production, are undergoing major changes. Proposals have been made for significant alterations in the CPI. The revision process has helped to spur debate on such topics as the proper method of accounting for high technology's role in the economy, the reported sluggishness of productivity growth in many service industries, and the overstatement of price increases for numerous products. This paper attempts to assess the potential impact of some of these problems on our understanding of basic trends in the economy. It is found that with ...
Research Paper , Paper 9732

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Estimating the adverse selection and fixed costs of trading in markets with multiple informed traders

We investigate, both theoretically and empirically, the relation between the adverse selection and fixed costs of trading and the number of informed traders in a financial asset. As a proxy for informed traders, we use dual traders -- i.e., futures floor traders who execute trades both for their own and customers' accounts on the same day. Our theoretical model shows that dual traders optimally mimic the size and direction of their informed customers' trades. Further, the adverse selection (fixed) costs of trading: (1) decrease (increase) with the number of dual traders m, if dual traders are ...
Research Paper , Paper 9814

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Regulatory standards, noncompliance and enforcement

Research Paper , Paper 8902

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Price limits and volatility in soybean meal futures markets

Research Paper , Paper 8904

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