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Capital Markets |
| Our economists research and analyze a range of issues involving asset pricing, market microstructure, and other financial market topics. |
New from Liberty Street Economics Blog |
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The Private Premium in Public Bonds?
In this post, we find that interest rate spreads on publicly traded bonds issued by companies with privately traded equity are about 31 basis points higher on average than spreads on bonds issued by companies with publicly traded equity, even after controlling for risk and other factors. By Anna Kovner and Chenyang Wei |
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The Yield Curve as a Leading Indicator
Research on the yield curve as a predictor of future real U.S. economic activity. |
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Recent Articles |
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How "Unconventional" Are Large-Scale Asset Purchases? The Impact of Monetary Policy on Asset Prices
This paper examines the impact of large-scale asset purchases (LSAP) on U.S. asset prices (nominal and inflation-indexed bonds, stocks, and U.S. dollar spot exchange rates) using an event study with intraday data. By Carlo Rosa, Staff Reports 560, May 2012 |
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Shadow Banking Regulation
The authors review the implications of these reform efforts for shadow funding sources including asset-backed commercial paper, triparty repurchase agreements, money market mutual funds, and securitization. By Tobias Adrian and Adam B. Ashcraft, Staff Reports 559, April 2012 |
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Securities Lending
This paper, originally released in August 1989 as part of a Federal Reserve Bank of New York series on the U.S. securities markets, examines loans of Treasury and agency securities in the domestic market. It highlights some important institutional characteristics of securities loan transactions, in particular the common use of agents to arrange the terms of the loans. By Paul C. Lipson, Bradley K. Sabel, and Frank M. Keane, Staff Reports 555, March 2012 |
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The Private Premium in Public Bonds
The authors find that spreads are 31 basis points higher for public bonds of private companies than for bonds of public companies, even after controlling for observable differences, including rating, financial performance, industry, bond characteristics and issuance timing. By Anna Kovner and Chenyang Wei, Staff Reports 553, March 2012 |
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