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Gordon Yu Liao

Personal Details

First Name:Gordon
Middle Name:Yu
Last Name:Liao
Suffix:
RePEc Short-ID:pli1385
[This author has chosen not to make the email address public]
http://goliao.github.io

Affiliation

Federal Reserve Board (Board of Governors of the Federal Reserve System)

Washington, District of Columbia (United States)
http://www.federalreserve.gov/
RePEc:edi:frbgvus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. John Caramichael & Gordon Y. Liao, 2022. "Stablecoins: Growth Potential and Impact on Banking," International Finance Discussion Papers 1334, Board of Governors of the Federal Reserve System (U.S.).
  2. Gordon Y. Liao & Tony Zhang, 2020. "The Hedging Channel of Exchange Rate Determination," International Finance Discussion Papers 1283, Board of Governors of the Federal Reserve System (U.S.).
  3. Ricardo Correa & Wenxin Du & Gordon Y. Liao, 2020. "U.S. Banks and Global Liquidity," NBER Working Papers 27491, National Bureau of Economic Research, Inc.
  4. Robert J. Barro & Gordon Y. Liao, 2019. "Tractable Rare Disaster Probability and Options-Pricing," Finance and Economics Discussion Series 2019-073, Board of Governors of the Federal Reserve System (U.S.).
  5. Robert J. Barro & Gordon Liao, 2017. "Option-pricing formula with disaster risk," AEI Economics Working Papers 966780, American Enterprise Institute.
  6. Peter Sands & Gordon Liao & Yueran Ma, 2017. "Rethinking Operational Risk Capital Requirements," Working Paper 482781, Harvard University OpenScholar.
  7. Gordon Y. Liao, 2016. "Credit Migration and Covered Interest Rate Parity," Working Paper 468601, Harvard University OpenScholar.
  8. Fiona McAlister & Debasis Bandyopadhyay & Robert Barro & Jeremy Couchman & Norman Gemmell & Gordon Liao, 2012. "Average Marginal Income Tax Rates for New Zealand, 1907-2009," Treasury Working Paper Series 12/04, New Zealand Treasury.
    repec:vuw:vuwcpf:2423 is not listed on IDEAS

Articles

  1. Liao, Gordon Y., 2020. "Credit migration and covered interest rate parity," Journal of Financial Economics, Elsevier, vol. 138(2), pages 504-525.
  2. Peter Sands & Gordon Liao & Yueran Ma, 2018. "Rethinking Operational Risk Capital Requirements," Journal of Financial Regulation, Oxford University Press, vol. 4(1), pages 1-34.
  3. Robin Greenwood & Samuel G Hanson & Gordon Y Liao, 2018. "Asset Price Dynamics in Partially Segmented Markets," The Review of Financial Studies, Society for Financial Studies, vol. 31(9), pages 3307-3343.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. John Caramichael & Gordon Y. Liao, 2022. "Stablecoins: Growth Potential and Impact on Banking," International Finance Discussion Papers 1334, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Jean Barthélémy & Paul Gardin & Benoit Nguyen, 2023. "Stablecoins and the Financing of the Real Economy," Working papers 908, Banque de France.
    2. Lyons, Richard K. & Viswanath-Natraj, Ganesh, 2023. "What keeps stablecoins stable?," Journal of International Money and Finance, Elsevier, vol. 131(C).

