Research classified by Journal of Economic Literature (JEL) codes

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Top JEL
/ G: Financial Economics
/ / G1: General Financial Markets
/ / / G10: General (includes Measurement and Data)
/ / / G11: Portfolio Choice; Investment Decisions
/ / / G12: Asset Pricing; Trading Volume; Bond Interest Rates
/ / / G13: Contingent Pricing; Futures Pricing
/ / / G14: Information and Market Efficiency; Event Studies; Insider Trading
/ / / G15: International Financial Markets
/ / / G17: Financial Forecasting and Simulation
/ / / G18: Government Policy and Regulation
/ / / G19: Other

0

• Marco Cipriani & Adam Copeland, 2016, "Why Dealers Trade in GCF Repo®," Liberty Street Economics, Federal Reserve Bank of New York, number 20160504, May.
• Marco Cipriani & Adam Copeland, 2016, "Borrowing, Lending, and Swapping Collateral in GCF Repo®," Liberty Street Economics, Federal Reserve Bank of New York, number 20160505, May.
• Thomas Klitgaard & Harry Wheeler, 2016, "The Turnaround in Private and Public Financial Outflows from China," Liberty Street Economics, Federal Reserve Bank of New York, number 20160509, May.
• Marco Del Negro & Marc Giannoni & Micah Smith, 2016, "The Macro Effects of the Recent Swing in Financial Conditions," Liberty Street Economics, Federal Reserve Bank of New York, number 20160525, May.
• Sushant Acharya & Ozge Akinci & Julien Bengui & Bianca De Paoli, 2016, "Revisiting the Case for International Policy Coordination," Liberty Street Economics, Federal Reserve Bank of New York, number 20160601, Jun.
• Gara Afonso & Sammuel Stern, 2016, "How Have High Reserves and New Policy Tools Reshaped the Fed Funds Market?," Liberty Street Economics, Federal Reserve Bank of New York, number 20160711, Jul.
• Tobias Adrian & Richard K. Crump & Peter A. Diamond & Rui Yu, 2016, "Forecasting Interest Rates over the Long Run," Liberty Street Economics, Federal Reserve Bank of New York, number 20160718, Jul.
• Michael J. Fleming & Frank M. Keane & Jake Schurmeier & Emma Weiss, 2016, "A Closer Look at the Federal Reserve’s Securities Lending Program," Liberty Street Economics, Federal Reserve Bank of New York, number 20160817, Aug.
• Brandon Li & Asani Sarkar, 2016, "Why Did the Recent Oil Price Declines Affect Bond Prices of Non-Energy Companies?," Liberty Street Economics, Federal Reserve Bank of New York, number 20161005, Oct.
• Donald P. Morgan & James Narron, 2016, "The Final Crisis Chronicle: The Panic of 1907 and the Birth of the Fed," Liberty Street Economics, Federal Reserve Bank of New York, number 20161118, Nov.
• Stavros Peristiani & João A. C. Santos, 2016, "Are All CLOs Equal?," Liberty Street Economics, Federal Reserve Bank of New York, number 20161205, Dec.
• Alexandra Altman & Kathryn Bayeux & Marco Cipriani & Adam Copeland & Scott Sherman & Brett Solimine, 2016, "Investigating the Proposed Overnight Treasury GC Repo Benchmark Rates," Liberty Street Economics, Federal Reserve Bank of New York, number 20161219, Dec.
• Nina Boyarchenko & Pooja Gupta & Jacqueline Yen, 2017, "Trends in Arbitrage-Based Measures of Bond Liquidity," Liberty Street Economics, Federal Reserve Bank of New York, number 20170109, Jan.
• Nina Boyarchenko & Pooja Gupta & Nick Steele & Jacqueline Yen, 2017, "Credit Market Arbitrage and Regulatory Leverage," Liberty Street Economics, Federal Reserve Bank of New York, number 20170111, Jan.
• Michael J. Fleming, 2017, "Advent of Trade Reporting for U.S. Treasury Securities," Liberty Street Economics, Federal Reserve Bank of New York, number 20170118, Jan.
• Viral V. Acharya & Michael J. Fleming & Warren B. Hrung & Asani Sarkar, 2017, "Which Dealers Borrowed from the Fed’s Lender-of-Last-Resort Facilities?," Liberty Street Economics, Federal Reserve Bank of New York, number 20170510, May.
• Tobias Adrian & Nina Boyarchenko & Or Shachar, 2017, "Dealer Balance Sheets and Corporate Bond Liquidity Provision," Liberty Street Economics, Federal Reserve Bank of New York, number 20170524, May.
