| G0 General |
| | Tobias Adrian: Measuring Risk in the Hedge Fund Sector (New York Fed Current issues ci13-03, 00 Mar 4) | Abstract
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| | Daniel L. Thornton, and Giorgio Valente: Revisiting the Predictability of Bond Risk Premia (St Louis Fed Working Papers 2009-009, Mar 2009) | Abstract
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| | Theodore M. Barnhill, Jr., Marcos Rietti Souto: Systemic bank risk in Brazil: an assessment of correlated market, credit, sovereign and inter-bank risk in an environment with stochastic volatilities and correlations (Deutsche Bundesbank Banking Supervision Discussion Papers 200813, Jun 2008) | Full text |
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| | Lawrence J. Christiano, Mathias Trabandt and Karl Walentin: Introducing Financial Frictions and Unemployment into a Small Open Economy Model (Sveriges Riksbank Working Papers 214, 15 Nov 2007) | Abstract
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| | Tobias Adrian and Mark M. Westerfield: Disagreement and Learning in a Dynamic Contracting Model (New York Fed Staff reports 269, Dec 2006) | Abstract
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| | Alejandro García and Ramazan Gençay: Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events (Bank of Canada Working papers 2006-17, May 2006) | Abstract
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| | James J. McAndrews: Alternative Arrangements for the Distributionof Intraday Liquidity (New York Fed Current issues ci12-03, Apr 2006) | Abstract
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| | Borja Larrain: The Stock Market and Cross Country Differences in Relative Prices (Boston Fed Working papers 05-06, May 2005) | Abstract
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| | Ricardo Caballero and Stavros Panageas: Contingent Reserves Management: An Applied Framework (Boston Fed Working papers 05-02, Mar 2005) | Abstract
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| | Glen Donaldson and Mark Kamstra: Volatility Forecasts, Trading Volume, and the ARCH versus Option-Implied Volatility Trade-off (Atlanta Fed Working papers 2004-06, Mar 2004) | Abstract
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| | Illtae Ahn and Imho Kang: The Entrance of an Internet-only Bank and the Response of Incumbent Banks (The Bank of Korea Economic Papers 35, 27 Jan 2004) | Abstract
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| | Risto Herrala: The rigidity bias (Bank of Finland Discussion Papers 2003/31, 12 Nov 2003) | Abstract
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| | Scott E. Hein and Jeffrey M. Mercer: Are TIPS Really Tax Disadvantaged? Rethinking the Tax Treatment of U.S. Treasury Inflation Indexed Securities (Atlanta Fed Working papers 2003-9, Jul 2003) | Abstract
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| | Roberto Perli and William I. Nayda: Economic and Regulatory Capital Allocation for Revolving Retail Exposures (Federal Reserve Board FEDS series 2003-39, Jul 2003) | Abstract
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| | O. Emre Ergungor: Financial System Structure and Economic Development: Structure Matters (Cleveland Fed Working papers 0305, 2003) | Full text |
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| | Mikko Niskanen: Lender of last resort and the moral hazard problem (Bank of Finland Discussion Papers 2002/17, 10 Jul 2002) | Abstract
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| G00 General |
| | Tobias Adrian and Hyun Song Shin: Liquidity, Monetary Policy, and Financial Cycles (New York Fed Current issues ci14-01, 00 Jan 2) | Abstract
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| | Hamid Mehran and Stavros Peristiani: Financial Visibility and the Decision to Go Private (New York Fed Staff reports 376, Jun 2009) | Abstract
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| | Mika Vaihekoski: History of finance research and education in Finland: the first thirty years (Bank of Finland Discussion Papers 2008/18, 08 Sep 2008) | Abstract
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| | Leonardo Bartolini, Linda Goldberg, and Adam Sacarny: How Economic News Moves Markets (New York Fed Current issues ci14-06, Aug 2008) | Abstract
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| | Philipp Hartmann, Florian Heider, Elias Papaioannou and Marco Lo Duca: The role of financial markets and innovation in productivity and growth in Europe (European Central Bank Occasional papers 072, Sep 2007) | Full text |
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| | Elias Papaioannou: Finance and growth: a macroeconomic assessment of the evidence from a European angle (European Central Bank Working papers 0787, Jul 2007) | Full text |
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| | Alejandro García and Ramazan Gençay: Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures (Bank of Canada Working papers 2007-25, Apr 2007) | Abstract
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| | Abildgren, Kim: Monetary Trends and Business Cycles in Denmark Since 1875 (Danmarks Nationalbank Working papers WP43/2006, 27 Nov 2006) | Abstract
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| | Claudio E. V. Borio and Kostas Tsatsaronis: Risk in financial reporting: status, challenges and suggested directions (Bank for International Settlements Working papers 213, Aug 2006) | Abstract
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| | Claudio Borio and Kostas Tsatsaronis: Accounting, prudential regulation and financial stability: elements of a synthesis (Bank for International Settlements Working papers 180, Sep 2005) | Abstract
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| | Pierre Lafourcade: Valuation, Investment and the Pure Profit Share (Federal Reserve Board FEDS series 2004-8, Feb 2004) | Abstract
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| | Pierre Lafourcade: Asset Prices and Rents in a GE Model with Imperfect Competition (Federal Reserve Board FEDS series 2003-60, Dec 2003) | Abstract
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| | Philipp Hartmann: The euro area financial system: structure (European Central Bank Working papers 0230, May 2003) | Full text |
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| | W. Scott Frame and Lawrence J. White: Empirical Studies of Financial Innovation: Lots of Talk, Little Action? (Atlanta Fed Working papers 2002-12, Jul 2002) | Abstract
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| G1 General Financial Markets |
| | Tobias Adrian: Measuring Risk in the Hedge Fund Sector (New York Fed Current issues ci13-03, 00 Mar 4) | Abstract
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| | Marcel Fratzscher, Christian Saborowski, Roland Straub,: Monetary Policy Shocks and Portfolio Choice, (European Central Bank Working papers 1122, 09 Dec 2009) | Full text |
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| | Pawel J. Szerszen: Bayesian Analysis of Stochastic Volatility Models with Levy Jumps: Application to Risk Analysis (Federal Reserve Board FEDS series 2009-40, Oct 2009) | Abstract
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| | Nicolas Coeurdacier, Robert Kollmann and Philippe Martin: International Portfolios, Capital Accumulation and Foreign Assets Dynamics (Dallas Fed Institute Working Papers 0027, Sep 2009) | Full text |
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| | Marcel Fratzscher: What explains global exchange rate movements during the financial crisis? (European Central Bank Working papers 1060, 08 Jun 2009) | Full text |
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| | Nicola Cetorelli and Pietro F. Peretto: Credit Quantity and Credit Quality: Bank Competitionand Capital Accumulation (New York Fed Staff reports 375, Jun 2009) | Abstract
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| | Ettore Dorrucci, Alexis Meyer-Cirkel and Daniel Santabárbara: Domestic financial development in emerging economies: evidence and implications (European Central Bank Occasional papers 102, Apr 2009) | Full text |
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| | Daniel L. Thornton, and Giorgio Valente: Revisiting the Predictability of Bond Risk Premia (St Louis Fed Working Papers 2009-009, Mar 2009) | Abstract
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| | Marcel Fratzscher, Roland Straub: Asset prices and current account fluctuations in G7 economies (European Central Bank Working papers 1014, 25 Feb 2009) | Full text |
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| | Morten L. Bech, Enghin Atalay: The topology of the federal funds market (European Central Bank Working papers 0986, 30 Dec 2008) | Full text |
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| | Falko Fecht, Kjell G. Nyborg, Jörg Rocholl: The price of liquidity: bank characteristics and market conditions (Deutsche Bundesbank Discussion Papers 200830, 23 Dec 2008) | Full text |
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| | Forbes: Why Do Foreigners Invest in the United States? (San Francisco Fed Working Papers 2008-27, Oct 2008) | Full text |
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| | Gerald P. Dwyer Jr. and Cora Barnhart: Returns to Investors in Stocks in New Industries (Atlanta Fed Working papers 2008-21, Sep 2008) | Abstract
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| | Paola Donati and Francesco Donati: Modelling and Forecasting the Yield Curve under Model uncertainty (European Central Bank Working papers 0917, Aug 2008) | Full text |
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| | Marc Pröpper, Iman van Lelyveld and Ronald Heijmans: Towards a Network Description of Interbank Payment Flows (Netherlands Bank DNB Working Papers 177, May 2008) | Full text |
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| | Erik Hjalmarsson: Interpreting Long-Horizon Estimates in Predictive Regressions (Federal Reserve Board International Financial Discussion Papers 2008-928, Apr 2008) | Abstract
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| | Monika Piazzesi and Martin Schneider: Bond Positions, Expectations, and the Yield Curve (Atlanta Fed Working papers 2008-02, Jan 2008) | Abstract
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| | Lawrence J. Christiano, Mathias Trabandt and Karl Walentin: Introducing Financial Frictions and Unemployment into a Small Open Economy Model (Sveriges Riksbank Working Papers 214, 15 Nov 2007) | Abstract
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| | Alain Monfort and Fulvio Pegoraro: Multi-Lag Term Structure Models with Stochastic Risk Premia (Bank of France Working Papers Nr 189, Nov 2007) | Abstract
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| | Henri Bertholon, Alain Monfort and Fulvio Pegoraro: Pricing and Inference with Mixtures of Conditionally Normal Processes (Bank of France Working Papers Nr 188, Nov 2007) | Abstract
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| | Erik Hjalmarsson: The Stambaugh Bias in Panel Predictive Regressions (Federal Reserve Board International Financial Discussion Papers 2007-914, Nov 2007) | Abstract
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| | David Jamieson Bolder and Shudan Liu: Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective (Bank of Canada Working papers 2007-49, Oct 2007) | Abstract
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| | Katharina Marsch, Christian Schmieder, Katrin Forster-van Aerssen: Banking consolidation and small businessfinance - empirical evidence for Germany (Deutsche Bundesbank Banking Supervision Discussion Papers 200709, Aug 2007) | Full text |
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| | Ricardo Lagos and Guillaume Rocheteau: Liquidity in Asset Markets with Search Frictions (Cleveland Fed Working papers 0706, Jun 2007) | Full text |
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| | Chi-sang Tam and Ip-wing Yu: Modelling Sovereign Bond Yield Curves of the US, Japan and Germany (Hong Kong Monetary Authority Working Papers WP07_09, May 2007) | Abstract
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| | Nicola Cetorelli, Beverly Hirtle, Donald Morgan, Stavros Peristiani, and Joăo Santos: Trends in Financial Market Concentration and Their Implications for Market Stability (New York Fed Economic policy review 0703hirt, Mar 2007) | Abstract
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| | David Jamieson Bolder and Tiago Rubin: Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis (Bank of Canada Working papers 2007-13, Feb 2007) | Abstract
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| | Robert McCauley: Internationalising a currency: the case of the Australian dollar (Bank for International Settlements Quarterly Review 0612f, 06 Dec 2006) | Abstract
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| | David Jamieson Bolder: Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective (Bank of Canada Working papers 2006-48, Dec 2006) | Abstract
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| | Francisco Covas and Wouter J. den Haan: The Role of Debt and Equity Finance over the Business Cycle (Bank of Canada Working papers 2006-45, Dec 2006) | Abstract
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| | Ricardo J Caballero, Emmanuel Farhi and Pierre-Olivier Gourinchas: An equilibrum model of "global imbalances" and low interest rates (Bank for International Settlements Working papers 222, Dec 2006) | Abstract
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| | Suresh Sundaresan and Zhenyu Wang: Y2K Options and the Liquidity Premium in TreasuryBond Markets (New York Fed Staff reports 266, Nov 2006) | Abstract
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| | Zhenyu Wang and Xiaoyan Zhang: Empirical Evaluation of Asset Pricing Models:Arbitrage and Pricing Errors over Contingent Claims (New York Fed Staff reports 265, Oct 2006) | Abstract
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| | Antonio Diez de los Rios and René Garcia: Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns (Bank of Canada Working papers 2006-31, Sep 2006) | Abstract
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| | Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Clara Vega: Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets (Federal Reserve Board International Financial Discussion Papers 2006-871, Sep 2006) | Abstract
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| | Alejandro García and Ramazan Gençay: Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events (Bank of Canada Working papers 2006-17, May 2006) | Abstract
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| | Maria Giduskova and Borja Larrain: International Risk-Taking, Volatility, and Consumption Growth (Boston Fed Working papers 06-17, Apr 2006) | Abstract
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| | Kimmo Soramäki, Morten L. Bech, Jeffrey Arnold, Robert J. Glass, and Walter E. Beyeler: The Topology of Interbank Payment Flows (New York Fed Staff reports 243, Mar 2006) | Abstract
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| | Wolfers, Zitzewitz: Five Open Questions about Prediction Markets (San Francisco Fed Working Papers 2006-06, Jan 2006) | Full text |
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| | Erik Hjalmarsson: New Methods for Inference in Long-Run Predictive Regressions (Federal Reserve Board International Financial Discussion Papers 2006-853, Jan 2006) | Abstract
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| | Ingrid Lo and Stephen G. Sapp: Order Submission: The Choice between Limit and Market Orders (Bank of Canada Working papers 2005-42, Dec 2005) | Abstract
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| | Nikola A Tarashev: An Empirical Evaluation of Structural Credit Risk Models (Bank for International Settlements Working papers 179, Jul 2005) | Abstract