  2. Gordon Y. Liao & Tony Zhang, 2020. "The Hedging Channel of Exchange Rate Determination," International Finance Discussion Papers 1283, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Mr. Eugenio M Cerutti & Mr. Maurice Obstfeld & Haonan Zhou, 2019. "Covered Interest Parity Deviations: Macrofinancial Determinants," IMF Working Papers 2019/014, International Monetary Fund.
    2. Breen, John David & Hu, Liang, 2021. "The predictive content of oil price and volatility: New evidence on exchange rate forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    3. Gordon Y. Liao, 2016. "Credit Migration and Covered Interest Rate Parity," Working Paper 468601, Harvard University OpenScholar.
    4. Joshua Aizenman & Hiro Ito & Gurnain Kaur Pasricha, 2021. "Central Bank Swap Arrangements in the COVID-19 Crisis," NBER Working Papers 28585, National Bureau of Economic Research, Inc.
    5. Mark Choi & Linda S. Goldberg & Robert Lerman & Fabiola Ravazzolo, 2021. "COVID Response: The Fed’s Central Bank Swap Lines and FIMA Repo Facility," Staff Reports 983, Federal Reserve Bank of New York.
    6. Ricardo Correa & Wenxin Du & Gordon Y. Liao, 2020. "U.S. Banks and Global Liquidity," NBER Working Papers 27491, National Bureau of Economic Research, Inc.
    7. Hyeyoon Jung, 2021. "Real Consequences of Shocks to Intermediaries Supplying Corporate Hedging Instruments," Staff Reports 989, Federal Reserve Bank of New York.
    8. Ibhagui, Oyakhilome, 2021. "Real Output and Cross-Currency Basis Swap Spreads: Evidence from the Eurozone," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    9. Pēteris Kloks & Patrick McGuire & Angelo Ranaldo & Vladyslav Sushko, 2023. "Bank positions in FX swaps: insights from CLS," BIS Quarterly Review, Bank for International Settlements, September.
    10. Todd M. Hazelkorn & Tobias J. Moskowitz & Kaushik Vasudevan, 2023. "Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price," Journal of Finance, American Finance Association, vol. 78(1), pages 301-345, February.
    11. Tarek A. Hassan & Tony Zhang, 2021. "The Economics of Currency Risk," Annual Review of Economics, Annual Reviews, vol. 13(1), pages 281-307, August.
    12. MASUJIMA Yuki, 2022. "Tracking Exchange Rate Determinants amid the Pandemic," Discussion papers 22001, Research Institute of Economy, Trade and Industry (RIETI).

  3. Ricardo Correa & Wenxin Du & Gordon Y. Liao, 2020. "U.S. Banks and Global Liquidity," NBER Working Papers 27491, National Bureau of Economic Research, Inc.

    Cited by:

    1. Mr. Eugenio M Cerutti & Mr. Maurice Obstfeld & Haonan Zhou, 2019. "Covered Interest Parity Deviations: Macrofinancial Determinants," IMF Working Papers 2019/014, International Monetary Fund.
    2. Alyssa G. Anderson & Wenxin Du & Bernd Schlusche, 2021. "Arbitrage Capital of Global Banks," Finance and Economics Discussion Series 2021-032, Board of Governors of the Federal Reserve System (U.S.).
    3. Gordon Y. Liao, 2016. "Credit Migration and Covered Interest Rate Parity," Working Paper 468601, Harvard University OpenScholar.
    4. Cecilia R. Caglio & Adam Copeland & Antoine Martin, 2021. "The Value of Internal Sources of Funding Liquidity: U.S. Broker-Dealers and the Financial Crisis," Staff Reports 969, Federal Reserve Bank of New York.
    5. Juan Morelli & Diego Perez & Pablo Ottonello, 2019. "Global Banks and Systemic Debt Crises," 2019 Meeting Papers 644, Society for Economic Dynamics.
    6. Gara Afonso & Darrell Duffie & Lorenzo Rigon & Hyun Song Shin, 2022. "How Abundant Are Reserves? Evidence from the Wholesale Payment System," NBER Working Papers 30736, National Bureau of Economic Research, Inc.
    7. Hüser, Anne-Caroline & Lepore, Caterina & Veraart, Luitgard, 2021. "How does the repo market behave under stress? Evidence from the Covid-19 crisis," Bank of England working papers 910, Bank of England, revised 18 Jun 2021.
    8. Ibhagui, Oyakhilome, 2021. "Real Output and Cross-Currency Basis Swap Spreads: Evidence from the Eurozone," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    9. Pēteris Kloks & Patrick McGuire & Angelo Ranaldo & Vladyslav Sushko, 2023. "Bank positions in FX swaps: insights from CLS," BIS Quarterly Review, Bank for International Settlements, September.
    10. Klingler, Sven & Syrstad, Olav, 2021. "Life after LIBOR," Journal of Financial Economics, Elsevier, vol. 141(2), pages 783-801.
    11. Claudio Borio & Robert N McCauley & Patrick McGuire, 2022. "Dollar debt in FX swaps and forwards: huge, missing and growing," BIS Quarterly Review, Bank for International Settlements, December.
    12. Claudia M. Buch & Linda S. Goldberg, 2021. "Complexity and Riskiness of Banking Organizations: Evidence from the International Banking Research Network," Staff Reports 966, Federal Reserve Bank of New York.
    13. Sebastian Infante & Zack Saravay, 2020. "What Drives U.S. Treasury Re-use?," Finance and Economics Discussion Series 2020-103r1, Board of Governors of the Federal Reserve System (U.S.), revised 24 Aug 2021.
    14. John Caramichael & Gordon Y. Liao, 2022. "Stablecoins: Growth Potential and Impact on Banking," International Finance Discussion Papers 1334, Board of Governors of the Federal Reserve System (U.S.).
    15. Sriya Anbil & Alyssa G. Anderson & Zeynep Senyuz, 2021. "Are Repo Markets Fragile? Evidence from September 2019," Finance and Economics Discussion Series 2021-028, Board of Governors of the Federal Reserve System (U.S.).

