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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. |
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 Forecasting with Internet Search DataIn this post, we show that Internet search counts can also predict some financial market data releases, as well as future price movements in some financial markets. By Rebecca Hellerstein and Menno Middeldorp |
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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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Defaults and Losses on Commercial Real Estate Bonds during the Great Depression Era
In this paper, we examine defaults and losses on commercial real estate bonds during the Great Depression era. By Tyler Wiggers and Adam B. Ashcraft, Staff Reports 544, February 2012 |
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Financial Intermediary Balance Sheet Management
In this paper, we explore the empirical evidence for both market-based financial intermediaries such as the Wall Street investment banks, as well as the commercial bank subsidiaries of the large U.S. bank holding companies. We further explore the aggregate consequences of such behavior by the banking sector for the propagation of the financial cycle and securitization. By Tobias Adrian and Hyun Song Shin, Staff Reports 532, December 2011 |
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The Microstructure of the TIPS Market
In this paper, we discuss the microstructure of the market for Treasury inflation-protected securities (TIPS), including trading activity, liquidity, intraday patterns, and announcement effects. By Michael J. Fleming and Neel Krishnan, Economic Policy Review, Forthcoming |
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Repo and Securities Lending
In this paper, we provide an overview of the data requirements necessary to monitor repurchase agreements (repos) and securities lending markets for the purposes of informing policymakers and researchers about firm-level and systemic risk. By Tobias Adrian, Brian Begalle, Adam Copeland, and Antoine Martin, Staff Reports 529, December 2011 |
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Market Declines: Is Banning Short Selling the Solution?
This paper analyzes the effects of short selling on stock prices in the recent stock market declines. Short selling does not appear to be the root cause, furthermore, banning short selling does not appear to prevent stock prices from falling when firm-specific or economy-wide economic fundamentals are weak. By Robert Battalio, Hamid Mehran, and Paul Schultz, Staff Reports 518, September 2011 |
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An Analysis of CDS Transactions: Implications for Public Reporting
This paper analyzes three months of global credit default swap (CDS) transactions and presents findings on the market composition, trading dynamics, and level of standardization. By Kathryn Chen, Michael J. Fleming, John Jackson, Ada Li, and Asani Sarkar, Staff Reports 517, September 2011 |
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Decomposing Short-Term Return Reversal
The authors decomposition suggests that short-term return reversal is pervasive, much greater than previously documented, and driven by investor sentiment on the short side and liquidity shocks on the long side. By Zhi Da, Qianqiu Liu, and Ernst Schaumburg, Staff Reports 513, September 2011 |
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