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| | Bjřrn-Roger Wilhelmsen and Andrea Zaghini: Monetary policy predictability in the euro area: an international comparison (European Central Bank Working papers 0504, Jul 2005) | Full text |
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| | Ricardo Caballero and Arvind Krishnamurthy: Exchange Rate Volatility and the Credit Channel in Emerging Markets: A Vertical Perspective (IJCB International Journal of Central Banking 05q2a6, May 2005) | Abstract
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| | Hui Guo, Robert Savickas, Zijun Wang, and Jian Yang: Is Value Premium a Proxy for Time-Varying Investment Opportunities: Some Time Series Evidence (St Louis Fed Working Papers 2005-026, Apr 2005) | Full text |
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| | Tobias Adrian and Michael J. Fleming: What Financing Data Reveal about Dealer Leverage (New York Fed Current issues ci11-03, Mar 2005) | Abstract
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| | Darius P. Miller and John J. Puthenpurackal: Security fungibility and the cost of capital: evidence from global bonds (European Central Bank Working papers 0426, Jan 2005) | Full text |
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| | Johann Scharler: Understanding the Stock Market's Response to Monetary Policy Shocks (Austrian National Bank Working Papers WP093, 29 Dec 2004) | Abstract
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| | Sean D. Campbell and Canlin Li: Alternative Estimates of the Presidential Premium (Federal Reserve Board FEDS series 2004-69, Dec 2004) | Abstract
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| | Hui Guo and Robert Savickas: Aggregate Idiosyncratic Volatility in G7 Countries (St Louis Fed Working Papers 2004-027, Nov 2004) | Full text |
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| | Andrew Filardo: Monetary policy and asset price bubbles: calibrating the monetary policy trade-offs (Bank for International Settlements Working papers 155, Jun 2004) | Abstract
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| | Selva Demiralp, Brian Preslopsky, and William Whitesell: Overnight Interbank Loan Markets (Federal Reserve Board FEDS series 2004-29, May 2004) | Abstract
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| | Don Bredin, Caroline Gavin and Gerard O'Reilly: International Policy Rate Changes and Dublin Interbank Offer Rates (Central Bank of Ireland Research Technical Papers 03/RT/08, Dec 2003) | Abstract
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| | Don Bredin, Caroline Gavin and Gerard O'Reilly: The Influence of Domestic and International Interest Rates on the ISEQ (Central Bank of Ireland Research Technical Papers 03/RT/09, Dec 2003) | Abstract
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| | Francis X. Diebold, Glenn D. Rudebusch and S. Boragan Aruoba: The Macroeconomy and the Yield Curve: A Nonstructural Analysis (San Francisco Fed Working Papers 2003-18, Oct 2003) | Full text |
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| | Linda Goldberg and Deborah Leonard: What Moves Sovereign Bond Markets? The Effects of Economic News on U.S. and German Yields (New York Fed Current issues ci09-09, Sep 2003) | Abstract
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| | Scott E. Hein and Jeffrey M. Mercer: Are TIPS Really Tax Disadvantaged? Rethinking the Tax Treatment of U.S. Treasury Inflation Indexed Securities (Atlanta Fed Working papers 2003-9, Jul 2003) | Abstract
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| | Anna Krivelyova and Cesare Robotti: Playing the Field: Geomagnetic Storms and International Stock Markets (Atlanta Fed Working papers 2003-5, Feb 2003) | Abstract
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| | Benjamin Miranda Tabak: Monetary Policy Surprises and the Brazilian Term Structure of Interest Rates (Central Bank of Brazil Working Papers 070, Feb 2003) | Abstract
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| | Stacey L. Schreft and Bruce D. Smith: The Social Value of Risk-free Government Debt (Kansas City Fed Working Papers RWP03-02, Feb 2003) | Abstract
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| | Lorenzo Cappiello: Asymmetric dynamics in the correlations of global equity and bond returns (European Central Bank Working papers 0204, Jan 2003) | Full text |
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| | Sara B. Holland; Francis E. Warnock: Firm-Level Access To International Capital Markets: Evidence From Chilean Equities (Federal Reserve Board International Financial Discussion Papers 2003-753, Jan 2003) | Abstract
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| | Sharon Kozicki and P.A. Tinsley: Term Premia: Endogenous Constraints on Monetary Policy (Kansas City Fed Working Papers RWP02-07, Dec 2002) | Abstract
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| | Mark Kamstra, Lisa Kramer, and Maurice Levi: Winter Blues: A SAD Stock Market Cycle (Atlanta Fed Working papers 2002-13, Jul 2002) | Abstract
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| | Felix Eschenbach and Ludger Schuknecht: Asset prices and fiscal balances (European Central Bank Working papers 0141, May 2002) | Full text |
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| | Elijah III Brewer , William E. III Jackson: Inter-industry Contagion and the Competitive Effects of Financial Distress Announcements: Evidence from Commercial Banks and Life Insurance Companies (Chicago Fed Working papers WP-2002-23, Apr 2002) | Abstract
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| | John Kambhu and Patricia C. Mosser: The Effect of Interest Rate Options Hedging on Term-Structure Dynamics (New York Fed Economic policy review 0112kamb, Dec 2001) | Abstract
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| G10 General |
| | Tobias Adrian, Emanuel Moench, and Hyun Song Shin: Financial Intermediation, Asset Prices, and Macroeconomic Dynamics (New York Fed Staff reports 422, Jan 2010) | Abstract
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| | Allen B Frankel: The risk of relying on reputational capital: a case study of the 2007 failure of New Century Financial (Bank for International Settlements Working papers 294, Dec 2009) | Abstract
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| | Claudio Borio: Ten propositions about liquidity crises (Bank for International Settlements Working papers 293, Nov 2009) | Abstract
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| | Michel van der Wel, Albert J. Menkveld, and Asani Sarkar: Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes (New York Fed Staff reports 395, Sep 2009) | Abstract
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| | Claudio Borio and Mathias Drehmann: Towards an operational framework for financial stability: "fuzzy" measurement and its consequences (Bank for International Settlements Working papers 284, Jun 2009) | Abstract
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| | Adam Ashcraft, James McAndrews, and David Skeie: Precautionary Reserves and the Interbank Market (New York Fed Staff reports 370, May 2009) | Abstract
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| | Jean Helwege, Samuel Maurer, Asani Sarkar, and Yuan Wang: Credit Default Swap Auctions (New York Fed Staff reports 372, May 2009) | Abstract
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| | Carlos Carvalho, Nicholas Klagge, and Emanuel Moench: The Persistent Effects of a False News Shock (New York Fed Staff reports 374, May 2009) | Abstract
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| | Björn Hagströmer, Richard G. Anderson, Jane M. Binner, and Birger Nilsson: Dynamics in Systematic Liquidity (St Louis Fed Working Papers 2009-025, May 2009) | Abstract
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| | Jens Eisenschmidt, Jens Tapking: Liquidity risk premia in unsecured interbank money markets (European Central Bank Working papers 1025, 06 Mar 2009) | Full text |
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| | Kleopatra Nikolaou: Liquidity (risk) concepts: definitions and interactions (European Central Bank Working papers 1008, 19 Feb 2009) | Full text |
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| | Tobias Adrian and Hao Wu: The Term Structure of Inflation Expectations (New York Fed Staff reports 362, Feb 2009) | Abstract
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| | António Afonso and Ricardo M. Sousa: Fiscal policy, housing and stock prices (European Central Bank Working papers 0990, Jan 2009) | Full text |
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| | Morten L. Bech and Enghin Atalay: The Topology of the Federal Funds Market (New York Fed Staff reports 354, Nov 2008) | Abstract
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| | Jennifer Roush, William Dudley, and Michelle Steinberg Ezer: The Case for TIPS: An Examination of the Costsand Benefits (New York Fed Staff reports 353, Oct 2008) | Abstract
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| | Tobias Adrian and Markus K. Brunnermeier: CoVaR (New York Fed Staff reports 348, Sep 2008) | Abstract
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| | Tobias Adrian and Emanuel Moench: Pricing the Term Structure with Linear Regressions (New York Fed Staff reports 340, Aug 2008) | Abstract
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| | Franklin Allen and Elena Carletti: Financial system: shock absorber or amplifier? (Bank for International Settlements Working papers 257, Jul 2008) | Abstract
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| | James McAndrews, Asani Sarkar, and Zhenyu Wang: The Effect of the Term Auction Facilityon the London Inter-Bank Offered Rate (New York Fed Staff reports 335, Jul 2008) | Abstract
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| | Virginia Queijo von Heideken: How Important are Financial Frictions in the U.S. and the Euro Area (Sveriges Riksbank Working Papers 223, 05 Jun 2008) | Abstract
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| | Li-gang Liu, Laurent Pauwels, and Jun-yu Chan: Do External Political Pressures Affect the Renminbi Exchange Rate? (Hong Kong Monetary Authority Working Papers WP08_05, May 2008) | Abstract
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| | Tobias Adrian and Hyun Song Shin: Liquidity and Leverage (New York Fed Staff reports 328, May 2008) | Abstract
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| | Miroslav Misina and Greg Tkacz: Credit, Asset Prices, and Financial Stress in Canada (Bank of Canada Working papers 2008-10, Apr 2008) | Abstract
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| | Claudio Borio: The financial turmoil of 2007-?: a preliminary assessment and some policy considerations (Bank for International Settlements Working papers 251, Mar 2008) | Abstract
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| | Elizondo Rocío; Padilla Pablo: An Analytical Approach to Merton´s Rational Option Pricing Theory. (Bank of Mexico Working Papers 2008-03, 2008) | Full text |
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| | John Ammer and Fang Cai: Sovereign CDS and Bond Pricing Dynamics in Emerging Markets: Does the Cheapest-to-Deliver Option Matter? (Federal Reserve Board International Financial Discussion Papers 2007-912, Dec 2007) | Abstract
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| | Hans Degryse, Mark Van Achter and Gunther Wuyts: Dynamic order submission strategies with competition between a dealer market and a crossing network (National Bank of Belgium Working Papers 121, 15 Nov 2007) | Abstract
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| | Claudio E. V. Borio: Change and constancy in the financial system: implications for financial distress and policy (Bank for International Settlements Working papers 237, Oct 2007) | Abstract
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| | Tarun Chordia, Asani Sarkar, and Avanidhar Subrahmanyam: The Microstructure of Cross-Autocorrelations (New York Fed Staff reports 303, Sep 2007) | Abstract
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| | Falko Fecht, Hans Peter Grüner, Philipp Hartmann: Welfare effects of financial integration (Deutsche Bundesbank Banking Supervision Discussion Papers 200711, Aug 2007) | Full text |
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| | Niko Dötz: Time-varying contributions by the corporate bond and CDS markets to credit risk price discovery (Deutsche Bundesbank Banking Supervision Discussion Papers 200708, Jul 2007) | Full text |
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| | Tom Fong, Alfred Wong and Ivy Yong: Share Price Disparity in Chinese Stock Markets (Hong Kong Monetary Authority Working Papers WP07_11, Jul 2007) | Abstract
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| | Asani Sarkar and Robert A. Schwartz: Market Sidedness: Insights into Motives for Trade Initiation (New York Fed Staff reports 292, Jul 2007) | Abstract
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| | Pedro Elosegui, Anne P. Villamil: Risky Banking and Credit Rationing (Central Bank of Argentina Working Papers 2007/20, Jul 2007) | Full text |
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| | Ilhyock Shim and Goetz von Peter: Distress selling and asset market feedback (Bank for International Settlements Working papers 229, Jun 2007) | Abstract
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| | Andreas Pick: Financial contagion and tests using instrumental variables (Netherlands Bank DNB Working Papers 139, Jun 2007) | Full text |
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| | Alejandro García and Ramazan Gençay: Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures (Bank of Canada Working papers 2007-25, Apr 2007) | Abstract
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| | Ip-Wing Yu and Chi-Sang Tam: Measuring Market Sentiment in Hong Kong's Stock Market (Hong Kong Monetary Authority Working Papers WP07_05, Apr 2007) | Abstract
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| | Ranaldo, Angelo: Segmentation and Time-of-Day Patterns in Foreign Exchange Markets (Swiss National Bank Working Papers 2007-03, Mar 2007) | Full text |
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| | Natasha Khan: Impact of Electronic Trading Platforms on the Brokered Interdealer Market for Government of Canada Benchmark Bonds (Bank of Canada Working papers 2007-05, Feb 2007) | Abstract
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| | Bill Francis, Iftekhar Hasan, and Maya Waisman: Does Geography Matter to Bondholders? (Atlanta Fed Working papers 2007-02, Feb 2007) | Abstract
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| | Alexander Melnikov and Yuliya Romanyuk: Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets (Bank of Canada Working papers 2006-43, Nov 2006) | Abstract
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| | Pasquale Della Corte, Lucio Sarno, and Daniel L. Thornton: The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value (St Louis Fed Working Papers 2006-061, Nov 2006) | Full text |
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| | Francisco Alonso, Roberto Blanco and Gonzalo Rubio: Option-implied preferences adjustments, density forecasts, and the equity risk premium (Bank of Spain Working Papers 0630, Nov 2006) | Abstract
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| | Sigridur Benediktsdottir: An Empirical Analysis of Specialist Trading Behavior at the New York Stock Exchange (Federal Reserve Board International Financial Discussion Papers 2006-876, Sep 2006) | Abstract
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| | Péter Kondor: Risk in Dynamic Arbitrage: Price Effects of Convergence Trading (Magyar Nemzeti Bank Working papers 2006/06, Aug 2006) | Abstract
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| | Tobias Adrian and Joshua Rosenberg: Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk (New York Fed Staff reports 254, Jul 2006) | Abstract
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| | Kabir Dutta and Jason Perry: 06-13 (Boston Fed Working papers 06-13, Jul 2006) | Abstract