  4. Robert J. Barro & Gordon Liao, 2017. "Option-pricing formula with disaster risk," AEI Economics Working Papers 966780, American Enterprise Institute.

    Cited by:

    1. Gouriéroux Christian & Monfort Alain & Mouabbi Sarah & Renne Jean-Paul, 2020. "Disastrous Defaults," Working papers 778, Banque de France.
    2. Horvath, Jaroslav, 2019. "Isolating the disaster risk premium with equity options," Journal of Empirical Finance, Elsevier, vol. 51(C), pages 138-148.
    3. Gabriel Chodorow-Reich & Loukas Karabarbounis & Rohan Kekre, 2019. "The Macroeconomics of the Greek Depression," Working Papers 758, Federal Reserve Bank of Minneapolis.
    4. Robert Barro & Tao Jin, 2021. "Rare Events and Long-Run Risks," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 39, pages 1-25, January.
    5. Gourieroux, Christian & Jasiak, Joann, 2010. "Inference for Noisy Long Run Component Process," MPRA Paper 98987, University Library of Munich, Germany.
    6. Zhiguo He & Arvind Krishnamurthy, 2018. "Intermediary Asset Pricing and the Financial Crisis," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 173-197, November.
    7. Martin, Ian, 2016. "What is the expected return on the market?," LSE Research Online Documents on Economics 119013, London School of Economics and Political Science, LSE Library.
    8. Bruno Ćorić & Vladimir Šimić, 2021. "Economic disasters and aggregate investment," Empirical Economics, Springer, vol. 61(6), pages 3087-3124, December.
    9. Natasha Sarin & Lawrence H. Summers, 2016. "Understanding Bank Risk through Market Measures," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 47(2 (Fall)), pages 57-127.

  5. Peter Sands & Gordon Liao & Yueran Ma, 2017. "Rethinking Operational Risk Capital Requirements," Working Paper 482781, Harvard University OpenScholar.

    Cited by:

    1. Akimoto, Keigo & Sano, Fuminori & Oda, Junichiro, 2022. "Impacts of ride and car-sharing associated with fully autonomous cars on global energy consumptions and carbon dioxide emissions," Technological Forecasting and Social Change, Elsevier, vol. 174(C).

  6. Gordon Y. Liao, 2016. "Credit Migration and Covered Interest Rate Parity," Working Paper 468601, Harvard University OpenScholar.

