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Peter Van Tassel

Personal Details

First Name:Peter
Middle Name:
Last Name:Van Tassel
Suffix:
RePEc Short-ID:pva768
[This author has chosen not to make the email address public]
https://www.newyorkfed.org/research/economists/vantassel

Affiliation

Research and Statistics Group
Federal Reserve Bank of New York

New York City, New York (United States)
http://www.newyorkfed.org/research/
RePEc:edi:rfrbnus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. William Diamond & Peter Van Tassel, 2023. "A Look at Convenience Yields around the World," Liberty Street Economics 20231003, Federal Reserve Bank of New York.
  2. William Diamond & Jules van Binsbergen & Peter Van Tassel, 2023. "Options for Calculating Risk-Free Rate," Liberty Street Economics 20231002, Federal Reserve Bank of New York.
  3. Michael J. Fleming & Or Shachar & Peter Van Tassel, 2023. "The 2022 Spike in Corporate Security Settlement Fails," Liberty Street Economics 20230410, Federal Reserve Bank of New York.
  4. Darrell Duffie & Michael Fleming & Frank Keane & Claire Nelson & Or Shachar & Peter Van Tassel, 2023. "Dealer capacity and US Treasury market functionality," BIS Working Papers 1138, Bank for International Settlements.
  5. Richard K. Crump & Charles Smith & Peter Van Tassel, 2022. "Short-Dated Term Premia and the Level of Inflation," Liberty Street Economics 20220928, Federal Reserve Bank of New York.
  6. 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. Charles Smith & Peter Van Tassel, 2021. "Equity Volatility Term Premia," Liberty Street Economics 20210203, Federal Reserve Bank of New York.
  8. Charles Smith & Peter Van Tassel, 2021. "The Law of One Price in Equity Volatility Markets," Liberty Street Economics 20210201, Federal Reserve Bank of New York.
  9. Nina Boyarchenko & Richard K. Crump & Anna Kovner & Or Shachar & Peter Van Tassel, 2020. "The Primary and Secondary Market Corporate Credit Facilities," Liberty Street Economics 20200526a, Federal Reserve Bank of New York.
  10. Michael J. Fleming & Asani Sarkar & Peter Van Tassel, 2020. "The COVID-19 Pandemic and the Fed’s Response," Liberty Street Economics 20200415, Federal Reserve Bank of New York.
  11. Boyarchenko, Nina & Eisenbach, Thomas & Gupta, Pooja & Shachar, Or & Van Tassel, Peter, 2020. "Bank-Intermediated Arbitrage," CEPR Discussion Papers 15097, C.E.P.R. Discussion Papers.
  12. Nina Boyarchenko & Thomas M. Eisenbach & Pooja Gupta & Or Shachar & Peter Van Tassel, 2020. "How Has Post-Crisis Banking Regulation Affected Hedge Funds and Prime Brokers?," Liberty Street Economics 20201019, Federal Reserve Bank of New York.
  13. Michael J. Fleming & Or Shachar & Peter Van Tassel, 2020. "Treasury Market When-Issued Trading Activity," Liberty Street Economics 20201130, Federal Reserve Bank of New York.
  14. Diego Aragon & Anna Kovner & Vanesa Sanchez & Peter Van Tassel, 2018. "Tax Reform's Impact on Bank and Corporate Cyclicality," Liberty Street Economics 20180716, Federal Reserve Bank of New York.
  15. Anna Kovner & Peter Van Tassel & Brandon Zborowski, 2018. "Regulatory Changes and the Cost of Capital for Banks," Liberty Street Economics 20181001a, Federal Reserve Bank of New York.
  16. Anna Kovner & Peter Van Tassel, 2018. "Evaluating regulatory reform: banks’ cost of capital and lending," Staff Reports 854, Federal Reserve Bank of New York.
  17. David O. Lucca & Daniel Roberts & Peter Van Tassel, 2017. "The Low Volatility Puzzle: Are Investors Complacent?," Liberty Street Economics 20171113, Federal Reserve Bank of New York.
  18. David O. Lucca & Daniel Roberts & Peter Van Tassel, 2017. "The Low Volatility Puzzle: Is This Time Different?," Liberty Street Economics 20171115, Federal Reserve Bank of New York.
  19. Peter Van Tassel, 2016. "Merger options and risk arbitrage," Staff Reports 761, Federal Reserve Bank of New York.
  20. Peter Van Tassel & Erik Vogt, 2016. "Global variance term premia and intermediary risk appetite," Staff Reports 789, Federal Reserve Bank of New York.