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| | Kenneth D. Garbade: The Evolution of Repo Contracting Conventions in the 1980s (New York Fed Economic policy review 0605garb, May 2006) | Abstract
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| | Jan Willem van den End: Indicator and boundaries of financial stability (Netherlands Bank DNB Working Papers 097, Apr 2006) | Full text |
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| | Asani Sarkar and Robert A. Schwartz: Two-Sided Markets and Intertemporal Trade Clustering: Insights into Trading Motives (New York Fed Staff reports 246, Apr 2006) | Abstract
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| | by Prasanna Gai and Nicholas Vause: Measuring Investors' Risk Appetite (IJCB International Journal of Central Banking 06q1a5, Feb 2006) | Abstract
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| | Edwin Lambregts and Daniël Ottens: The Roots of Banking Crises in Emerging Market Economics: A Panel Data Approach (Netherlands Bank DNB Working Papers 084, Jan 2006) | Full text |
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| | (DNB): Bond Market and Stock Market Integration in Europe (Netherlands Bank DNB Working Papers 060, Dec 2005) | Full text |
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| | Hui Guo, and Jason Higbee: Market Timing with Aggregate and Idiosyncratic Stock Volatilities (St Louis Fed Working Papers 2005-073, Dec 2005) | Full text |
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| | Nikola Tarashev: Structural models of default: lessons from firm-level data (Bank for International Settlements Quarterly Review 0509h, Sep 2005) | Abstract
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| | Charles Himmelberg, Christopher Mayer, and Todd Sinai: Assessing High House Prices: Bubbles, Fundamentals,and Misperceptions (New York Fed Staff reports 218, Sep 2005) | Abstract
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| | Falko Fecht, Hans Peter Grüner: Financial integration and systemic risk (Deutsche Bundesbank Banking Supervision Discussion Papers 200511, Sep 2005) | Full text |
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| | Brian M. Lucey, Svitlana Voronkova: Russian equity market linkages before and after the 1998 crisis: Evidence from time-varying and stochastic cointegration tests (Bank of Finland BOFIT Discussion Papers 2005/12, 25 Aug 2005) | Abstract
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| | Janet Mitchell: Financial Intermediation Theory and Implications for the Sources of Value in Structured Finance Markets (National Bank of Belgium Working Papers 071, 26 Jul 2005) | Abstract
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| | Falko Fecht, Antoine Martin: Banks, markets, and efficiency (Deutsche Bundesbank Banking Supervision Discussion Papers 200504, Jul 2005) | Full text |
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| | Ramon P. DeGennaro: Market Imperfections (Atlanta Fed Working papers 2005-12, Jul 2005) | Abstract
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| | Falko Fecht and Antoine Martin: Banking, Markets, and Efficiency (New York Fed Staff reports 210, Jun 2005) | Abstract
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| | Ingo Fender and Janet Mitchell: Structured finance: complexity, risk and the use of ratings (Bank for International Settlements Quarterly Review 0506f, Jun 2005) | Abstract
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| | (DNB): Credit Booms in Emerging Market Economies: A Recipe for Banking Crises? (Netherlands Bank DNB Working Papers 046, Jun 2005) | Full text |
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| | Tarun Chordia, Asani Sarkar, and Avanidhar Subrahmanyam: The Joint Dynamics of Liquidity, Returns, and Volatility across Small and Large Firms (New York Fed Staff reports 207, Apr 2005) | Abstract
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| | Cyril Monnet and Erwan Quintin: Why do financial systems differ? History matters (European Central Bank Working papers 0442, Feb 2005) | Full text |
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| | Marco Da Rin: Public policy and the creation of active venture capital markets (European Central Bank Working papers 0430, Jan 2005) | Full text |
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| | Marco Sorge: Stress-testing financial systems: an overview of current methodologies (Bank for International Settlements Working papers 165, Dec 2004) | Abstract
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| | Blaise Gadanecz: The syndicated loan market (Bank for International Settlements Quarterly Review 0412g, Dec 2004) | Abstract
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| | Serdar Dinc and Patrick M McGuire: Did investors regard real estate as (Bank for International Settlements Working papers 164, Nov 2004) | Abstract
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| | Fabio Fornari: Macroeconomic announcements and implied volatilities in swaption markets (Bank for International Settlements Quarterly Review 0409h, Sep 2004) | Abstract
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| | Albert J. Menkveld: Euro area sovereign yield dynamics: the role of order imbalance (European Central Bank Working papers 0385, Aug 2004) | Full text |
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| | Cornelia Holthausen and Jens Tapking: Raising rival's costs in the securities settlement industry (European Central Bank Working papers 0376, Jul 2004) | Full text |
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| | Marian Micu, Eli M Remolona, Philip D Wooldridge: The price impact of rating announcements: evidence from the credit default swap market (Bank for International Settlements Quarterly Review 0406e, Jun 2004) | Abstract
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| | Paul De Grauwe and Marianna Grimaldi: Bubbles and crashes in a behavioural finance model (Sveriges Riksbank Working Papers 164, 01 May 2004) | Abstract
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| | Joshua V. Rosenberg and Til Schuermann: A General Approach to Integrated Risk Management with Skewed, Fat-Tailed Risk (New York Fed Staff reports 185, May 2004) | Abstract
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| | Helena Beltran, Alain Durré and Pierre Giot: How does liquidity react to stress periods in a limit order market? (National Bank of Belgium Working Papers 049, May 2004) | Full text |
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| | Tobias Adrian: Inference, Arbitrage, and Asset Price Volatility (New York Fed Staff reports 187, May 2004) | Abstract
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| | Brian Sack and Robert Elsasser: Treasury Inflation-Indexed Debt: A Review of the U.S. Experience (New York Fed Economic policy review 0405sack, May 2004) | Abstract
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| | Falko Fecht, Kevin Huang, and Antoine Martin: Financial Intermediaries, Markets, and Growth (Kansas City Fed Working Papers RWP04-02, Apr 2004) | Abstract
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| | Ian Garrett, Mark Kamstra, and Lisa Kramer: Winter Blues and Time Variation in the Price of Risk (Atlanta Fed Working papers 2004-08, Apr 2004) | Abstract
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| | Charles P. Himmelberg, James M. Mahoney, April Bang, and Brian Chernoff: Recent Revisions to Corporate Profits: What We Know and When We Knew It (New York Fed Current issues ci10-03, Mar 2004) | Abstract
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| | Thorsten V. Köppl: Risk sharing through financial markets with endogenous enforcement of trades (European Central Bank Working papers 0319, Mar 2004) | Full text |
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| | Sami Vähämaa: Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB (European Central Bank Working papers 0315, Mar 2004) | Full text |
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| | Scott Baier, Gerald P. Dwyer Jr., and Robert Tamura: Does Opening a Stock Exchange Increase Economic Growth? (Atlanta Fed Working papers 2003-36, Dec 2003) | Abstract
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| | Miklós Koren and Silvana Tenreyro: Diversification and Development (Boston Fed Working papers 03-03, Apr 2003) | Abstract
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| | Tarun Chordia, Asani Sarkar, and Avanidhar Subrahmanyam: An Empirical Analysis of Stock and Bond Market Liquidity (New York Fed Staff reports 164, Mar 2003) | Abstract
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| | Peter Antunovich and Asani Sarkar: Fifteen Minutes of Fame? The Market Impact of Internet Stock Picks (New York Fed Staff reports 158, Jan 2003) | Abstract
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| | Didier Cossin: A framework for collateral risk control determination (European Central Bank Working papers 0209, Jan 2003) | Full text |
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| | Benjamin Miranda Tabak and Solange Maria Guerra: Stock Returns and Volatility (Central Bank of Brazil Working Papers 054, Nov 2002) | Abstract
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| | José Fajardo and Aquiles Farias: Generalized Hyperbolic Distributions and Brazilian Data (Central Bank of Brazil Working Papers 052, Sep 2002) | Abstract
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| | Gerald Dwyer and Cora Barnhart: Are Stocks in New Industries Like Lottery Tickets? (Atlanta Fed Working papers 2002-15, Aug 2002) | Abstract
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| | Miguel Balbina, Nuno C. Martins: The Analysis of Seasonal Return Anomalies in the Portuguese Stock Market (Bank of Portugal Working papers 200211, May 2002) | Abstract
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| | Vincent Brousseau: The functional form of yield curves (European Central Bank Working papers 0148, May 2002) | Full text |
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| | Hamid Mehran and Joseph Tracy: The Effect of Employee Stock Options on the Evolution of Compensation in the 1990s (New York Fed Economic policy review 0112mehr, Dec 2001) | Abstract
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| | Joseph Tracy and Henry Schneider: Stocks in the Household Portfolio: A Look Back at the 1990s (New York Fed Current issues ci07-04, Apr 2001) | Abstract
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| | Jonathan Hartley, Maude Toussaint-Comeau: Health and the Savings of Insured Versus Uninsured, Working-Age Households in the U.S. (Chicago Fed Working papers WP-2009-23, Dec 2009) | Abstract
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| | Dirk Broeders, An Chen and Birgit Koos: An institutional evaluation of pension funds and life insurance companies (Netherlands Bank DNB Working Papers 227, Dec 2009) | Full text |
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| | Erik Hjalmarsson: Diversification Across Characteristics (Federal Reserve Board International Financial Discussion Papers 2009-986, Dec 2009) | Abstract
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| | Geng Li: Information Sharing and Stock Market Participation: Evidence from Extended Families (Federal Reserve Board FEDS series 2009-47, Nov 2009) | Abstract
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| | Falko Fecht, Michael Wedow: The dark and the bright side of liquidity risks: evidence from open-end real estate funds in Germany (Deutsche Bundesbank Banking Supervision Discussion Papers 200910, Oct 2009) | Full text |
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| | Jacob A. Bikker, Dirk W.G.A. Broeders, David A. Hollanders and Eduard H.M. Ponds: Pension funds' asset allocation and participant age: a test of the life-cycle model (Netherlands Bank DNB Working Papers 223, Oct 2009) | Full text |
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| | Christian Hott: Explaining House Price Fluctuations (Swiss National Bank Working Papers 2009-05, 24 Sep 2009) | Full text |
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| | Gabe de Bondt: Euro area money demand: empirical evidence on the role of equity and labour markets (European Central Bank Working papers 1086, 03 Sep 2009) | Full text |
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| | Alain Monfort: Optimal Portfolio Allocation under Asset and Surplus VaR Constraints (Bank of France Working Papers Nr 251, Sep 2009) | Abstract
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| | Ramona Busch, Thomas Kick: Income diversification in the German banking industry (Deutsche Bundesbank Banking Supervision Discussion Papers 200909, Aug 2009) | Full text |
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| | Birgit Uhlenbrock: Financial markets' appetite for risk - and the challenge of assessing its evolution by risk appetite indicators (Deutsche Bundesbank Banking Supervision Discussion Papers 200908, Jul 2009) | Full text |
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| | Chen Zhou: Dependence structure of risk factors and diversification effects (Netherlands Bank DNB Working Papers 219, Jul 2009) | Full text |
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| | Javier Mencía and Enrique Sentana: Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation (1.129 KB) (Bank of Spain Working Papers 0909, Jun 2009) | Abstract
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| | Javier Mencía: Assessing the risk-return trade-off in loans portfolios (566 KB) (Bank of Spain Working Papers 0911, Jun 2009) | Abstract
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| | Jan de Dreu and Jacob Bikker: Pension fund sophistication and investment policy (Netherlands Bank DNB Working Papers 211, Jun 2009) | Full text |
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| | Shawn Cole, Xavier Giné, Jeremy Tobacman, Petia Topalova, Robert Townsend, and James Vickery: Barriers to Household Risk Management:Evidence from India (New York Fed Staff reports 373, May 2009) | Abstract
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| | David A. Love, Paul A. Smith, and David Wilcox: Should Risky Firms Offer Risk-Free DB Pensions? (Federal Reserve Board FEDS series 2009-20, May 2009) | Abstract
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| | Nicolas Coeurdacier, Roberto A. De Santis, Antonin Aviat: Cross-Border Mergers and acquisitions: Financial and institutional forces (European Central Bank Working papers 1018, 03 Mar 2009) | Full text |
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| | Rangel Jose Gonzalo; Engle Robert F.: The Factor-Spline-GARCH Model for High and Low Frequency Correlations (Bank of Mexico Working Papers 2009-03, 2009) | Full text |
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| | Coeurdacier, Gourinchas: When Bonds Matter: Home Bias in Goods and Assets (San Francisco Fed Working Papers 2008-25, Nov 2008) | Full text |
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| | George M. Korniotis and Alok Kumar: Do Behavioral Biases Adversely Affect the Macro-Economy? (Federal Reserve Board FEDS series 2008-49, Oct 2008) | Abstract
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| | Carol C. Bertaut: Assessing the Potential for Further Foreign Demand for U.S. Assets: Has Financing U.S. Current Account Deficits Made Foreign Investors Overweight in U.S. Securities? (Federal Reserve Board International Financial Discussion Papers 2008-950, Oct 2008) | Abstract
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| | Markus Knell: The Optimal Mix Between Funded and Unfunded Pensions System When People Care About Relative Consumption (Austrian National Bank Working Papers WP146, 01 Sep 2008) | Abstract
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| | Joshua Brodie, Ingrid Daubechies, Christine De Mol: Sparse and stable Markowitz portfolios (European Central Bank Working papers 0936, Sep 2008) | Full text |
