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Capital Markets: Publications

Research focusing on asset pricing and financial market liquidity and on the interaction between markets, institutions, and the macroeconomy.

Liberty Street Economics

Capital Controls, Currency Wars, and International Cooperation Bianca De Paoli and Anna Lipinska May 13, 2013

Are Stocks Cheap? A Review of the Evidence Carlo Rosa and Fernando Duarte May 8, 2013

Do Treasury Term Premia Rise around Monetary Tightenings? By Tobias Adrian, Richard Crump, and Emanuel Moench April 15, 2013

How Liquid Is the Inflation Swap Market? Michael Fleming and John Sporn April 1, 2013

Primary Dealers’ Waning Role in Treasury Auctions Michael Fleming and Sean Myers February 20, 2013

Underwater and Drowning? Some Facts about Mortgages that Could Be Targeted by Eminent Domain Andreas Fuster, Caitlin Gorback, and Paul Willen February 13, 2013

Making a Statement: How Did Professional Forecasters React to the August 2011 FOMC Statement? Richard Crump, Stefano Eusepi, and Emanuel Moench January 7, 2013

Why Isn’t the Thirty-Year Fixed-Rate Mortgage at 2.6 Percent? Andreas Fuster and David Lucca December 31, 2012

Federal Reserve Liquidity Facilities Gross $22 Billion for U.S. Taxpayers Michael Fleming November 7, 2012

The New Bank Resolution Regimes and “Too-Big-to-Fail” Jennie Bai, Christian Cabanilla, and Menno Middeldorp October 3, 2012

Is U.S. Monetary Policy Seasonal? Richard Crump and David Lucca October 1, 2012

The Fed’s Emergency Liquidity Facilities during the Financial Crisis: The PDCF Tobias Adrian and Ernst Schaumburg August 22, 2012

The Fed’s Emergency Liquidity Facilities during the Financial Crisis: The CPFF Tobias Adrian and Ernst Schaumburg August 20, 2012

The Puzzling Pre-FOMC Announcement “Drift” David Lucca and Emanuel Moench July 11, 2012

The Impact of Trade Reporting on the Interest Rate Derivatives Market Michael Fleming, John Jackson, Ada Li, Asani Sarkar, and Patricia Zobel April 30, 2012

Skills Mismatch, Construction Workers, and the Labor Market Richard Crump and Ayşegül Şahin March 29, 2012

Economic Policy Review

Trading Activity and Price Transparency in the Inflation Swap Market Michael J. Fleming and John R. Sporn Forthcoming

The Microstructure of the TIPS Market Michael J. Fleming and Neel Krishnan Volume 18, Number 1  March 2012

Current Issues

Securities Loans Collateralized by Cash: Reinvestment Risk, Run Risk, and Incentive Issues Frank Keane Volume 19, Number 3  May 2013

Staff Reports

Dynamic Effects of Credit Shocks in a Data-Rich Environment Jean Boivin, Marc P. Giannoni, and Dalibor Stevanović Number 615  May 2013

Going Global: Markups and Product Quality in the Chinese Art Market Jennie Bai, Jia Guo, and Benjamin Mandel Number 614  May 2013

Financial Stability Monitoring Tobias Adrian, Daniel Covitz, and Nellie J. Liang Number 601  February 2013

Securitization and the Fixed-Rate Mortgage Andreas Fuster and James Vickery Number 594  January 2013

Liquidity, Volatility, and Flights to Safety in the U.S. Treasury Market: Evidence from a New Class of Dynamic Order Book Models Robert Engle, Michael Fleming, Eric Ghysels, and Giang Nguyen Number 590  December 2012

No Good Deals—No Bad Models Nina Boyarchenko, Mario Cerrato, John Crosby, and Stewart Hodges Number 589   December 2012 Revised March 2013

Discussion of “An Integrated Framework for Multiple Financial Regulations” Tobias Adrian Number 583  November 2012

Forecasting through the Rear-View Mirror: Data Revisions and Bond Return Predictability Eric Ghysels, Casidhe Horan, and Emanuel Moench Number 581  November 2012

Shadow Banking: A Review of the Literature Tobias Adrian and Adam B. Ashcraft Number 581  October 2012

When Is There a Strong Transfer Risk from the Sovereigns to the Corporates? Property Rights Gaps and CDS Spreads Jennie Bai and Shang-Jin Wei Number 579  October 2012

Have Financial Markets Become More Informative? Jennie Bai, Thomas Philippon, and Alexi Savov Number 578  October 2012

On Bounding Credit Event Risk Premia Jennie Bai, Pierre Collin-Dufresne, Robert S. Goldstein, and Jean Helwege Number 577  October 2012

Information Acquisition and Financial Intermediation Nina Boyarchenko Number 571  September 2012

Pricing TIPS and Treasuries with Linear Regressions Michael Abrahams, Tobias Adrian, Richard K. Crump, and Emanuel Moench Number 570  September 2012

Intermediary Leverage Cycles and Financial Stability Tobias Adrian and Nina Boyarchenko Number 567  August 2012

Federal Reserve Liquidity Provision during the Financial Crisis of 2007-09 Michael J. Fleming Number 563  July 2012