Articles

  1. Anna Kovner & Peter Van Tassel, 2022. "Evaluating Regulatory Reform: Banks' Cost of Capital and Lending," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(5), pages 1313-1367, August.

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. Darrell Duffie & Michael Fleming & Frank Keane & Claire Nelson & Or Shachar & Peter Van Tassel, 2023. "Dealer capacity and US Treasury market functionality," BIS Working Papers 1138, Bank for International Settlements.

    Cited by:

    1. Scheicher, Martin, 2023. "Intermediation in US and EU bond and swap markets: stylised facts, trends and impact of the coronavirus (COVID-19) crisis in March 2020," ESRB Occasional Paper Series 24, European Systemic Risk Board.

  2. Charles Smith & Peter Van Tassel, 2021. "Equity Volatility Term Premia," Liberty Street Economics 20210203, Federal Reserve Bank of New York.

    Cited by:

    1. Charles Smith & Peter Van Tassel, 2021. "The Law of One Price in Equity Volatility Markets," Liberty Street Economics 20210201, Federal Reserve Bank of New York.

  3. Nina Boyarchenko & Richard K. Crump & Anna Kovner & Or Shachar & Peter Van Tassel, 2020. "The Primary and Secondary Market Corporate Credit Facilities," Liberty Street Economics 20200526a, Federal Reserve Bank of New York.

    Cited by:

    1. Nina Boyarchenko & Caren Cox & Richard K. Crump & Andrew Danzig & Anna Kovner & Or Shachar & Patrick Steiner, 2022. "The Primary and Secondary Corporate Credit Facilities," Economic Policy Review, Federal Reserve Bank of New York, vol. 28(1), July.
    2. Larry D. Wall, 2021. "So Far, So Good: Government Insurance of Financial Sector Tail Risk," Policy Hub, Federal Reserve Bank of Atlanta, vol. 2021(13), November.
    3. Mahdi Ebsim & Miguel Faria-e-Castro & Julian Kozlowski, 2020. "Credit and Liquidity Policies during Large Crises," Working Papers 2020-035, Federal Reserve Bank of St. Louis, revised 22 Feb 2024.
    4. Nina Boyarchenko & Caren Cox & Richard K. Crump & Andrew Danzig & Anna Kovner & Or Shachar & Patrick Steiner, 2021. "COVID Response: The Primary and Secondary Corporate Credit Facilities," Staff Reports 986, Federal Reserve Bank of New York.

  4. Michael J. Fleming & Asani Sarkar & Peter Van Tassel, 2020. "The COVID-19 Pandemic and the Fed’s Response," Liberty Street Economics 20200415, Federal Reserve Bank of New York.

    Cited by:

    1. Hakan Yilmazkuday, 2021. "COVID-19 and Monetary Policy with Zero Bounds: A Cross-Country Investigation," Working Papers 2112, Florida International University, Department of Economics.
    2. Bhar, Ramaprasad & Malliaris, A.G., 2021. "Modeling U.S. monetary policy during the global financial crisis and lessons for Covid-19," Journal of Policy Modeling, Elsevier, vol. 43(1), pages 15-33.
    3. Michael J. Fleming & Haoyang Liu & Rich Podjasek & Jake Schurmeier, 2022. "The Federal Reserve’s Market Functioning Purchases," Economic Policy Review, Federal Reserve Bank of New York, vol. 28(1), pages 210-241, July.
    4. Antoine Martin & Susan McLaughlin, 2021. "COVID Response: The Primary Dealer Credit Facility," Staff Reports 981, Federal Reserve Bank of New York.
    5. Maurizio Trapanese, 2020. "The regulatory cycle in banking: what lessons from the U.S. experience? (from the Dodd-Frank Act to Covid-19)," Questioni di Economia e Finanza (Occasional Papers) 585, Bank of Italy, Economic Research and International Relations Area.