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| | Darrell Duffie: Innovations in credit risk transfer: implications for financial stability (Bank for International Settlements Working papers 255, Jul 2008) | Abstract
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| | Roland Beck and Ebrahim Rahbari: Optimal reserve composition in the presence of sudden stops: the euro and the dollar as safe haven currencies (European Central Bank Working papers 0916, Jul 2008) | Full text |
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| | Stichander Ramaswamy: Managing international reserves: how does diversification affect financial costs? (Bank for International Settlements Quarterly Review 0806f, 08 Jun 2008) | Abstract
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| | Ana Lacerda, José Fajardo: Statistical Arbitrage with Default and Collateral (Bank of Portugal Working papers 200808, Jun 2008) | Abstract
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| | Fousseni Chabi-Yo, Eric Ghysels, and Eric Renault: On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk (Bank of Canada Working papers 2008-16, May 2008) | Abstract
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| | Heli Huhtala: Along but beyond mean-variance: Utility maximization in a semimartingale model (Bank of Finland Discussion Papers 2008/05, 10 Mar 2008) | Abstract
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| | Laurence Fung and Ip-wing Yu: Predicting Stock Market Returns by Combining Forecasts (Hong Kong Monetary Authority Working Papers WP08_01, Mar 2008) | Abstract
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| | Massimo Guidolin, and Stuart Hyde: Equity Portfolio Diversification under Time-Varying Predictability and Comovements: Evidence from Ireland, the US, and the UK (St Louis Fed Working Papers 2008-005, Jan 2008) | Full text |
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| | Steffan G. Ball: Stock Market Participation, Portfolio Choice and Pensions over the Life-Cycle (Federal Reserve Board FEDS series 2008-64, Jan 2008) | Abstract
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| | Rodríguez Arnulfo; Zúńiga Gerardo; Rodríguez Pedro N.: Analysis of the Performance of Mexican Pension Funds: Evidence from a Stationary Bootstrap Application (Bank of Mexico Working Papers 2008-02, 2008) | Full text |
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| | Elizondo Rocío; Padilla Pablo: An Analytical Approach to Merton´s Rational Option Pricing Theory. (Bank of Mexico Working Papers 2008-03, 2008) | Full text |
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| | Thilo Pausch: Endogenous credit derivatives and bank behavior (Deutsche Bundesbank Banking Supervision Discussion Papers 200716, Dec 2007) | Full text |
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| | Mikael Bask: Measuring potential market risk (Bank of Finland Discussion Papers 2007/20, 13 Nov 2007) | Abstract
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| | Lieven Baele, Geert Bekaert, Koen Inghelbrecht: The determinants of stock and bond return comovements (National Bank of Belgium Working Papers 119, 18 Oct 2007) | Abstract
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| | Alicia Garcia-Herrero and Philip Wooldridge: Global and regional financial integration: progress in emerging markets (Bank for International Settlements Quarterly Review 0709g, 07 Sep 2007) | Abstract
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| | Frank Packer, Ryan Stever and Christian Upper: The covered bond market (Bank for International Settlements Quarterly Review 0709f, 07 Sep 2007) | Abstract
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| | Christian Ewerhart and Natacha Valla: Financial Market Liquidity and the Lender of Last Resort (Bank of France Working Papers Nr 179, Sep 2007) | Abstract
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| | Roberto A. De Santis and Paul Ehling: Do international portfolio investors follow firms' foreign investment decisions? (European Central Bank Working papers 0815, Sep 2007) | Full text |
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| | Fousseni Chabi-Yo, Dietmar Leisen, and Eric Renault: Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing (Bank of Canada Working papers 2007-47, Aug 2007) | Abstract
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| | Ellis Connolly: The Effect of the Australian Superannuation Guarantee on Household Saving Behaviour (Reserve Bank of Australia Research Discussion Papers RDP2007-08, Aug 2007) | Abstract
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| | Andreas Behr, Andreas Kamp, Christoph Memmel, Andreas Pfingsten: Diversification and the banks' risk-return-characteristics - evidence from loan portfolios of German banks (Deutsche Bundesbank Banking Supervision Discussion Papers 200705, Apr 2007) | Full text |
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| | Björn Hagströmer, Richard G. Anderson, Jane M. Binner, Thomas Elger, and Birger Nilsson: Mean-Variance vs. Full-Scale Optimization: Broad Evidence for the UK (St Louis Fed Working Papers 2007-016, Apr 2007) | Full text |
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| | Douglas L. Miller, Anna Paulson: Risk Taking and the Quality of Informal Insurance: Gambling and Remittances in Thailand (Chicago Fed Working papers WP-2007-01, Feb 2007) | Abstract
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| | Simone Manganelli: Asset allocation by penalized least squares (European Central Bank Working papers 0723, Feb 2007) | Full text |
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| | Nicolas Coeurdacier and Philippe Martin: The geography of asset holdings: Evidence from Sweden (Sveriges Riksbank Working Papers 202, 16 Jan 2007) | Abstract
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| | Sangwon Suh: The Influence of Foreigners' Stock Investment on Korean Stock Prices and Its Implications (The Bank of Korea Economic Papers 80, 04 Jan 2007) | Abstract
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| | Ricardo Lagos and Guillaume Rocheteau: Search in Asset Markets: Market Structure, Liquidity, and Welfare (Cleveland Fed Working papers 0701, Jan 2007) | Full text |
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| | Elias Papaioannou: Optimal currency shares in international reserves: the impact of the euro and the prospects for the dollar (European Central Bank Working papers 0694, Nov 2006) | Full text |
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| | Sumit Agarwal, Souphala Chomsisengphet, Chunlin Liu, Nicholas S. Souleles: Do Consumers Choose the Right Credit Contracts? (Chicago Fed Working papers WP-2006-11, Nov 2006) | Abstract
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| | Michael Fidora: Home bias in global bond and equity markets: the role of real exchange rate volatility (European Central Bank Working papers 0685, Oct 2006) | Full text |
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| | Gabriele Galati and Philip D. Wooldridge: The euro as a reserve currency: a challenge to the pre-eminence of the US dollar? (Bank for International Settlements Working papers 218, Oct 2006) | Abstract
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| | Roberto A. De Santis: The geography of international portfolio flows, international CAPM and the role of monetary policy frameworks (European Central Bank Working papers 0678, Sep 2006) | Full text |
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| | Ronald Bosman, Frans van Winden: Global Risk, Investment, and Emotions (Netherlands Bank DNB Working Papers 112, Sep 2006) | Full text |
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| | Christopher J. Neely, Paul A. Weller, and Joshua M. Ulrich: The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market (St Louis Fed Working Papers 2006-046, Aug 2006) | Full text |
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| | Martin Bohl, Jörg Döpke, Christian Pierdzioch: Real-time forecasting and political stock market anomalies: evidence for the U.S. (Deutsche Bundesbank Discussion Papers 200622, 18 Jul 2006) | Full text |
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| | Carlos Bernadell: A factor risk model with reference returns for the US dollar and Japanese yen bond markets (European Central Bank Working papers 0641, Jun 2006) | Full text |
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| | Roberto A. De Santis and Bruno Gérard: Financial integration, international portfolio choice and the European Monetary Union (European Central Bank Working papers 0626, May 2006) | Full text |
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| | Joachim Coche, Matti Koivu: Foreign reserves management subject to a policy objective (European Central Bank Working papers 0624, May 2006) | Full text |
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| | Jörg Döpke, Daniel Hartmann, Christian Pierdzioch: Real-time macroeconomic data and ex ante predictability of stock returns (Deutsche Bundesbank Discussion Papers 200610, 07 Mar 2006) | Full text |
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| | Thomas A. Garrett, and Nalinaksha Bhattacharyya: Why People Choose Negative Expected Return Assets - An Empirical Examination of a Utility Theoretic Explanation (St Louis Fed Working Papers 2006-014, Mar 2006) | Full text |
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| | Matías Braun and Borja Larrain: 06-4 (Boston Fed Working papers 06-04, Mar 2006) | Abstract
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| | Jörg Döpke, Daniel Hartmann, Christian Pierdzioch: Forecasting stock market volatility with macroeconomic variables in real time (Deutsche Bundesbank Banking Supervision Discussion Papers 200601, Mar 2006) | Full text |
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| | Thomas A. Garrett: Evaluating State Tax Revenue Variability: A Portfolio Approach (St Louis Fed Working Papers 2006-008, Feb 2006) | Full text |
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| | Christian Daude and Marcel Fratzscher: The pecking order of cross-border investment (European Central Bank Working papers 0590, Feb 2006) | Full text |
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| | Simone Manganelli: A new theory of forecasting (European Central Bank Working papers 0584, Jan 2006) | Full text |
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| | Dirk Broeders: Valuation of Conditional Pension Liabilities and Guarantees under Sponsor Vulnerabilities (Netherlands Bank DNB Working Papers 082, Jan 2006) | Full text |
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| | Ricardo Lagos and Guillaume Rocheteau: Search in Asset Markets (Cleveland Fed Working papers 0607, 2006) | Full text |
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| | Massimo Guidolin, and Giovanna Nicodano: Small Caps in International Equity Portfolios: The Effects of Variance Risk (St Louis Fed Working Papers 2005-075, Dec 2005) | Full text |
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| | John V. Duca: Mutual Funds and the Evolving Long-Run Effects of Stock Wealth on U.S. Consumption (Dallas Fed Working Papers wp0511, Nov 2005) | Full text |
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| | Francisco Covas: Uninsured Idiosyncratic Production Risk with Borrowing Constraints (Bank of Canada Working papers 2005-26, Oct 2005) | Abstract
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| | Livio Stracca: Delegated portfolio management: a survey of the theoretical literature (European Central Bank Working papers 0520, Sep 2005) | Full text |
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| | Robert DeYoung, Anne Gron, Andrew Winton: Risk Overhang and Loan Portfolio Decisions (Chicago Fed Working papers WP-2005-04, Aug 2005) | Abstract
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| | Pedro Silos: Housing, Portfolio Choice, and the Macroeconomy (Atlanta Fed Working papers 2005-21, Aug 2005) | Abstract
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| | Karsten Jeske and Dirk Krueger: Housing and the Macroeconomy: The Role of Implicit Guarantees for Government-Sponsored Enterprises (Atlanta Fed Working papers 2005-15, Jul 2005) | Abstract
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| | Ramon P. DeGennaro: Market Imperfections (Atlanta Fed Working papers 2005-12, Jul 2005) | Abstract
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| | Benjamin H Cohen: Currency choice in international bond issuance (Bank for International Settlements Quarterly Review 0506e, Jun 2005) | Abstract
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| | Andreas Kamp, Andreas Pfingsten, Daniel Porath: Do banks diversify loan portfolios? A tentative answer based on individual bank loan portfolios (Deutsche Bundesbank Banking Supervision Discussion Papers 200503, Jun 2005) | Full text |
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| | Steven J. Davis, Felix Kubler, and Paul Willen: 05-7 (Boston Fed Working papers 05-07, Jun 2005) | Abstract
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| | Robin Brooks, Marco Del Negro: Firm-level evidence on international stock market comovement (Deutsche Bundesbank Discussion Papers 200511, 03 May 2005) | Full text |
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| | (DNB): Stock market optimism and participation cost: a mean-variance estimation (Netherlands Bank DNB Working Papers 040, May 2005) | Full text |
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| | Patrick McGuire, Eli Remolona and Kostas Tsatsaronis: Time-varying exposures and leverage in hedge funds (Bank for International Settlements Quarterly Review 0503f, Mar 2005) | Abstract
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| | Paul Ehling and Sofia Brito Ramos: Interest Rates and Output in the Long-run (European Central Bank Working papers 0425, Jan 2005) | Full text |
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| | Claudia M. Buch: Cross-border diversification in bank asset portfolios (European Central Bank Working papers 0429, Jan 2005) | Full text |
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| | Gene Amromin: Precautionary Savings Motives and Tax Efficiency of Household Portfolios: An Empirical Analysis (Federal Reserve Board FEDS series 2005-1, Jan 2005) | Abstract
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| | Massimo Guidolin: Home Bias and High Turnover in an Overlapping Generations Model with Learning (St Louis Fed Working Papers 2005-012, Jan 2005) | Full text |
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| | (DNB): Risk-Return Preferences in the Pension Domain: are People Able to Choose? (Netherlands Bank DNB Working Papers 025, Jan 2005) | Full text |
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| | Ingo Fender and John Kiff: CDO rating methodology: Some thoughts on model risk and its implications (Bank for International Settlements Working papers 163, Nov 2004) | Abstract
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| | Mark Carey: Global Financial Integration: A Collection of New Research (Federal Reserve Board International Financial Discussion Papers 2004-821, Oct 2004) | Abstract
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| | Ramon P. DeGennaro and Deborah L. Murphy: Understanding 401(k) Plans (Atlanta Fed Working papers 2004-21, Sep 2004) | Abstract
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| | Charles P. Thomas; Francis E. Warnock; Jon Wongswan: The Performance of International Portfolios (Federal Reserve Board International Financial Discussion Papers 2004-817, Sep 2004) | Abstract
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| | Carol C. Bertaut; Linda S. Kole: What Makes Investors Over or Underweight? Explaining International Appetites for Foreign Equities (Federal Reserve Board International Financial Discussion Papers 2004-819, Sep 2004) | Abstract
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| | John Ammer; Sara B. Holland; David C. Smith; Francis E. Warnock: Look at Me Now: The Role of Cross-Listing in Attracting U.S. Investors (Federal Reserve Board International Financial Discussion Papers 2004-815, Aug 2004) | Abstract