• Kathryn Bayeux & Alyssa Cambron & Marco Cipriani & Adam Copeland & Scott Sherman & Brett Solimine, 2017, "Introducing the Revised Broad Treasuries Financing Rate," Liberty Street Economics, Federal Reserve Bank of New York, number 20170619, Jun.
• Tobias Adrian & Michael J. Fleming & Or Shachar, 2017, "Market Liquidity after the Financial Crisis," Liberty Street Economics, Federal Reserve Bank of New York, number 20170628, Jun.
• James Egelhof & Antoine Martin & Noah Zinsmeister, 2017, "Regulatory Incentives and Quarter-End Dynamics in the Repo Market," Liberty Street Economics, Federal Reserve Bank of New York, number 20170807, Aug.
• João A. C. Santos & Pei Shao, 2017, "Investor Diversity and Liquidity in the Secondary Loan Market," Liberty Street Economics, Federal Reserve Bank of New York, number 20170809, Aug.
• Mary Amiti & Patrick M. McGuire & David E. Weinstein, 2017, "What Drives International Bank Credit?," Liberty Street Economics, Federal Reserve Bank of New York, number 20170906, Sep.
• Kenneth D. Garbade & Frank M. Keane & Radhika Mithal, 2017, "The Treasury Market Practices Group: A Consequential First Decade," Liberty Street Economics, Federal Reserve Bank of New York, number 20170926, Sep.
• Adam Copeland & Ira Selig & Noah Zinsmeister, 2017, "Excess Funding Capacity in Tri-Party Repo," Liberty Street Economics, Federal Reserve Bank of New York, number 20171002, Oct.
• Adam Copeland & Ira Selig & Noah Zinsmeister, 2017, "The Cost and Duration of Excess Funding Capacity in Tri-Party Repo," Liberty Street Economics, Federal Reserve Bank of New York, number 20171004, Oct.
• Gara Afonso & Adam Biesenbach & Thomas M. Eisenbach, 2017, "Mission Almost Impossible: Developing a Simple Measure of Pass-Through Efficiency," Liberty Street Economics, Federal Reserve Bank of New York, number 20171106, Nov.
• David O. Lucca & Daniel Roberts & Peter Van Tassel, 2017, "The Low Volatility Puzzle: Are Investors Complacent?," Liberty Street Economics, Federal Reserve Bank of New York, number 20171113, Nov.
• David O. Lucca & Daniel Roberts & Peter Van Tassel, 2017, "The Low Volatility Puzzle: Is This Time Different?," Liberty Street Economics, Federal Reserve Bank of New York, number 20171115, Nov.
• Thomas M. Eisenbach & Sebastian Infante, 2017, "What Makes a Safe Asset Safe?," Liberty Street Economics, Federal Reserve Bank of New York, number 20171127, Nov.
• Asani Sarkar, 2017, "Did Investor Sentiment Affect Credit Risk around the 2016 Election?," Liberty Street Economics, Federal Reserve Bank of New York, number 20171129, Nov.
• Ryan Bush & Marco Huwiler & Eric LeSueur & Giorgio Topa, 2017, "How Much Is Priced In? Market Expectations for FOMC Rate Hikes from Different Angles," Liberty Street Economics, Federal Reserve Bank of New York, number 20171130, Nov.
• Erin Denison & Michael J. Fleming & Warren B. Hrung & Asani Sarkar, 2018, "Options of Last Resort," Liberty Street Economics, Federal Reserve Bank of New York, number 20180226, Feb.
• Gara Afonso & Michael Blank & João A. C. Santos, 2018, "Did the Dodd-Frank Act End ‘Too Big to Fail’?," Liberty Street Economics, Federal Reserve Bank of New York, number 20180305, Mar.
• Michael J. Fleming & Amanda Wahlers, 2018, "Dealer Trading and Positioning in Floating Rate Notes," Liberty Street Economics, Federal Reserve Bank of New York, number 20180326, Mar.
• Marco Cipriani & Gabriele La Spada, 2018, "The Premium for Money-Like Assets," Liberty Street Economics, Federal Reserve Bank of New York, number 20180718, Jul.
• Adam Copeland & Michael J. Fleming & Frank M. Keane & Radhika Mithal, 2018, "Do You Know How Your Treasury Trades Are Cleared and Settled?," Liberty Street Economics, Federal Reserve Bank of New York, number 20180912, Sep.