    Cited by:

    1. Mr. Eugenio M Cerutti & Mr. Maurice Obstfeld & Haonan Zhou, 2019. "Covered Interest Parity Deviations: Macrofinancial Determinants," IMF Working Papers 2019/014, International Monetary Fund.
    2. Matteo Maggiori & Brent Neiman & Jesse Schreger, 2018. "International Currencies and Capital Allocation," NBER Working Papers 24673, National Bureau of Economic Research, Inc.
    3. Ferrara, Gerardo & Mueller, Philippe & Viswanath-Natraj, Ganesh & Wang, Junxuan, 2022. "Central bank swap lines: micro-level evidence," Bank of England working papers 977, Bank of England.
    4. Javier Bianchi & Saki Bigio & Charles Engel, 2022. "Scrambling for Dollars: International Liquidity, Banks and Exchange Rates," Working Papers 182, Peruvian Economic Association.
    5. Semyon Malamud & Andreas Schrimpf, 2018. "An intermediation-based model of exchange rates," BIS Working Papers 743, Bank for International Settlements.
    6. Gordon Y. Liao & Tony Zhang, 2020. "The Hedging Channel of Exchange Rate Determination," International Finance Discussion Papers 1283, Board of Governors of the Federal Reserve System (U.S.).
    7. Gromb, Denis & Vayanos, Dimitri, 2015. "The dynamics of financially constrained arbitrage," LSE Research Online Documents on Economics 62007, London School of Economics and Political Science, LSE Library.
    8. Müller, Gernot & Georgiadis, Georgios & Schumann, Ben, 2021. "Global Risk and the Dollar," CEPR Discussion Papers 16245, C.E.P.R. Discussion Papers.
    9. Ibhagui, Oyakhilome, 2021. "How do sovereign risk, equity and foreign exchange derivatives markets interact?," Economic Modelling, Elsevier, vol. 97(C), pages 58-78.
    10. Galvez, Julio & Gambacorta, Leonardo & Mayordomo, Sergio & Serena, Jose Maria, 2021. "Dollar borrowing, firm credit risk, and FX-hedged funding opportunities," Journal of Corporate Finance, Elsevier, vol. 68(C).
    11. Philippe Bacchetta & Rachel Cordonier & Ouarda Merrouche, 2020. "The Rise in Foreign Currency Bonds: The Role of US Monetary Policy and Capital Controls," Swiss Finance Institute Research Paper Series 20-51, Swiss Finance Institute.
    12. Vladyslav Sushko & Claudio Borio & Robert Neil McCauley & Patrick McGuire, 2016. "The failure of covered interest parity: FX hedging demand and costly balance sheets," BIS Working Papers 590, Bank for International Settlements.
    13. Bahaj, Saleem & Reis, Ricardo, 2022. "Central bank swap lines: evidence on the effects of the lender of last resort," LSE Research Online Documents on Economics 112601, London School of Economics and Political Science, LSE Library.
    14. Hernández Juan R., 2020. "Covered Interest Parity: A Stochastic Volatility Approach to Estimate the Neutral Band," Working Papers 2020-02, Banco de México.
    15. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2020. "The Term Structure of Covered Interest Rate Parity Violations," NBER Working Papers 27231, National Bureau of Economic Research, Inc.
    16. Luna Romo González, 2017. "European banks US dollar liabilities: beyond the covered interest parity," Financial Stability Review, Banco de España, issue MAY.
    17. Robin Greenwood & Annette Vissing-Jorgensen, 2018. "The Impact of Pensions and Insurance on Global Yield Curves," Harvard Business School Working Papers 18-109, Harvard Business School, revised Dec 2018.
    18. Luna Romo González, 2017. "European banks US dollar liabilities: beyond the covered interest parity," Revista de Estabilidad Financiera, Banco de España, issue MAY.