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| | Karl V. Lins; Francis E. Warnock: Corporate Governance and the Shareholder Base (Federal Reserve Board International Financial Discussion Papers 2004-816, Aug 2004) | Abstract
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| | Anthony Richards: Big Fish in Small Ponds: The Trading Behaviour and Price Impact of Foreign Investors in Asian Emerging Equity Markets (Reserve Bank of Australia Research Discussion Papers RDP2004-05, Jun 2004) | Abstract
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| | Claudia M. Buch, John C. Driscoll, and Charlotte Ostergaard: Cross-Border Diversification in Bank Asset Portfolios (Federal Reserve Board FEDS series 2004-26, May 2004) | Abstract
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| | Jeffrey R. Brown, Nellie Liang, and Scott Weisbenner: 401(k) Matching Contributions in Company Stock: Costs and Benefits for Firms and Workers (Federal Reserve Board FEDS series 2004-23, May 2004) | Abstract
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| | Gerard A. Moerman: Diversification in euro area stock markets: country versus industry (European Central Bank Working papers 0327, Apr 2004) | Full text |
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| | Ellis Connolly and Marion Kohler: The Impact of Superannuation on Household Saving (Reserve Bank of Australia Research Discussion Papers RDP2004-01, Mar 2004) | Abstract
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| | Fang Cai; Francis E. Warnock: International Diversification at Home and Abroad (Federal Reserve Board International Financial Discussion Papers 2004-793, Feb 2004) | Abstract
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| | John D. Burger; Francis E. Warnock: Foreign Participation in Local-Currency Bond Markets (Federal Reserve Board International Financial Discussion Papers 2004-794, Feb 2004) | Abstract
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| | John V. Duca: Why Have U.S. Households Increasingly Relied on Mutual Funds to Own Equity? (Dallas Fed Working Papers wp0403, Jan 2004) | Full text |
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| | Reynard, Samuel: Financial Market Participation and the Apparent Instability of Money Demand (Swiss National Bank Working Papers 2004-01, 2004) | Full text |
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| | Jeffery D Amato, Eli M Remolona: The credit spread puzzle (Bank for International Settlements Quarterly Review 0312e, Dec 2003) | Abstract
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| | Patrick McGuire, Martijn A Schrijvers: Common factors in emerging market spreads (Bank for International Settlements Quarterly Review 0312f, Dec 2003) | Abstract
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| | Yakov Ben-Haim and Karsten Jeske: Home Bias in Financial Markets: Robust Satisficing with Info Gaps (Atlanta Fed Working papers 2003-35, Dec 2003) | Abstract
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| | Richard Johnson: Portfolio Choice in Tax-Deferred and Roth-Type Savings Accounts (Kansas City Fed Working Papers RWP03-08, Sep 2003) | Abstract
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| | Lucy F. Ackert, Bryan K. Church, James Tompkins, and Ping Zhang: What's in a Name? An Experimental Examination of Investment Behavior (Atlanta Fed Working papers 2003-12, Sep 2003) | Abstract
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| | Hali J. Edison; Francis E. Warnock: Cross-Border Listings, Capital Controls, and Equity Flows to Emerging Markets (Federal Reserve Board International Financial Discussion Papers 2003-770, Jul 2003) | Abstract
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| | Sujit Chakravorti , Anna Ilyina , Subir Lall: Managerial Incentives and Financial Contagion (Chicago Fed Working papers WP-2003-21, Apr 2003) | Abstract
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| | Robin Brooks and Marco Del Negro: Firm-Level Evidence on International Stock Market Comovement (Atlanta Fed Working papers 2003-8, Mar 2003) | Abstract
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| | Christian Broda and Eduardo Levy Yeyati: Endogenous Deposit Dollarization (New York Fed Staff reports 160, Feb 2003) | Abstract
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| | Cesare Robotti: Dynamic Strategies, Asset Pricing Models, and the Out-of-Sample Performance of the Tangency Portfolio (Atlanta Fed Working papers 2003-6, Feb 2003) | Abstract
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| | Ramon P. DeGennaro: Asset Allocation and Section 529 Plans (Atlanta Fed Working papers 2003-1, Jan 2003) | Abstract
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| | John D. Burger; Francis E. Warnock: Diversification, Original Sin, and International Bond Portfolios (Federal Reserve Board International Financial Discussion Papers 2003-755, Jan 2003) | Abstract
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| | Robin Brooks and Marco Del Negro: International Stock Returns and Market Integration: A Regional Perspective (Atlanta Fed Working papers 2002-20, Nov 2002) | Abstract
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| | Robin Brooks and Marco Del Negro: International Diversification Strategies (Atlanta Fed Working papers 2002-23, Nov 2002) | Abstract
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| | Chris Stivers, Licheng Sun, and Robert Connolly: Stock Implied Volatility, Stock Turnover, and the Stock-Bond Return Relation (Atlanta Fed Working papers 2002-3a, Sep 2002) | Abstract
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| | Robin Brooks and Marco Del Negro: The Rise in Comovement across National Stock Markets: Market Integration or IT Bubble? (Atlanta Fed Working papers 2002-17a, Sep 2002) | Abstract
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| | Nellie Liang and Scott Weisbenner: Investor Behavior and the Purchase of Company Stock in 401(k) Plans -- The Importance of Plan Design (Federal Reserve Board FEDS series 2002-36, Aug 2002) | Abstract
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| | Asani Sarkar and Kai Li: Should U.S. Investors Hold Foreign Stocks? (New York Fed Current issues ci08-03, Mar 2002) | Abstract
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| | B. Douglas Bernheim, Katherine Grace Carman, Jagadeesh Gokhale, and Laurence J. Kotlikoff: The Mismatch Between Life Insurance Holdings and Financial Vulnerabilities: Evidence from the Survey of Consumer Finances (Cleveland Fed Working papers 0201, 2002) | Full text |
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| | Juha-Pekka Niinimäki: Should new or rapidly growing banks have more equity? (Bank of Finland Discussion Papers 2001/16, 16 Oct 2001) | Abstract
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| | Diane Del Guercio and Paula A. Tkac: Star Power: The Effect of Morningstar Ratings on Mutual Fund Flows (Atlanta Fed Working papers 2001-15, Aug 2001) | Abstract
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| | Gabriele Galati and Kostas Tsatsaronis: The impact of the euro on Europe's financial markets (Bank for International Settlements Working papers 100, Jul 2001) | Abstract
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| | Bernardino Adăo, Maria de Fátima Silva: A New Representation for the Foreign Currency Risk Premium (Bank of Portugal Working papers 200103, May 2001) | Abstract
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| | Joseph Tracy and Henry Schneider: Stocks in the Household Portfolio: A Look Back at the 1990s (New York Fed Current issues ci07-04, Apr 2001) | Abstract
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| | Tobias Adrian, Emanuel Moench, and Hyun Song Shin: Financial Intermediation, Asset Prices, and Macroeconomic Dynamics (New York Fed Staff reports 422, Jan 2010) | Abstract
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| | Michael J. Fleming, Warren B. Hrung, and Frank M. Keane: Repo Market Effects of the Term Securities Lending Facility (New York Fed Staff reports 426, Jan 2010) | Abstract
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| | Jean-Paul Renne: Frequency-domain analysis of debt service in a macro-finance model for the euro area. (Bank of France Working Papers Nr 261, Dec 2009) | Abstract
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| | Simon Dubecq and Imen Ghattassi: Consumption-Wealth Ratio and Housing Prices (Bank of France Working Papers Nr 264, Dec 2009) | Abstract
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| | Michael Cheng and Wai-Yip Alex Ho: A Structural Investigation into the Price and Wage Dynamics in Hong Kong (Hong Kong Monetary Authority Working Papers WP09_20, Dec 2009) | Abstract
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| | Erik Hjalmarsson: Diversification Across Characteristics (Federal Reserve Board International Financial Discussion Papers 2009-986, Dec 2009) | Abstract
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| | Martin T. Bohl, Michael Schuppli and Pierre L. Siklos: Stock return seasonalities and investor structure: Evidence from China's B-share markets (Bank of Finland BOFIT Discussion Papers 2009/20, 30 Oct 2009) | Abstract
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| | Falko Fecht, Michael Wedow: The dark and the bright side of liquidity risks: evidence from open-end real estate funds in Germany (Deutsche Bundesbank Banking Supervision Discussion Papers 200910, Oct 2009) | Full text |
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| | Pawel J. Szerszen: Bayesian Analysis of Stochastic Volatility Models with Levy Jumps: Application to Risk Analysis (Federal Reserve Board FEDS series 2009-40, Oct 2009) | Abstract
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| | Christian Hott: Banks and Real Estate Prices (Swiss National Bank Working Papers 2009-08, 24 Sep 2009) | Full text |
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| | Christian Hott: Explaining House Price Fluctuations (Swiss National Bank Working Papers 2009-05, 24 Sep 2009) | Full text |
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| | Ioana Alexopoulou, Irina Bunda, Annalisa Ferrando: Determinants of government bond spreads in new EU countries (European Central Bank Working papers 1093, 23 Sep 2009) | Full text |
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| | Michel van der Wel, Albert J. Menkveld, and Asani Sarkar: Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes (New York Fed Staff reports 395, Sep 2009) | Abstract
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| | Charles Engel, Jian Wang and Jason Wu: Can Long-Horizon Forecasts Beat the Random Walk Under the Engel-West Explanation? (Dallas Fed Institute Working Papers 0036, Sep 2009) | Full text |
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| | Leo Krippner: A theoretical foundation for the Nelson and Siegel class of yield curve models (Reserve Bank of New Zealand Discussion Papers DP2009/10, Sep 2009) | Full text |
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| | Ioana Alexopoulou, Magnus Andersson, Oana Maria Georgescu: An empirical study on the decoupling movements between corporate bond and CDS spreads (European Central Bank Working papers 1085, 27 Aug 2009) | Full text |
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| | Jacob Ejsing, Jukka Sihvonen: Liquidity premia in German government bonds (European Central Bank Working papers 1081, 24 Aug 2009) | Full text |
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| | Michael Ehrmann, David Sondermann: The reception of public signals in financial markets - what if central bank communication becomes stale? (European Central Bank Working papers 1077, 18 Aug 2009) | Full text |
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| | Markku Lanne – Pentti Saikkonen: Noncausal vector autoregression (Bank of Finland Discussion Papers 2009/18, 12 Aug 2009) | Abstract
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| | Michele Boldrin, and Adrian Peralta-Alva: What happened to the US stock market? Accounting for the last 50 years (St Louis Fed Working Papers 2009-042, Aug 2009) | Abstract
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| | Chris McDonald, Mark Smith: Developing stratified housing price measures for New Zealand (Reserve Bank of New Zealand Discussion Papers DP2009/07, Aug 2009) | Full text |
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| | Birgit Uhlenbrock: Financial markets' appetite for risk - and the challenge of assessing its evolution by risk appetite indicators (Deutsche Bundesbank Banking Supervision Discussion Papers 200908, Jul 2009) | Full text |
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| | Michael J. Fleming and Bruce Mizrach: The Microstructure of a U.S. Treasury ECN:The BrokerTec Platform (New York Fed Staff reports 381, Jul 2009) | Abstract
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| | Zoltán Reppa: A joint macroeconomic-yield curve model for Hungary (Magyar Nemzeti Bank Working papers 2009/01, Jun 2009) | Abstract
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| | Bruno Feunou, Jean-Sébastien Fontaine, and Roméo Tedongap: The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness (Bank of Canada Working papers 2009-20, Jun 2009) | Abstract
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| | Javier Mencía: Assessing the risk-return trade-off in loans portfolios (566 KB) (Bank of Spain Working Papers 0911, Jun 2009) | Abstract
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| | Min Wei and Jonathan Wright: Confidence Intervals for Long-Horizon Predictive Regressions via Reverse Regressions (Federal Reserve Board FEDS series 2009-27, Jun 2009) | Abstract
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| | Ricardo Gimeno and José Manuel Marqués: Extraction of financial market expectations about inflation and interest rates from a liquid market (576 KB) (Bank of Spain Working Papers 0906, Apr 2009) | Abstract
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| | Eliana Balla, Robert E. Carpenter, Breck Robinson: Assessing the Effectiveness of the Paulson "Teaser Freezer" Plan: Evidence from the ABX Index (Richmond Fed Working Papers 09-07, Apr 2009) | Abstract
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| | Geert Bekaert, Marie Hoerova, Martin Scheicher: What do asset prices have to say about risk appetite and uncertainty? (European Central Bank Working papers 1037, 31 Mar 2009) | Full text |
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| | Paul Hiebert, Matthias Sydow: What drives returns to euro area housing? Evidence from a dynamic dividend-discount model (European Central Bank Working papers 1019, 03 Mar 2009) | Full text |
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| | Raymond Kan and Cesare Robotti: A Note on the Estimation of Asset Pricing Models Using Simple Regression Betas (Atlanta Fed Working papers 2009-12, Mar 2009) | Abstract
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| | Raymond Kan, Cesare Robotti, and Jay Shanken: Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology (Atlanta Fed Working papers 2009-11, Mar 2009) | Abstract
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| | Satyajit Chatterjee: Maturity, Indebtedness, and Default Risk (Philadelphia Fed Working Papers 09-2, Mar 2009) | Full text |
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| | Ingo Fender and Martin Scheicher: The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices (Bank for International Settlements Working papers 279, Mar 2009) | Abstract
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| | Burkhard Raunig and Martin Scheicher: Are Banks Different? Evidence from the CDS Market (Austrian National Bank Working Papers WP152, 16 Feb 2009) | Abstract
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| | Tobias Adrian and Hao Wu: The Term Structure of Inflation Expectations (New York Fed Staff reports 362, Feb 2009) | Abstract