• Doug Brain & Michiel De Pooter & Dobrislav Dobrev & Michael J. Fleming & Peter Johansson & Collin Jones & Frank M. Keane & Michael Puglia & Liza Reiderman & Anthony P. Rodrigues & Or Shachar, 2018, "Unlocking the Treasury Market through TRACE," Liberty Street Economics, Federal Reserve Bank of New York, number 20180928b, Sep.
• Richard K. Crump & Domenico Giannone & Sean Hundtofte, 2018, "Changing Risk-Return Profiles," Liberty Street Economics, Federal Reserve Bank of New York, number 20181004, Oct.
• George Pennacchi & João A. C. Santos, 2018, "Why Do Banks Target ROE?," Liberty Street Economics, Federal Reserve Bank of New York, number 20181010, Oct.
• Andreas Fuster & James Vickery, 2018, "What Happens When Regulatory Capital Is Marked to Market?," Liberty Street Economics, Federal Reserve Bank of New York, number 20181011, Oct.
• Dong Beom Choi & Michael R. Holcomb & Donald P. Morgan, 2018, "Leverage Rule Arbitrage," Liberty Street Economics, Federal Reserve Bank of New York, number 20181012, Oct.
• Daniel Roberts & Asani Sarkar & Or Shachar, 2018, "Did Banks Subject to LCR Reduce Liquidity Creation?," Liberty Street Economics, Federal Reserve Bank of New York, number 20181015, Oct.
• Nina Boyarchenko & Or Shachar, 2018, "Liquidity Effects of Post-Crisis Regulatory Reform," Liberty Street Economics, Federal Reserve Bank of New York, number 20181016, Oct.
• Nina Boyarchenko & Anna M. Costello & Or Shachar, 2018, "Credit Market Choice," Liberty Street Economics, Federal Reserve Bank of New York, number 20181017, Oct.
• Nina Boyarchenko & Thomas M. Eisenbach & Pooja Gupta & Or Shachar & Peter Van Tassel, 2018, "Bank-Intermediated Arbitrage," Liberty Street Economics, Federal Reserve Bank of New York, number 20181018, Oct.
• Michael J. Fleming, 2018, "U.S. Treasury Market Action on Election Night 2016," Liberty Street Economics, Federal Reserve Bank of New York, number 20181026, Oct.
• David O. Lucca & Emanuel Moench, 2018, "The Pre-FOMC Announcement Drift: More Recent Evidence," Liberty Street Economics, Federal Reserve Bank of New York, number 20181116a, Nov.
• Michael J. Fleming & Bruce Mizrach & Giang Nguyen, 2018, "Price Impact of Trades and Orders in the U.S. Treasury Securities Market," Liberty Street Economics, Federal Reserve Bank of New York, number 20181205, Dec.
• Erin Denison & Michael J. Fleming & Asani Sarkar, 2019, "Creditor Recovery in Lehman’s Bankruptcy," Liberty Street Economics, Federal Reserve Bank of New York, number 20190114a, Jan.
• Erin Denison & Michael J. Fleming & Asani Sarkar, 2019, "How Much Value Was Destroyed by the Lehman Bankruptcy?," Liberty Street Economics, Federal Reserve Bank of New York, number 20190114b, Jan.
• Erin Denison & Michael J. Fleming & Asani Sarkar, 2019, "Lehman's Bankruptcy Expenses," Liberty Street Economics, Federal Reserve Bank of New York, number 20190115, Jan.
• Erin Denison & Michael J. Fleming & Asani Sarkar, 2019, "Customer and Employee Losses in Lehman’s Bankruptcy," Liberty Street Economics, Federal Reserve Bank of New York, number 20190116, Jan.
• Erin Denison & Michael J. Fleming & Asani Sarkar, 2019, "The Indirect Costs of Lehman’s Bankruptcy," Liberty Street Economics, Federal Reserve Bank of New York, number 20190117, Jan.
• Samuel Hanson & David O. Lucca & Jonathan H. Wright, 2019, "The Sensitivity of Long-Term Interest Rates: A Tale of Two Frequencies," Liberty Street Economics, Federal Reserve Bank of New York, number 20190304, Mar.
• Erin Denison & Michael J. Fleming & Warren B. Hrung & Asani Sarkar, 2019, "Dealer Participation in the TSLF Options Program," Liberty Street Economics, Federal Reserve Bank of New York, number 20190306a, Mar.
• Michael J. Fleming & Giang Nguyen, 2019, "Assessing the Price Impact of Treasury Market Workups," Liberty Street Economics, Federal Reserve Bank of New York, number 20190306c, Mar.