  5. Boyarchenko, Nina & Eisenbach, Thomas & Gupta, Pooja & Shachar, Or & Van Tassel, Peter, 2020. "Bank-Intermediated Arbitrage," CEPR Discussion Papers 15097, C.E.P.R. Discussion Papers.

    Cited by:

    1. Favara, Giovanni & Ivanov, Ivan & Rezende, Marcelo, 2021. "GSIB surcharges and bank lending: Evidence from US corporate loan data," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1426-1443.
    2. Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," Working Papers 2020-79, Becker Friedman Institute for Research In Economics.
    3. Mathias S. Kruttli & Phillip J. Monin & Lubomir Petrasek & Sumudu W. Watugala, 2021. "Hedge Fund Treasury Trading and Funding Fragility: Evidence from the COVID-19 Crisis," Finance and Economics Discussion Series 2021-038, Board of Governors of the Federal Reserve System (U.S.).
    4. Belinda Cheung & Sebastien Printant, 2019. "Australian Money Market Divergence: Arbitrage Opportunity or Illusion?," RBA Research Discussion Papers rdp2019-09, Reserve Bank of Australia.
    5. Boyarchenko, Nina, 2022. "Comment on “central bank policy and the concentration of risk: Empirical estimates” by Nuno Coimbra, Daisoon Kim and Hélène Rey," Journal of Monetary Economics, Elsevier, vol. 125(C), pages 199-201.
    6. Bush Georgia, 2019. "Bank foreign currency funding and currency markets: the case of Mexico post GFC," Working Papers 2019-01, Banco de México.
    7. Zhiguo He & Paymon Khorrami & Zhaogang Song, 2022. "Commonality in Credit Spread Changes: Dealer Inventory and Intermediary Distress," The Review of Financial Studies, Society for Financial Studies, vol. 35(10), pages 4630-4673.
    8. Carapella, Francesca & Monnet, Cyril, 2020. "Dealers’ insurance, market structure, and liquidity," Journal of Financial Economics, Elsevier, vol. 138(3), pages 725-753.
    9. Fang, Xiang & Liu, Yang, 2021. "Volatility, intermediaries, and exchange rates," Journal of Financial Economics, Elsevier, vol. 141(1), pages 217-233.
    10. Richard K. Crump & João A. C. Santos, 2018. "Review of New York Fed studies on the effects of post-crisis banking reforms," Economic Policy Review, Federal Reserve Bank of New York, issue 24-2, pages 71-90.

  6. Anna Kovner & Peter Van Tassel & Brandon Zborowski, 2018. "Regulatory Changes and the Cost of Capital for Banks," Liberty Street Economics 20181001a, Federal Reserve Bank of New York.

    Cited by:

    1. Matteo Benetton, 2021. "Leverage Regulation and Market Structure: A Structural Model of the U.K. Mortgage Market," Journal of Finance, American Finance Association, vol. 76(6), pages 2997-3053, December.
    2. García, Raffi E. & Steele, Suzanne, 2022. "Stress testing and bank business patterns: A regression discontinuity study," Journal of Banking & Finance, Elsevier, vol. 135(C).
    3. Satish Thosar & Bradley Schwandt, 2019. "Has ‘Too Big To Fail’ Been Solved? A Longitudinal Analysis of Major U.S. Banks," JRFM, MDPI, vol. 12(1), pages 1-14, February.
    4. Nguyen, Thach Vu Hong & Ahmed, Shamim & Chevapatrakul, Thanaset & Onali, Enrico, 2020. "Do stress tests affect bank liquidity creation?," Journal of Corporate Finance, Elsevier, vol. 64(C).
    5. Irena Pyka & Aleksandra Nocoń, 2021. "Bank Risk Capital and Its Effectiveness in Selected Euro Area Banking Sectors," JRFM, MDPI, vol. 14(11), pages 1-18, November.
    6. Richard K. Crump & João A. C. Santos, 2018. "Review of New York Fed studies on the effects of post-crisis banking reforms," Economic Policy Review, Federal Reserve Bank of New York, issue 24-2, pages 71-90.