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| | Taeyoung Doh: Yield Curve in an Estimated Nonlinear Macro Model (Kansas City Fed Working Papers 09-04, Feb 2009) | Abstract
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| | Tobias Adrian, Erkko Etula, and Hyun Song Shin: Global Liquidity and Exchange Rates (New York Fed Staff reports 361, Jan 2009) | Abstract
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| | Daniel L. Thornton: Resolving the Unbiasedness Puzzle in the Foreign Exchange Market (St Louis Fed Working Papers 2009-002, Jan 2009) | Abstract
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| | Rangel Jose Gonzalo; Engle Robert F.: The Factor-Spline-GARCH Model for High and Low Frequency Correlations (Bank of Mexico Working Papers 2009-03, 2009) | Full text |
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| | Elena Fedorova and Mika Vaihekoski: Global and local sources of risk in Eastern European emerging stock markets (Bank of Finland BOFIT Discussion Papers 2008/27, 27 Dec 2008) | Abstract
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| | Ron Alquist: How Important Is Liquidity Risk for Sovereign Bond Risk Premia? Evidence from the London Stock Exchange (Bank of Canada Working papers 2008-47, Dec 2008) | Abstract
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| | Michael Joyce, Iryna Kaminska and Peter Lildholdt: Understanding the real rate conundrum: an application of no-arbitrage finance models to the UK real yield curve (Bank of England Working papers 358, Dec 2008) | Abstract
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| | Teppei Nagano and Naohiko Baba: Extracting market expectations from yield curves augmented by money market interest rates: the case of Japan (European Central Bank Working papers 0980, Dec 2008) | Full text |
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| | Taeyoung Doh: Long Run Risks in the Term Structure of Interest Rates: Estimation (Kansas City Fed Working Papers 08-11, Dec 2008) | Abstract
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| | Lillian Cheung, Laurence Fung and Chi-Sang Tam: Measuring Financial Market Interdependence and Assessing Possible Contagion Risk in the EMEAP Region (Hong Kong Monetary Authority Working Papers WP08_18, Dec 2008) | Abstract
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| | Claudio Borio and Haibin Zhu: Capital regulation, risk-taking and monetary policy: a missing link in the transmission mechanism? (Bank for International Settlements Working papers 268, Dec 2008) | Abstract
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| | Naohiko Baba and Yasuaki Amatatsu: Price discovery from cross-currency and FX swaps: a structural analysis (Bank for International Settlements Working papers 264, Nov 2008) | Abstract
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| | Burkhard Raunig and Martin Scheicher: A value at risk analysis of cedit default swaps (European Central Bank Working papers 0968, Nov 2008) | Full text |
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| | Jing-zhi Huang and Hao Zhou: Specification Analysis of Structural Credit Risk Models (Federal Reserve Board FEDS series 2008-55, Nov 2008) | Abstract
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| | Joseph G Haubrich, George Pennacchi and Peter Ritchken: Estimating Real and Nominal Term Structures using Treasury Yields, Inflation, Inflation Forecasts, and Inflation Swap Rates (Cleveland Fed Working papers 0810, Nov 2008) | Full text |
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| | Ferre De Graeve, Maarten Dossche, Marina Emiris, Henri Sneessens, Raf Wouters: Risk premiums and macroeconomic dynamics in a heterogeneous agent model (National Bank of Belgium Working Papers 150, 16 Oct 2008) | Abstract
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| | Massimiliano Marzo – Silvia Romagnoli – Paolo Zagaglia: A continuous-time model of the term structure of interest rates with fiscal-monetary policy interactions (Bank of Finland Discussion Papers 2008/25, 14 Oct 2008) | Abstract
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| | Gara M. Afonso: Liquidity and Congestion (New York Fed Staff reports 349, Oct 2008) | Abstract
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| | Eloisa T Glindro, Tientip Subhanij, Jessica Szeto and Haibin Zhu: Determinants of house prices in nine Asia-Pacific economies (Bank for International Settlements Working papers 263, Oct 2008) | Abstract
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| | Antonio Diez de los Rios: McCallum Rules, Exchange Rates, and the Term Structure of Interest Rates (Bank of Canada Working papers 2008-43, Oct 2008) | Abstract
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| | George M. Korniotis and Alok Kumar: Do Behavioral Biases Adversely Affect the Macro-Economy? (Federal Reserve Board FEDS series 2008-49, Oct 2008) | Abstract
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| | Meredith Beechey, Erik Hjalmarsson, and Par Osterholm: Testing the Expectations Hypothesis When Interest Rates are Near Integrated (Federal Reserve Board International Financial Discussion Papers 2008-953, Oct 2008) | Abstract
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| | Ingo Fender and Martin Scheicher: The ABX: how do the markets price subprime mortgage risk? (Bank for International Settlements Quarterly Review 0809h, 01 Sep 2008) | Abstract
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| | Song Han and Hao Zhou: Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data (Federal Reserve Board FEDS series 2008-40, Sep 2008) | Abstract
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| | Jun Yang: Macroeconomic Determinants of the Term Structure of Corporate Spreads (Bank of Canada Working papers 2008-29, Sep 2008) | Abstract
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| | Gerald P. Dwyer Jr. and Cora Barnhart: Returns to Investors in Stocks in New Industries (Atlanta Fed Working papers 2008-21, Sep 2008) | Abstract
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| | Philipp Maier and Garima Vasishtha: Good Policies or Good Fortune: What Drives the Compression in Emerging Market Spreads? (Bank of Canada Working papers 2008-25, Aug 2008) | Abstract
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| | Tobias Adrian and Emanuel Moench: Pricing the Term Structure with Linear Regressions (New York Fed Staff reports 340, Aug 2008) | Abstract
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| | James McAndrews, Asani Sarkar, and Zhenyu Wang: The Effect of the Term Auction Facilityon the London Inter-Bank Offered Rate (New York Fed Staff reports 335, Jul 2008) | Abstract
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| | George J. Jiang, Ingrid Lo, and Adrien Verdelhan: Information Shocks, Jumps, and Price Discovery - Evidence from the U.S. Treasury Market (Bank of Canada Working papers 2008-22, Jul 2008) | Abstract
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| | Eli M Remolona and Ilhyock Shim: Credit derivatives and structured credit: the nascent markets of Asia and the Pacific (Bank for International Settlements Quarterly Review 0806g, 08 Jun 2008) | Abstract
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| | Philip D Wooldridge and Yosuke Tsuyuguchi: The evolution of trading activity in Asian foreign exchange markets (Bank for International Settlements Working papers 252, Jun 2008) | Abstract
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| | Ana Lacerda, José Fajardo: Statistical Arbitrage with Default and Collateral (Bank of Portugal Working papers 200808, Jun 2008) | Abstract
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| | Martin Scheicher: How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches (European Central Bank Working papers 0910, Jun 2008) | Full text |
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| | Christopher J. Neely, and David E. Rapach: Real Interest Rate Persistence: Evidence and Implications (St Louis Fed Working Papers 2008-018, Jun 2008) | Abstract
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| | Erik Hjalmarsson: Predicting Global Stock Returns (Federal Reserve Board International Financial Discussion Papers 2008-933, Jun 2008) | Abstract
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| | Jukka Topi: Bank runs, liquidity and credit risk (Bank of Finland Discussion Papers 2008/12, 14 May 2008) | Abstract
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| | Fousseni Chabi-Yo, Eric Ghysels, and Eric Renault: On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk (Bank of Canada Working papers 2008-16, May 2008) | Abstract
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| | Nikola Tarashev, Haibin Zhu: The pricing of correlated default risk: evidence from the credit derivatives market (Deutsche Bundesbank Banking Supervision Discussion Papers 200809, May 2008) | Full text |
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| | Christoph Memmel: Which interest rate scenario is the worst one for a bank? Evidence from a tracking bank approach for German savings and cooperative banks (Deutsche Bundesbank Banking Supervision Discussion Papers 200807, May 2008) | Full text |
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| | Michael D. Bordo, Michael J. Dueker, and David C. Wheelock: Inflation, Monetary Policy and Stock Market Conditions (St Louis Fed Working Papers 2008-012, May 2008) | Full text |
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| | Hans Dillén: The Monetary Policy Decision-Making Process and the Term Structure of Interest Rates (Sveriges Riksbank Working Papers 222, 07 Apr 2008) | Abstract
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| | Massimo Guidolin, Stuart Hyde, David McMillan, and Sadayuki Ono: Non-Linear Predictability in Stock and Bond Returns: When and Where Is It Exploitable? (St Louis Fed Working Papers 2008-010, Apr 2008) | Full text |
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| | Jacob Gyntelberg and Philip Wooldridge: Interbank rate fixings during the recent turmoil (Bank for International Settlements Quarterly Review 0803g, 08 Mar 2008) | Abstract
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| | Naohiko Baba, Frank Packer and Teppei Nagano: The spillover of money market turbulence to FX swap and cross-currency swap markets (Bank for International Settlements Quarterly Review 0803h, 08 Mar 2008) | Abstract
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| | Gianni Amisano and Roberto Savona: Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk. (European Central Bank Working papers 0881, Mar 2008) | Full text |
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| | Laurence Fung and Ip-wing Yu: Predicting Stock Market Returns by Combining Forecasts (Hong Kong Monetary Authority Working Papers WP08_01, Mar 2008) | Abstract
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| | Alain Chaboud, Benjamin Chiquoine, Erik Hjalmarsson and Mico Loretan: Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets (Bank for International Settlements Working papers 249, Mar 2008) | Abstract
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| | Stefania D'Amico, Don H Kim and Min Wei: Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices (Bank for International Settlements Working papers 248, Mar 2008) | Abstract
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| | Clive G. Bowsher and Roland Meeks: The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve (Dallas Fed Working Papers wp0804, Mar 2008) | Full text |
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| | Laura Coroneo: How Arbitrage-free is the Nelson-Siegel Model? (European Central Bank Working papers 0874, Feb 2008) | Full text |
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| | Raymond Kan and Cesare Robotti: The Exact Distribution of the Hansen-Jagannathan Bound (Atlanta Fed Working papers 2008-09, Feb 2008) | Abstract
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| | Klaus Adam: Stock market volatility and learning (European Central Bank Working papers 0862, Feb 2008) | Full text |
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| | Fabio Fornari: Assessing the compensation for volatility risk implicit in interest rate derivatives (European Central Bank Working papers 0859, Jan 2008) | Full text |
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| | Stuart M. Turnbull and Jun Yang: Default Dependence: The Equity Default Relationship (Bank of Canada Working papers 2008-01, Jan 2008) | Abstract
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| | Cortés Espada Josué Fernando; Ramos Francia Manuel; Torres García Alberto: An Empirical Analysis of the Mexican Term Structure of Interest Rates. (Bank of Mexico Working Papers 2008-07, 2008) | Full text |
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| | Cortés Espada Josué Fernando; Ramos Francia Manuel: A Macroeconomic Model of the Term Structure of Interest Rates in Mexico. (Bank of Mexico Working Papers 2008-10, 2008) | Full text |
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| | Cortés Espada Josué Fernando; Ramos Francia Manuel: An Affine Model of the Term Structure of Interest Rates in Mexico (Bank of Mexico Working Papers 2008-09, 2008) | Full text |
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| | Taeyoung Doh: What Does the Yield Curve Tell Us About the Federal Reserve's Implicit Inflation Target? (Kansas City Fed Working Papers RWP07-10, Dec 2007) | Abstract
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| | Alain Monfort and Fulvio Pegoraro: Switching VARMA Term Structure Models - Extended Version (Bank of France Working Papers Nr 191, Dec 2007) | Abstract
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| | John Kambhu, Til Schuermann, and Kevin J. Stiroh: Hedge Funds, Financial Intermediation, and Systemic Risk (New York Fed Economic policy review 0712kamb, Dec 2007) | Abstract
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| | Bruce Mizrach, and Christopher J. Neely: The Microstructure of the U.S. Treasury Market (St Louis Fed Working Papers 2007-052, Dec 2007) | Full text |
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| | Karl Walentin: Earnings Inequality and the Equity Premium (Sveriges Riksbank Working Papers 215, 22 Nov 2007) | Abstract
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| | Jacob Ejsing: The term structure of euro area break-even inflation rates: the impact of seasonality (European Central Bank Working papers 0830, Nov 2007) | Full text |
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| | John Geweke and Gianni Amisano: Hierarchical Markov normal mixture models with applications to financial asset returns (European Central Bank Working papers 0831, Nov 2007) | Full text |
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| | Lieven Baele, Geert Bekaert, Koen Inghelbrecht: The determinants of stock and bond return comovements (National Bank of Belgium Working Papers 119, 18 Oct 2007) | Abstract
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| | Federico Ravenna – Juha Seppälä: Monetary policy, expected inflation and inflation risk premia (Bank of Finland Discussion Papers 2007/18, 12 Oct 2007) | Abstract
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| | Frank Packer, Ryan Stever and Christian Upper: The covered bond market (Bank for International Settlements Quarterly Review 0709f, 07 Sep 2007) | Abstract
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| | Alain Chaboud, Benjamin Chiquoine, Erik Hjalmarsson, and Mico Loretan: Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets (Federal Reserve Board International Financial Discussion Papers 2007-905, Sep 2007) | Abstract
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| | Lorenzo Cappiello and Roberto A. De Santis: The uncovered return parity condition. (European Central Bank Working papers 0812, Sep 2007) | Full text |
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| | Fousseni Chabi-Yo, Dietmar Leisen, and Eric Renault: Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing (Bank of Canada Working papers 2007-47, Aug 2007) | Abstract