• Adam Copeland & Ira Selig & Anya Tarascina, 2019, "Are New Repo Participants Gaining Ground?," Liberty Street Economics, Federal Reserve Bank of New York, number 20190403, Apr.
• Stephan Luck & Tom Zimmermann, 2019, "Ten years later – Did QE work?," Liberty Street Economics, Federal Reserve Bank of New York, number 20190508, May.
• Thomas M. Eisenbach & Kyra Frye & Helene Hall, 2019, "Since the Financial Crisis, Aggregate Payments Have Co-moved with Aggregate Reserves. Why?," Liberty Street Economics, Federal Reserve Bank of New York, number 20191104, Nov.
• Mouhua Liao, , "Periodic, Complete-participation Trade in the Lagos-Rocheteau Model," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2014-08-06.
• Bruno S. Frey & Marcel Kucher, , "History as Reflected in Capital Markets: The Case of World War II," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 002.
• Peter Woehrmann & Willi Semmler & Martin Lettau, , "Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 225.
• Peter Woehrmann, , "A dynamic model of the financial�real interaction as a model selection criterion for nonparametric stock market prediction," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 226.
• Poonam Gupta & Rana Hasan & Utsav Kumar, , "What Constrains Indian Manufacturing?," Indian Council for Research on International Economic Relations, New Delhi Working Papers, Indian Council for Research on International Economic Relations, New Delhi, India, number 211.
• Dayanand Arora & Francis Xavier Rathinam, , "OTC Derivatives Market in India: Recent Regulatory Initiatives and Open Issues for Market Stability and Development," Indian Council for Research on International Economic Relations, New Delhi Working Papers, Indian Council for Research on International Economic Relations, New Delhi, India, number 248.
• Pattanaik, Arpita & Rajeswari Sengupta, 2018, "Business cycle effect on leverage: A study of Indian non-financial firms," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2018-001, Jan.
• Rose Mary K. Abraham, , "Financialisation of Commodity Markets: Evidence from India," Margin-The Journal of Applied Economic Research, National Council of Applied Economic Research, number v:16:y:2022:i:2022-1:p:10, DOI: https://doi.org/10.1177/09738010211.
• Chester S Spatt & Jeffrey Pontiff, 0, "A Tale of Two Crises: The 2008 Mortgage Meltdown and the 2020 COVID-19 Crisis," The Review of Asset Pricing Studies, Society for Financial Studies, volume 10, issue 4, pages 759-790.
• Geert Bekaert & Campbell R. Harvey & Christian T. Lundblad & Stephan Siegel, 2011, "What Segments Equity Markets?," The Review of Financial Studies, Society for Financial Studies, volume 24, issue 12, pages 3841-3890.
• Ricardo Caballero & Emmanuel Farhi & Pierre-Olivier Gourinchas, , "Safe Asset Scarcity and Aggregate Demand," Working Paper, Harvard University OpenScholar, number 377061.
• Jamal Ibrahim Haidar, , "Can the Euro Survive?," Working Paper, Harvard University OpenScholar, number 407731.
• John M. Maheu & Thomas H. McCurdy, 2009, "Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?," Working Paper series, Rimini Centre for Economic Analysis, number 19_09, Jan.
• Joseph Byrne & Ryuta Sakemoto, , "Commodity Correlation Risk," Working Papers, University of Strathclyde Business School, Department of Economics, number 22-11.
• Paolo Tasca & Pavlin Mavrodiev & Frank Schweitzer, , "Quantifying the Impact of Leveraging and Diversification on Systemic Risk," Working Papers, ETH Zurich, Chair of Systems Design, number ETH-RC-13-003.
• Tan Ngoc Vu & Duc Hong Vo & Michael McAleer, 2019, "Rent seeking for export licenses: Application to the Vietnam rice market," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2019-13, Mar.
• Stephen Turnovsky & Marcelo Bianconi, , "The Welfare Gains from Stabilization in a Stochastically Growing Economy with Idiosyncratic Shocks and Flexible Labor Supply," Working Papers, University of Washington, Department of Economics, number UWEC-2004-08-P.
• Luis Gil-Alana & Antonio Moreno, 2007, "Uncovering the U.S. Term Premium: An Alternative Route," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 12/07, Oct.
• Arshad Ullah Jadoon & Guo Tianci & Yan Yunxian, 0, "Pakistan’s Stock Market Reaction to Large and Small Shocks in Oil Prices: An Assessment with the MT-NARDL Model," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 0, issue 0, pages 1-16.