    19. Ricardo Correa & Wenxin Du & Gordon Y. Liao, 2020. "U.S. Banks and Global Liquidity," NBER Working Papers 27491, National Bureau of Economic Research, Inc.
    20. Takahiro Hattori, 2017. "Does swap-covered interest parity hold in long-term capital markets after the financial crisis?," Discussion papers ron293, Policy Research Institute, Ministry of Finance Japan.
    21. Ramon Moreno & José María Serena Garralda, 2018. "Firms' credit risk and the onshore transmission of the global financial cycle," BIS Working Papers 712, Bank for International Settlements.
    22. Fabiani, Andrea & Piñeros, Martha López & Peydró, José-Luis & Soto, Paul E., 2022. "Capital controls, domestic macroprudential policy and the bank lending channel of monetary policy," Journal of International Economics, Elsevier, vol. 139(C).
    23. Eguren-Martin, Fernando & Ossandon Busch, Matias & Reinhardt, Dennis, 2018. "Global banks and synthetic funding: the benefits of foreign relatives," Bank of England working papers 762, Bank of England, revised 27 Sep 2019.
    24. Sven Klingler & Olav Syrstad, 2023. "Does SOFR-linked debt cost borrowers more than LIBOR-linked debt?," Working Paper 2023/7, Norges Bank.
    25. Robe, Michel A., 2022. "The dollar’s ”Convenience Yield”," Finance Research Letters, Elsevier, vol. 48(C).
    26. Ibhagui, Oyakhilome, 2021. "Stock market and deviations from covered interest parity," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    27. Ibhagui, Oyakhilome, 2020. "Inflation Differential as a Driver of Cross-currency Basis Swap Spreads," MPRA Paper 100948, University Library of Munich, Germany.
    28. Della Corte, Pasquale & Cenedese, Gino & Wang, Tianyu, 2020. "Currency Mispricing and Dealer Balance Sheets," CEPR Discussion Papers 15569, C.E.P.R. Discussion Papers.
    29. Florez-Orrego, Sergio & Maggiori, Matteo & Schreger, Jesse & Sun, Ziwen & Tinda, Serdil, 2023. "Global Capital Allocation," SocArXiv 5s6n3, Center for Open Science.
    30. Sevgi Coşkun & Oyakhilome Ibhagui, 2022. "Technology shocks and covered interest parity deviations in emerging market economies," Empirical Economics, Springer, vol. 63(3), pages 1337-1374, September.
    31. Stefan Avdjiev & Wenxin Du & Catherine Koch & Hyun Song Shin, 2016. "The dollar, bank leverage and the deviation from covered interest parity," BIS Working Papers 592, Bank for International Settlements.
    32. Ibhagui, Oyakhilome, 2020. "Covered interest parity deviations in standard monetary models," Journal of Economics and Business, Elsevier, vol. 111(C).
    33. Ibhagui, Oyakhilome, 2018. "The Monetary Model of CIP Deviations," MPRA Paper 89641, University Library of Munich, Germany.
    34. Wenxin Du & Joanne Im & Jesse Schreger, 2017. "The U.S. Treasury Premium," NBER Working Papers 23759, National Bureau of Economic Research, Inc.
    35. Cho, Thummim, 2020. "Turning alphas into betas: arbitrage and endogenous risk," LSE Research Online Documents on Economics 102085, London School of Economics and Political Science, LSE Library.
    36. Syrstad, Olav & Viswanath-Natraj, Ganesh, 2022. "Price-setting in the foreign exchange swap market: Evidence from order flow," Journal of Financial Economics, Elsevier, vol. 146(1), pages 119-142.
    37. Heidorn, Thomas & Mamadalizoda, Nekruz, 2019. "Investigating the cross currency basis in EURUSD and EURGBP," Frankfurt School - Working Paper Series 227, Frankfurt School of Finance and Management.