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| | Bryan Campbell and Scott Hendry: Price Discovery in Canadian and U.S. 10-Year Government Bond Markets (Bank of Canada Working papers 2007-43, Aug 2007) | Abstract
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| | Jens Hilscher: Is the corporate bond market forward looking? (European Central Bank Working papers 0800, Aug 2007) | Full text |
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| | Michael J. Fleming and Joshua V. Rosenberg: How Do Treasury Dealers Manage Their Positions? (New York Fed Staff reports 299, Aug 2007) | Abstract
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| | John Kambhu, Til Schuermann, and Kevin J. Stiroh: Hedge Funds, Financial Intermediation, and Systemic Risk (New York Fed Economic policy review 0708kamb, Aug 2007) | Abstract
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| | Michael R. King and Eric Santor: Family Values: Ownership Structure, Performance and Capital Structure of Canadian Firms (Bank of Canada Working papers 2007-40, Jul 2007) | Abstract
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| | John Kambhu, Til Schuermann, and Kevin J. Stiroh: Hedge Funds, Financial Intermediation, and Systemic Risk (New York Fed Staff reports 291, Jul 2007) | Abstract
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| | Tom Fong, Alfred Wong and Ivy Yong: Share Price Disparity in Chinese Stock Markets (Hong Kong Monetary Authority Working Papers WP07_11, Jul 2007) | Abstract
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| | Dong Fu: Inflation Expectations, Real Interest Rate and Risk Premiums—Evidence from Bond Market and Consumer Survey Data (Dallas Fed Working Papers wp0705, Jul 2007) | Full text |
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| | Wolfgang Lemke: An affine macro-finance term structure model for the euro area (Deutsche Bundesbank Discussion Papers 200713, 11 Jun 2007) | Full text |
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| | Jeong-Ryeol Kurz-Kim, Mico Loretan: A note on the coefficient of determination in regression models with infinite-variance variables (Deutsche Bundesbank Discussion Papers 200710, 14 May 2007) | Full text |
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| | Jonathan Wright and Hao Zhou: Bond Risk Premia and Realized Jump Volatility (Federal Reserve Board FEDS series 2007-22, May 2007) | Abstract
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| | Jeong-Ryeol Kurz-Kim and Mico Loretan: A Note on the Coefficient of Determination in Models with Infinite Variance Variables (Federal Reserve Board International Financial Discussion Papers 2007-895, May 2007) | Abstract
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| | Michael J. Dueker, Zacharias Psaradakis, Martin Sola, and Fabio Spagnolo: Multivariate Contemporaneous Threshold Autoregressive Models (St Louis Fed Working Papers 2007-019, May 2007) | Full text |
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| | Laurent Clerc: Understanding Asset Prices: Determinants and Policy Implications (Bank of France Working Papers Nr 168, May 2007) | Abstract
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| | Lansing: Rational and Near-Rational Bubbles without Drift (San Francisco Fed Working Papers 2007-10, Apr 2007) | Full text |
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| | Tim Bollerslev and Hao Zhou: Expected Stock Returns and Variance Risk Premia (Federal Reserve Board FEDS series 2007-11, Apr 2007) | Abstract
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| | Simone Manganelli and Guido Wolswijk: Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market? (European Central Bank Working papers 0745, Apr 2007) | Full text |
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| | Todd Prono: 07-1 (Boston Fed Working papers 07-01, Apr 2007) | Abstract
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| | C.N.V. Krishnan, Peter H. Ritchken, and James B. Thomson: On Forecasting the Term Structure of Credit Spreads (Cleveland Fed Working papers 0705, Apr 2007) | Full text |
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| | Ip-Wing Yu and Chi-Sang Tam: Measuring Market Sentiment in Hong Kong's Stock Market (Hong Kong Monetary Authority Working Papers WP07_05, Apr 2007) | Abstract
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| | Fousseni Chabi-Yo and Jun Yang: A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate (Bank of Canada Working papers 2007-21, Mar 2007) | Abstract
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| | Theofanis Archontakis, Wolfgang Lemke: Threshold dynamics of short-term interest rates: empirical evidence and implications for the term structure (Deutsche Bundesbank Discussion Papers 200702, 16 Feb 2007) | Full text |
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| | Christopher Chung, Bryan Campbell, and Scott Hendry: Price Discovery in Canadian Government Bond Futures and Spot Markets (Bank of Canada Working papers 2007-04, Feb 2007) | Abstract
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| | Raymond Kan and Cesare Robotti: Model Comparison Using the Hansen-Jagannathan Distance (Atlanta Fed Working papers 2007-04, Feb 2007) | Abstract
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| | by Michael Ehrmann and Marcel Fratzscher: Transparency, Disclosure and the Federal Reserve (IJCB International Journal of Central Banking 07q1a6, Feb 2007) | Abstract
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| | Roberto Blanco and Fernando Restoy: Have really real interest rates fallen that much in Spain? (Bank of Spain Working Papers 0704, Feb 2007) | Abstract
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| | Ricardo Lagos and Guillaume Rocheteau: Search in Asset Markets: Market Structure, Liquidity, and Welfare (Cleveland Fed Working papers 0701, Jan 2007) | Full text |
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| | Michael J. Fleming: Who Buys Treasury Securities at Auction? (New York Fed Current issues ci13-01, Jan 2007) | Abstract
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| | Haibin Zhu: The structure of housing finance markets and house prices in Asia (Bank for International Settlements Quarterly Review 0612g, 06 Dec 2006) | Abstract
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| | Michael R. King and Dan Segal: The Long-Term Effects of Cross-Listing, Investor Recognition, and Ownership Structure on Valuation (Bank of Canada Working papers 2006-44, Dec 2006) | Abstract
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| | Ricardo Gimeno and Juan M. Nave: Genetic algorithm estimation of interest rate term structure (Bank of Spain Working Papers 0634, Dec 2006) | Abstract
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| | Alexander Melnikov and Yuliya Romanyuk: Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets (Bank of Canada Working papers 2006-43, Nov 2006) | Abstract
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| | Francisco Alonso, Roberto Blanco and Gonzalo Rubio: Option-implied preferences adjustments, density forecasts, and the equity risk premium (Bank of Spain Working Papers 0630, Nov 2006) | Abstract
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| | Mark Hallerberg, Guntram B. Wolff: Fiscal institutions, fiscal policy and sovereign risk premia (Deutsche Bundesbank Discussion Papers 200635, 31 Oct 2006) | Full text |
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| | Katja Taipalus: A global house price bubble? Evaluation based on a new rent-price approach (Bank of Finland Discussion Papers 2006/29, 03 Oct 2006) | Abstract
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| | Terhi Jokipii: Forecasting market crashes: further international evidence (Bank of Finland Discussion Papers 2006/22, 03 Oct 2006) | Abstract
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| | Federico Ravenna – Juha Seppälä: Monetary policy and rejections of the expectations hypothesis (Bank of Finland Discussion Papers 2006/25, 03 Oct 2006) | Abstract
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| | Ian W Marsh: The effect of lenders' credit risk transfer activities on borrowing firms' equity returns (Bank of Finland Discussion Papers 2006/31, 03 Oct 2006) | Abstract
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| | Fousseni Chabi-Yo: Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence (Bank of Canada Working papers 2006-38, Oct 2006) | Abstract
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| | Lorenzo Cappiello, Bruno Gérard: Financial integration of new EU Member States (European Central Bank Working papers 0683, Oct 2006) | Full text |
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| | Massimo Guidolin, and Carrie Fangzhou Na: The Economic and Statistical Value of Forecast Combinations under Regime Switching: An Application to Predictable US Returns (St Louis Fed Working Papers 2006-059, Oct 2006) | Full text |
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| | Zhenyu Wang and Xiaoyan Zhang: Empirical Evaluation of Asset Pricing Models:Arbitrage and Pricing Errors over Contingent Claims (New York Fed Staff reports 265, Oct 2006) | Abstract
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| | Christian Upper: Derivatives activity and monetary policy (Bank for International Settlements Quarterly Review 0609h, 06 Sep 2006) | Abstract
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| | Gregory H. Bauer, Clara Vega: The Monetary Origins of Asymmetric Information in International Equity Markets (Federal Reserve Board International Financial Discussion Papers 2006-872, Sep 2006) | Abstract
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| | Olli Castren: What drives EU banks' stock returns? Bank-level evidence using the dynamic dividend-discount model (European Central Bank Working papers 0677, Sep 2006) | Full text |
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| | Hashem Pesaran, Davide Pettenuzzo, Allan Timmermann: Learning, structural instability and present value calculations (Deutsche Bundesbank Discussion Papers 200627, 29 Aug 2006) | Full text |
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| | Hanno Lustig and Adrien Verdelhan: The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk (Bank of France Working Papers Nr 155, Aug 2006) | Abstract
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| | Hyun Song Shin: Risk and liquidity in a system context (Bank for International Settlements Working papers 212, Aug 2006) | Abstract
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| | Antonio Diez de los Rios: Can Affine Term Structure Models Help Us Predict Exchange Rates? (Bank of Canada Working papers 2006-27, Aug 2006) | Abstract
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| | Raymond Kan and Cesare Robotti: Specification Tests of Asset Pricing Models Using Excess Returns (Atlanta Fed Working papers 2006-10, Aug 2006) | Abstract
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| | Claudio E. V. Borio and Kostas Tsatsaronis: Risk in financial reporting: status, challenges and suggested directions (Bank for International Settlements Working papers 213, Aug 2006) | Abstract
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| | Hui Guo, Zijun Wang, and Jian Yang: Does Aggregate Relative Risk Aversion Change Countercyclically over Time? Evidence from the Stock Market (St Louis Fed Working Papers 2006-047, Aug 2006) | Full text |
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| | Marina Emiris: The term structure of interest rates in a DSGE model (National Bank of Belgium Working Papers 088, 27 Jul 2006) | Abstract
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| | Tobias Adrian and Joshua Rosenberg: Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk (New York Fed Staff reports 254, Jul 2006) | Abstract
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| | Daniel M. Covitz, Song Han, and Beth Anne Wilson: Are Longer Bankruptcies Really More Costly? (Federal Reserve Board FEDS series 2006-27, Jun 2006) | Abstract
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| | Kerstin Bernoth, Guntram Wolff: Fool the markets? Creative accounting, fiscal transparency and sovereign risk premia (Netherlands Bank DNB Working Papers 103, Jun 2006) | Full text |
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| | Kerstin Bernoth, Guntram B. Wolff: Fool the markets? Creative accounting, fiscal transparency and sovereign risk premia (Deutsche Bundesbank Discussion Papers 200619, 26 May 2006) | Full text |
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| | Hans Dewachter, Marco Lyrio, Konstantijn Maes: A multi-factor model for the valuation and risk management of demand deposits (National Bank of Belgium Working Papers 083, 12 May 2006) | Abstract
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| | Miroslav Misina: Benchmark Index of Risk Appetite (Bank of Canada Working papers 2006-16, May 2006) | Abstract
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| | Til Schuermann and Kevin J. Stiroh: Visible and Hidden Risk Factors for Banks (New York Fed Staff reports 252, May 2006) | Abstract
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| | Nalini Prasad and Anthony Richards: Measuring Housing Price Growth - Using Stratification to Improve Median-based Measures (Reserve Bank of Australia Research Discussion Papers RDP2006-04, May 2006) | Abstract
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| | in the Interest Rate Swap Spread: Trading Risk, Market Liquidity, and Convergence Trading (New York Fed Economic policy review 0605kamb, May 2006) | Abstract
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| | James Hansen: Australian House Prices: A Comparison of Hedonic and Repeat-sales Measures (Reserve Bank of Australia Research Discussion Papers RDP2006-03, May 2006) | Abstract
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| | Jan Willem van den End: Indicator and boundaries of financial stability (Netherlands Bank DNB Working Papers 097, Apr 2006) | Full text |
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| | Anthony Pennington-Cross, and Giang Ho: Loan Servicer Heterogeneity and The Termination of Subprime Mortgages (St Louis Fed Working Papers 2006-024, Apr 2006) | Full text |
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| | Juan Ayuso and Fernando Restoy: House prices and rents in Spain: does the discount factor matter? (Bank of Spain Working Papers 0609, Apr 2006) | Abstract
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| | Thomas A. Knetsch: Forecasting the price of crude oil via convenience yield predictions (Deutsche Bundesbank Discussion Papers 200612, 28 Mar 2006) | Full text |
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| | Nikola Tarashev and Kostas Tsatsaronis: Risk premia across asset markets: information from option prices (Bank for International Settlements Quarterly Review 0603h, 06 Mar 2006) | Abstract
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| | Lorenzo Cappiello, Peter Hördahl: The impact of the euro on financial markets (European Central Bank Working papers 0598, Mar 2006) | Full text |
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| | Jeffery D Amato and Maurizio Luisi: Macro factors in the term structure of credit spreads (Bank for International Settlements Working papers 203, Mar 2006) | Abstract
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| | Bruce Mizrach, and Christopher J. Neely: The Transition to Electronic Trading in the Secondary Treasury Market (St Louis Fed Working Papers 2006-012, Mar 2006) | Full text |
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| | by Prasanna Gai and Nicholas Vause: Measuring Investors' Risk Appetite (IJCB International Journal of Central Banking 06q1a5, Feb 2006) | Abstract
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| | Iftekhar Hasan - Cristiano Zazzara: Pricing risky bank loans in the new Basel II environment (Bank of Finland Discussion Papers 2006/03, 31 Jan 2006) | Abstract