• George M. Constantinides & Thaleia Zariphopoulou, , "Bounds on Prices of Contingent Claims in an Intertemporal Economy with Proportional Transaction Costs and General Preferences," CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago, number 347.
• A. CRAIG MacKINLAY & LUBOŠ PÁSTOR, , "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago, number 362.
• A. CRAIG MacKINLAY & LUBOŠ PÁSTOR, , "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago, number 510.
• Nicholas Economides & Robert A. Schwartz,, , "Equity Trading Practices and Market Structure: Assessing Asset Managers' Demand for Immediacy," Financial Networks, Economics of Networks, number 9508.
• Michael W. Brandt & Francis X. Diebold & April, , "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 03-15.
• François Ortalo-Magné & Matteo Iacoviello, , "Hedging Housing Risk in London," Wisconsin-Madison CULER working papers, University of Wisconsin Center for Urban Land Economic Research, number 02-03.

None

• Zhuan Pei & David S. Lee & David Card & Andrea Weber, 2018, "Local Polynomial Order in Regression Discontinuity Designs," Working Papers, Princeton University, Department of Economics, Industrial Relations Section., number 622, Aug.
• Nicola Borri & Pietro Reichlin, 2021, "Optimal Taxation with Home Ownership and Wealth Inequality," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 40, pages 64-84, April, DOI: 10.1016/j.red.2020.09.003.
• Wenli Li & Edison Yu, 2022, "Real Estate Taxes and Home Value: Evidence from TCJA," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 43, pages 125-151, January, DOI: 10.1016/j.red.2021.02.003.
• Yongsung Chang & Jay Hong & Marios Karabarbounis & Yicheng Wang & Tao Zhang, 2022, "Income Volatility and Portfolio Choices," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 44, pages 65-90, April, DOI: 10.1016/j.red.2021.04.004.
• Gaetano Bloise & Pietro Reichlin, 2023, "Low safe interest rates: A case for dynamic inefficiency?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 51, pages 633-656, December, DOI: 10.1016/j.red.2023.06.005.
• Anneke Kosse & Zhentong Lu & Gabriel Xerri, None, "Predicting payment migration in Canada," Journal of Financial Market Infrastructures, Journal of Financial Market Infrastructures.
• Victor Olkhov, None, "The econophysics of asset prices, returns and multiple expectations," Journal of Network Theory in Finance, Journal of Network Theory in Finance.
• A. van Witteloostuijn & K.S. Muehlfeld, 2008, "Trader personality and trading performance: A framework and financial market experiment," Working Papers, Utrecht School of Economics, number 08-28.
• Jaccard Ivan, 2011, "Asset Pricing and Housing Supply in a Production Economy," The B.E. Journal of Macroeconomics, De Gruyter, volume 11, issue 1, pages 1-40, October, DOI: 10.2202/1935-1690.1685.
• Zhou Xia & Carroll Christopher D., 2012, "Dynamics of Wealth and Consumption: New and Improved Measures for U.S. States," The B.E. Journal of Macroeconomics, De Gruyter, volume 12, issue 2, pages 1-44, March, DOI: 10.1515/1935-1690.2403.
• Case Karl E. & Quigley John M. & Shiller Robert J., 2005, "Comparing Wealth Effects: The Stock Market versus the Housing Market," The B.E. Journal of Macroeconomics, De Gruyter, volume 5, issue 1, pages 1-34, May, DOI: 10.2202/1534-6013.1235.
• Huang Dashan & Yu Baimin & Lu Zudi & Fabozzi Frank J. & Focardi Sergio & Fukushima Masao, 2010, "Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 2, pages 1-26, March, DOI: 10.2202/1558-3708.1805.
• Lee Jihyun & Kim Tong S & Lee Hoe Kyung, 2010, "Return-Volatility Relationship in High Frequency Data: Multiscale Horizon Dependency," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 1, pages 1-43, December, DOI: 10.2202/1558-3708.1717.
• Akdeniz Levent & Altay-Salih Aslihan & Caner Mehmet, 2003, "Time-Varying Betas Help in Asset Pricing: The Threshold CAPM," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 6, issue 4, pages 1-18, March, DOI: 10.2202/1558-3708.1101.
• Grossi Luigi, 2004, "Analyzing Financial Time Series through Robust Estimators," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-15, May, DOI: 10.2202/1558-3708.1224.
• Lillo Fabrizio & Farmer J. Doyne, 2004, "The Long Memory of the Efficient Market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 3, pages 1-35, September, DOI: 10.2202/1558-3708.1226.