    38. Bilson, Chris & Brailsford, Tim & Rajaguru, Gulasekaran, 2022. "Covered interest rate parity deviations in the Asia-Pacific," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    39. Ibhagui, Oyakhilome, 2021. "Real Output and Cross-Currency Basis Swap Spreads: Evidence from the Eurozone," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    40. Eren, Egemen & Malamud, Semyon, 2022. "Dominant currency debt," Journal of Financial Economics, Elsevier, vol. 144(2), pages 571-589.
    41. Pēteris Kloks & Patrick McGuire & Angelo Ranaldo & Vladyslav Sushko, 2023. "Bank positions in FX swaps: insights from CLS," BIS Quarterly Review, Bank for International Settlements, September.
    42. Olav Syrstad, 2020. "Covered Interest Parity in long-dated securities," Working Paper 2020/11, Norges Bank.
    43. Cesa-Bianchi, Ambrogio & Czech, Robert & Eguren Martin, Fernando, 2021. "Dash for Dollars," CEPR Discussion Papers 16415, C.E.P.R. Discussion Papers.
    44. Choi, Yoonho & Choi, E. Kwan, 2022. "Why exchange rate pass-through matters in forward exchange markets," Economic Modelling, Elsevier, vol. 110(C).
    45. Makin, Anthony J. & Ratnasiri, Shyama, 2023. "New estimates of international capital mobility for select OECD economies," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 127-138.
    46. Ho, Edmund Ho Cheung, 2022. "Foreign participation in local currency government bond markets in emerging Asia: Benefits and pitfalls to market stability," Journal of International Money and Finance, Elsevier, vol. 128(C).
    47. Tarek A. Hassan & Tony Zhang, 2021. "The Economics of Currency Risk," Annual Review of Economics, Annual Reviews, vol. 13(1), pages 281-307, August.
    48. Kim, Daniel & Pouget, Sébastien, 2023. "Do carbon emissions affect the cost of capital? Primary versus secondary corporate bond markets," TSE Working Papers 23-1472, Toulouse School of Economics (TSE).
    49. Du, Wenxin & Im, Joanne & Schreger, Jesse, 2018. "The U.S. Treasury Premium," Journal of International Economics, Elsevier, vol. 112(C), pages 167-181.
    50. Olav Syrstad & Ganesh Viswanath-Natraj, 2020. "Price-setting in the foreign exchange swap market: Evidence from order flow," Working Paper 2020/16, Norges Bank.
    51. Hattori, Takahiro, 2022. "Does the swap-covered interest parity still hold in long-term capital markets after the financial crisis? Evidence from cross-currency basis swaps," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 224-240.
    52. Cho, Thummim, 2020. "Turning alphas into betas: Arbitrage and endogenous risk," Journal of Financial Economics, Elsevier, vol. 137(2), pages 550-570.
    53. Bazán, Walter & Ortiz, Marco & Terrones, Marco & Winkelried, Diego, 2023. "CIP deviations: The role of U.S. banks’ liquidity and regulations," MPRA Paper 118600, University Library of Munich, Germany.
    54. Chernov, Mikhail & Augustin, Patrick & Schmid, Lukas & Song, Dongho, 2020. "The term structure of CIP violations," CEPR Discussion Papers 14774, C.E.P.R. Discussion Papers.
    55. Ibhagui, Oyakhilome, 2019. "Wider Covered Interest Parity Deviations and Lower Stock Returns: Evidence from the Eurozone," MPRA Paper 92363, University Library of Munich, Germany.
    56. William Diamond & Peter Van Tassel, 2022. "Risk-Free Rates and Convenience Yields Around the World," Staff Reports 1032, Federal Reserve Bank of New York.