  7. Anna Kovner & Peter Van Tassel, 2018. "Evaluating regulatory reform: banks’ cost of capital and lending," Staff Reports 854, Federal Reserve Bank of New York.

    Cited by:

    1. Koetter, Michael & Krause, Thomas & Sfrappini, Eleonora & Tonzer, Lena, 2022. "Completing the European Banking Union: Capital cost consequences for credit providers and corporate borrowers," European Economic Review, Elsevier, vol. 148(C).
    2. Jason Roderick Donaldson & Giorgia Piacentino & Anjan Thakor, 2021. "Intermediation Variety," Journal of Finance, American Finance Association, vol. 76(6), pages 3103-3152, December.
    3. Satish Thosar & Bradley Schwandt, 2019. "Has ‘Too Big To Fail’ Been Solved? A Longitudinal Analysis of Major U.S. Banks," JRFM, MDPI, vol. 12(1), pages 1-14, February.
    4. Irena Pyka & Aleksandra Nocoń, 2021. "Bank Risk Capital and Its Effectiveness in Selected Euro Area Banking Sectors," JRFM, MDPI, vol. 14(11), pages 1-18, November.
    5. Richard K. Crump & João A. C. Santos, 2018. "Review of New York Fed studies on the effects of post-crisis banking reforms," Economic Policy Review, Federal Reserve Bank of New York, issue 24-2, pages 71-90.

  8. Peter Van Tassel & Erik Vogt, 2016. "Global variance term premia and intermediary risk appetite," Staff Reports 789, Federal Reserve Bank of New York.

    Cited by:

    1. Peter Van Tassel, 2018. "Equity Volatility Term Premia," Staff Reports 867, Federal Reserve Bank of New York.
    2. Wei‐Shao Wu & Sandy Suardi, 2021. "Economic Uncertainty and Bank Lending," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(8), pages 2037-2069, December.
    3. Xinglin Yang & Ji Chen, 2021. "VIX term structure: The role of jump propagation risks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 785-810, June.

Articles

  1. Anna Kovner & Peter Van Tassel, 2022. "Evaluating Regulatory Reform: Banks' Cost of Capital and Lending," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(5), pages 1313-1367, August.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

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 22 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-FMK: Financial Markets (9) 2018-10-15 2020-04-27 2020-12-14 2021-01-04 2021-03-15 2021-03-15 2022-10-03 2023-08-28 2023-12-11. Author is listed
  2. NEP-BAN: Banking (8) 2018-06-25 2018-07-23 2020-02-17 2020-03-02 2020-04-27 2020-11-09 2021-06-14 2023-10-23. Author is listed
  3. NEP-RMG: Risk Management (6) 2018-07-23 2018-10-15 2020-11-09 2021-01-04 2021-03-15 2021-03-15. Author is listed
  4. NEP-MST: Market Microstructure (4) 2020-12-14 2023-06-12 2023-08-28 2023-12-11
  5. NEP-UPT: Utility Models and Prospect Theory (3) 2016-08-21 2017-07-23 2018-10-15
  6. NEP-CBA: Central Banking (2) 2018-06-25 2022-10-24
  7. NEP-MAC: Macroeconomics (2) 2020-02-24 2020-04-27
  8. NEP-MON: Monetary Economics (2) 2020-04-27 2022-10-24
  9. NEP-CFN: Corporate Finance (1) 2016-03-06
  10. NEP-FOR: Forecasting (1) 2016-03-06
  11. NEP-IFN: International Finance (1) 2016-08-21

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