  7. Fiona McAlister & Debasis Bandyopadhyay & Robert Barro & Jeremy Couchman & Norman Gemmell & Gordon Liao, 2012. "Average Marginal Income Tax Rates for New Zealand, 1907-2009," Treasury Working Paper Series 12/04, New Zealand Treasury.

    Cited by:

    1. John Creedy & Norman Gemmell, 2013. "Can Automatic Tax Increases Pay for the Public Spending Effects of Population Ageing in New Zealand?," Treasury Working Paper Series 13/22, New Zealand Treasury.
    2. John Creedy & Norman Gemmell, 2014. "Can fiscal drag pay for the public spending effects of population ageing in New Zealand?," New Zealand Economic Papers, Taylor & Francis Journals, vol. 48(2), pages 183-195, August.
    3. Fernando Di Nicola & Melisso Boschi & Giorgio Mongelli, 2017. "Effective marginal and average tax rates in the 2017 Italian tax-benefit system for individuals and household," Working papers 62, Società Italiana di Economia Pubblica.
    4. Fernando Di Nicola & Melisso Boschi & Giorgio Mongelli, 2018. "Effective marginal and average tax rates in the 2017 Italian tax-benefit system," Working Papers wp2018-1, Ministry of Economy and Finance, Department of Finance.

Articles

  1. Liao, Gordon Y., 2020. "Credit migration and covered interest rate parity," Journal of Financial Economics, Elsevier, vol. 138(2), pages 504-525.
    See citations under working paper version above.
  2. Peter Sands & Gordon Liao & Yueran Ma, 2018. "Rethinking Operational Risk Capital Requirements," Journal of Financial Regulation, Oxford University Press, vol. 4(1), pages 1-34.
    See citations under working paper version above.
  3. Robin Greenwood & Samuel G Hanson & Gordon Y Liao, 2018. "Asset Price Dynamics in Partially Segmented Markets," The Review of Financial Studies, Society for Financial Studies, vol. 31(9), pages 3307-3343.

    Cited by:

    1. Pitkäjärvi, Aleksi & Suominen, Matti & Vaittinen, Lauri, 2020. "Cross-asset signals and time series momentum," Journal of Financial Economics, Elsevier, vol. 136(1), pages 63-85.
    2. Jun Kyung Auh & Jennie Bai, 2020. "Cross-Asset Information Synergy in Mutual Fund Families," NBER Working Papers 26626, National Bureau of Economic Research, Inc.
    3. Aditya Keshari & Amit Gautam, 2022. "Empirical Testing of Co-integration of International Financial Markets with Reference to India, the USA, Japan, and Hong Kong," Jindal Journal of Business Research, , vol. 11(1), pages 34-43, June.
    4. Kondor, Peter & Zawadowski, Adam, 2016. "Learning in crowded markets," LSE Research Online Documents on Economics 118972, London School of Economics and Political Science, LSE Library.
    5. Gordon Y. Liao, 2016. "Credit Migration and Covered Interest Rate Parity," Working Paper 468601, Harvard University OpenScholar.
    6. Bekaert, Geert & De Santis, Roberto A., 2021. "Risk and return in international corporate bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    7. Valentin Haddad & Alan Moreira & Tyler Muir, 2021. "When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response [Funding value adjustments]," The Review of Financial Studies, Society for Financial Studies, vol. 34(11), pages 5309-5351.
    8. Gromb, Denis & Vayanos, Dimitri, 2015. "The dynamics of financially constrained arbitrage," LSE Research Online Documents on Economics 62007, London School of Economics and Political Science, LSE Library.
    9. Koijen, Ralph S.J. & Koulischer, François & Nguyen, Benoît & Yogo, Motohiro, 2021. "Inspecting the mechanism of quantitative easing in the euro area," Journal of Financial Economics, Elsevier, vol. 140(1), pages 1-20.
    10. Philippe Bacchetta & Margaret Davenport & Eric van Wincoop, 2021. "Can Sticky Portfolios Explain International Capital Flows and Asset Prices?," Swiss Finance Institute Research Paper Series 21-80, Swiss Finance Institute.
    11. Marco Di Maggio & Amir Kermani & Christopher Palmer, 2016. "How Quantitative Easing Works: Evidence on the Refinancing Channel," NBER Working Papers 22638, National Bureau of Economic Research, Inc.
    12. Charles W. Calomiris & Harry Mamaysky, 2019. "Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes," NBER Working Papers 25714, National Bureau of Economic Research, Inc.
    13. R.J. Galema & S. Lugo, 2017. "When central banks buy corporate bonds:: Target selection and impact of the European Corporate Sector Purchase Program," Working Papers 17-16, Utrecht School of Economics.
    14. Atif R. Mian & Ludwig Straub & Amir Sufi, 2020. "The Saving Glut of the Rich," NBER Working Papers 26941, National Bureau of Economic Research, Inc.
    15. Bacchetta, Philippe & van Wincoop, Eric, 2021. "Puzzling exchange rate dynamics and delayed portfolio adjustment," Journal of International Economics, Elsevier, vol. 131(C).
    16. Ricardo Correa & Wenxin Du & Gordon Y. Liao, 2020. "U.S. Banks and Global Liquidity," NBER Working Papers 27491, National Bureau of Economic Research, Inc.
    17. Neuhierl, Andreas & Weber, Michael, 2019. "Monetary policy communication, policy slope, and the stock market," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 140-155.
    18. Robin Greenwood & Samuel G. Hanson & Jeremy C. Stein & Adi Sunderam, 2020. "A Quantity-Driven Theory of Term Premia and Exchange Rates," NBER Working Papers 27615, National Bureau of Economic Research, Inc.
    19. Tania Babina & Chotibhak Jotikasthira & Christian Lundblad & Tarun Ramadorai, 2021. "Heterogeneous Taxes and Limited Risk Sharing: Evidence from Municipal Bonds [The distribution of realized stock return volatility]," The Review of Financial Studies, Society for Financial Studies, vol. 34(1), pages 509-568.
    20. Valentin Haddad & Alan Moreira & Tyler Muir, 2020. "When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response," NBER Working Papers 27168, National Bureau of Economic Research, Inc.
    21. Antonio Diez de los Rios, 2020. "A Portfolio-Balance Model of Inflation and Yield Curve Determination," Staff Working Papers 20-6, Bank of Canada.
    22. Alba Carlos & Cuadra Gabriel & Ibarra Raúl, 2023. "Effects of the Extraordinary Measures Implemented by Banco de México during the COVID-19 Pandemic on Financial Conditions," Working Papers 2023-03, Banco de México.
    23. Kirill Shakhnov & Nicola Borri, 2017. "Limited Arbitrage in the Market for Local Currency Emerging Market Debt," 2017 Meeting Papers 737, Society for Economic Dynamics.
    24. Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2015. "Mortgage risk and the yield curve," BIS Working Papers 532, Bank for International Settlements.
    25. Long, Huaigang & Zaremba, Adam & Zhou, Wenyu & Bouri, Elie, 2022. "Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns," Journal of Financial Markets, Elsevier, vol. 61(C).
    26. Xuechun Zhang & Ruihui Xu & Xue Liu, 2022. "Premiums between Cross‐listed Shares: Determinants and Assessment of Financial Reform Policy Effectiveness," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 30(3), pages 75-99, May.
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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MAC: Macroeconomics (7) 2016-03-23 2019-11-11 2019-11-25 2020-06-15 2020-08-24 2020-09-14 2022-02-14. Author is listed
  2. NEP-MON: Monetary Economics (4) 2020-06-15 2020-08-24 2020-09-14 2022-02-14
  3. NEP-RMG: Risk Management (4) 2016-03-23 2017-01-15 2019-11-25 2022-02-14
  4. NEP-BAN: Banking (3) 2020-08-24 2020-09-14 2022-02-14
  5. NEP-HIS: Business, Economic and Financial History (3) 2012-10-13 2013-04-27 2022-02-14
  6. NEP-IFN: International Finance (2) 2020-08-24 2020-09-14
  7. NEP-OPM: Open Economy Macroeconomics (2) 2019-11-11 2020-06-15
  8. NEP-PBE: Public Economics (2) 2012-10-13 2013-04-27
  9. NEP-PUB: Public Finance (2) 2012-10-13 2013-04-27
  10. NEP-UPT: Utility Models and Prospect Theory (2) 2016-03-23 2019-11-25
  11. NEP-ACC: Accounting and Auditing (1) 2013-04-27
  12. NEP-CBA: Central Banking (1) 2017-01-15
  13. NEP-FDG: Financial Development and Growth (1) 2022-02-14
  14. NEP-FMK: Financial Markets (1) 2020-08-24
  15. NEP-ORE: Operations Research (1) 2019-11-11
  16. NEP-PAY: Payment Systems and Financial Technology (1) 2022-02-14

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