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| | Mikael Bask: Announcement effects on exchange rate movements: continuity as a selection criterion among the REE (Bank of Finland Discussion Papers 2006/06, 31 Jan 2006) | Abstract
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| | Mikael Bask: Adaptive learning in an expectational difference equation with several lags: selecting among learnable REE (Bank of Finland Discussion Papers 2006/07, 31 Jan 2006) | Abstract
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| | Pedro Elosegui, Paula Espańol, Demian Panigo, Juan M. Sotes Paladino: Methodological alternatives for the analysis of financial constraints in Argentina. (Central Bank of Argentina Working Papers 2006/02, Jan 2006) | Full text |
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| | Dirk Brounen, Peter Neuteboom and Arjen van Dijkhuizen: House Prices and Affordability - A First and Second Look Across Countries (Netherlands Bank DNB Working Papers 083, Jan 2006) | Full text |
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| | Long Chen, Hui Guo, and Lu Zhang: Equity Market Volatility and Expected Risk Premium (St Louis Fed Working Papers 2006-007, Jan 2006) | Full text |
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| | Kamakshya Trivedi and Garry Young: Defined benefit company pensions and corporate valuations: simulation and empirical evidence from the United Kingdom (Bank of England Working papers 289, 2006) | Abstract
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| | Péter Benczúr - Cosmin Ilut: Determinants of Spreads on Sovereign Bank Loans: The Role of Credit History (Magyar Nemzeti Bank Working papers 2006/01, 2006) | Abstract
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| | Ricardo Lagos and Guillaume Rocheteau: Search in Asset Markets (Cleveland Fed Working papers 0607, 2006) | Full text |
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| | Benjamin Yibin Zhang, Hao Zhou, and Haibin Zhu: Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (Federal Reserve Board FEDS series 2005-63, Dec 2005) | Abstract
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| | Jeffery D Amato: Risk aversion and risk premia in the CDS market (Bank for International Settlements Quarterly Review 0512e, Dec 2005) | Abstract
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| | Borja Larrain and Motohiro Yogo: 05-18 (Boston Fed Working papers 05-18, Dec 2005) | Abstract
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| | Michael Ehrmann and Marcel Fratzscher: The timing of central bank communication (European Central Bank Working papers 0565, Dec 2005) | Full text |
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| | Massimo Guidolin, and Giovanna Nicodano: Small Caps in International Equity Portfolios: The Effects of Variance Risk (St Louis Fed Working Papers 2005-075, Dec 2005) | Full text |
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| | Fernando Restoy and Rosa Rodríguez: Can fundamentals explain cross-country correlations of asset returns? (Bank of Spain Working Papers 0540, Dec 2005) | Abstract
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| | Liuren Wu and Frank Xiaoling Zhang: A No-Arbitrage Analysis of Economic Determinants of the Credit Spread Term Structure (Federal Reserve Board FEDS series 2005-59, Dec 2005) | Abstract
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| | Hui Guo, and Jason Higbee: Market Timing with Aggregate and Idiosyncratic Stock Volatilities (St Louis Fed Working Papers 2005-073, Dec 2005) | Full text |
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| | Ulf von Kalckreuth: A "wreckers theory" of financial distress (Deutsche Bundesbank Discussion Papers 200540, 22 Nov 2005) | Full text |
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| | Jeffery D Amato and Eli M Remolona: The pricing of unexpected credit losses (Bank for International Settlements Working papers 190, Nov 2005) | Abstract
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| | Naohiko Baba, Shinichi Nishioka, Nobuyuki Oda, Masaaki Shirakawa, Kazuo Ueda and Hiroshi Ugai: Japan's deflation, problems in the financial system and monetary policy (Bank for International Settlements Working papers 188, Nov 2005) | Abstract
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| | Bruce Mizrach, and Christopher J. Neely: The Microstructure of Bond Market Tatonnement (St Louis Fed Working Papers 2005-070, Nov 2005) | Full text |
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| | Robert F. Martin: The Baby Boom: Predictability in House Prices and Interest Rates (Federal Reserve Board International Financial Discussion Papers 2005-847, Nov 2005) | Abstract
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| | Michael Ehrmann and Marcel Fratzscher: How should central banks communicate? (European Central Bank Working papers 0557, Nov 2005) | Full text |
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| | Martijn Cremers, Joost Driessen, Pascal Maenhout and David Weinbaum: Explaining the level of credit spreads: option-implied jump risk premia in a firm value model (Bank for International Settlements Working papers 191, Nov 2005) | Abstract
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| | Tomas Dvorak and Richard Podpiera: European Union enlargement and equity markets in accession countries (European Central Bank Working papers 0552, Nov 2005) | Full text |
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| | Travis D. Nesmith: Solving Stochastic Money-in-the-Utility-Function Models (Federal Reserve Board FEDS series 2005-52, Nov 2005) | Abstract
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| | Don H. Kim and Athanasios Orphanides: Term Structure Estimation with Survey Data on Interest Rate Forecasts (Federal Reserve Board FEDS series 2005-48, Oct 2005) | Abstract
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| | Benjamin Yibin Zhang, Hao Zhou and Haibin Zhu: Explaining credit default swap spreads with equity volatility and jump risks of individual firms (Bank for International Settlements Working papers 181, Sep 2005) | Abstract
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| | Fabio Fornari: The rise and fall of US dollar interest rate volatility: evidence from swaptions (Bank for International Settlements Quarterly Review 0509g, Sep 2005) | Abstract
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| | Philipp Hartmann: Banking system stability: a cross-Atlantic perspective (European Central Bank Working papers 0527, Sep 2005) | Full text |
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| | Geert Bekaert, Eric Engstrom, and Yuhang Xing: Risk, Uncertainty, and Asset Prices (Federal Reserve Board FEDS series 2005-40, Sep 2005) | Abstract
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| | Gur Huberman and Zhenyu Wang: Arbitrage Pricing Theory (New York Fed Staff reports 216, Aug 2005) | Abstract
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| | Mark W. French: Why and When do Spot Prices of Crude Oil Revert to Futures Price Levels? (Federal Reserve Board FEDS series 2005-30, Aug 2005) | Abstract
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| | Janet Mitchell: Financial Intermediation Theory and Implications for the Sources of Value in Structured Finance Markets (National Bank of Belgium Working Papers 071, 26 Jul 2005) | Abstract
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| | Pierluigi Balduzzi and Cesare Robotti: Asset-Pricing Models and Economic Risk Premia: A Decomposition (Atlanta Fed Working papers 2005-13, Jul 2005) | Abstract
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| | Massimo Guidolin, and Sadayuki Ono: Are the Dynamic Linkages Between the Macroeconomy and Asset Prices Time-Varying? (St Louis Fed Working Papers 2005-056, Jul 2005) | Full text |
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| | Miroslav Misina: Risk Perceptions and Attitudes (Bank of Canada Working papers 2005-17, Jun 2005) | Abstract
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| | Katrin Tinn: Optimal research in financial markets with heterogeneous private information: a rational expectations model (European Central Bank Working papers 0493, Jun 2005) | Full text |
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| | Massimo Guidolin, and Allan Timmerman: International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences (St Louis Fed Working Papers 2005-034, Jun 2005) | Full text |
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| | Britta Hamburg, Mathias Hoffmann, Joachim Keller: Consumption, wealth and business cycles: why is Germany different? (Deutsche Bundesbank Discussion Papers 200516, 19 May 2005) | Full text |
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| | Michael Ehrmann and Marcel Fratzscher: Communication and decision-making by central bank committees: different strategies, same effectiveness? (European Central Bank Working papers 0488, May 2005) | Full text |
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| | Thomas D. Tallarini, Jr. and Harold H. Zhang: External Habit and the Cyclicality of Expected Stock Returns (Federal Reserve Board FEDS series 2005-27, May 2005) | Abstract
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| | E. Philip Davis and Haibin Zhu: Commercial property prices and bank performance (Bank for International Settlements Working papers 175, Apr 2005) | Abstract
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| | Patrick McGuire, Eli Remolona and Kostas Tsatsaronis: Time-varying exposures and leverage in hedge funds (Bank for International Settlements Quarterly Review 0503f, Mar 2005) | Abstract
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| | Franck Packer and Haibin Zhu: Contractual terms and CDS pricing (Bank for International Settlements Quarterly Review 0503h, Mar 2005) | Abstract
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| | (DNB): Measuring Financial Stability: Applying the MfRisk Model to the Netherlands (Netherlands Bank DNB Working Papers 030, Mar 2005) | Full text |
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| | Michael Ehrmann and Marcel Fratzscher: Transparency, disclosure and the federal reserve (European Central Bank Working papers 0457, Mar 2005) | Full text |
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| | Jeffery D Amato and Jacob Gyntelberg: CDS index tranches and the pricing of credit risk correlations (Bank for International Settlements Quarterly Review 0503g, Mar 2005) | Abstract
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| | Henrik Amilon: Estimation of an Adaptive Stock Market Model with Heterogeneous Agents (Sveriges Riksbank Working Papers 177, 24 Feb 2005) | Abstract
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| | Daniel Covitz and Song Han: An Empirical Analysis of Bond Recovery Rates: Exploring a Structural View of Default (Federal Reserve Board FEDS series 2005-10, Feb 2005) | Abstract
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| | Lorenzo Cappiello and Stéphane Guéné: Measuring market and inflation risk premia in France and in Germany (European Central Bank Working papers 0436, Feb 2005) | Full text |
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| | Pierluigi Balduzzi and Cesare Robotti: Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-beta Models (Atlanta Fed Working papers 2005-04, Feb 2005) | Abstract
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| | Massimo Guidolin: Optimal Portfolio Choice under Regime Switching, Skew and Kurtosis Preferences (St Louis Fed Working Papers 2005-006, Jan 2005) | Full text |
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| | Massimo Guidolin, and Allan Timmerman: Size and Value Anomalies under Regime Shifts (St Louis Fed Working Papers 2005-007, Jan 2005) | Full text |
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| | Silvia Goncalves, and Massimo Guidolin: Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface (St Louis Fed Working Papers 2005-010, Jan 2005) | Full text |
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| | Massimo Guidolin, and Allan Timmerman: Properties of Equilibrium Asset Prices under Alternative Learning Schemes (St Louis Fed Working Papers 2005-009, Jan 2005) | Full text |
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| | Gianluca Cassesse, and Massimo Guidolin: Modelling the MIB30 Implied Volatility Surface. Does Efficiency Matter? (St Louis Fed Working Papers 2005-008, Jan 2005) | Full text |
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| | Massimo Guidolin: Pessimistic Beliefs under Rational Learning: Quantitative Implications for the Equity Premium Puzzle (St Louis Fed Working Papers 2005-005, Jan 2005) | Full text |
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| | Massimo Guidolin: High Equity Premia and Crash Fears. Rational Foundations (St Louis Fed Working Papers 2005-011, Jan 2005) | Full text |
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| | Spyros Pagratis: Asset pricing, asymmetric information and rating announcements: does benchmarking on ratings matter? (Bank of England Working papers 265, 2005) | Abstract
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| | Marco Sorge: The nature of credit risk in project finance (Bank for International Settlements Quarterly Review 0412h, Dec 2004) | Abstract
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| | Goetz von Peter: Asset prices and banking distress: a macroeconomic approach (Bank for International Settlements Working papers 167, Dec 2004) | Abstract
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| | Sean D. Campbell and Canlin Li: Alternative Estimates of the Presidential Premium (Federal Reserve Board FEDS series 2004-69, Dec 2004) | Abstract
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| | Serdar Dinc and Patrick M McGuire: Did investors regard real estate as (Bank for International Settlements Working papers 164, Nov 2004) | Abstract
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| | Tim Bollerslev, Michael Gibson, and Hao Zhou: Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities (Federal Reserve Board FEDS series 2004-56, Oct 2004) | Abstract
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| | Takeshi Kimura and David Small: Quantitative Monetary Easing and Risk in Financial Asset Markets (Federal Reserve Board FEDS series 2004-57, Oct 2004) | Abstract
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| | Mark Carey: Global Financial Integration: A Collection of New Research (Federal Reserve Board International Financial Discussion Papers 2004-821, Oct 2004) | Abstract
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| | Charles P. Thomas; Francis E. Warnock; Jon Wongswan: The Performance of International Portfolios (Federal Reserve Board International Financial Discussion Papers 2004-817, Sep 2004) | Abstract
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| | Tobias Adrian and Francesco Franzoni: Learning about Beta: A New Look at CAPM Tests (New York Fed Staff reports 193, Sep 2004) | Abstract
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| | Paul Gao and Kevin X.D. Huang: Aggregate Consumption Wealth Ratio: Does It Work Internationally? (Kansas City Fed Working Papers RWP04-07, Aug 2004) | Abstract
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| | Marco Sorge and Blaise Gadanecz: The term structure of credit spreads in project finance (Bank for International Settlements Working papers 159, Aug 2004) | Abstract
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| | Sergey V. Chernenko; Krista B. Schwarz; Jonathan H. Wright: The Information Content of Forward and Futures Prices: Market Expectations and the Price of Risk (Federal Reserve Board International Financial Discussion Papers 2004-808, Jun 2004) | Abstract
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| | Anthony Richards: Big Fish in Small Ponds: The Trading Behaviour and Price Impact of Foreign Investors in Asian Emerging Equity Markets (Reserve Bank of Australia Research Discussion Papers RDP2004-05, Jun 2004) | Abstract
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| | Kerstin Bernoth: Sovereign risk premia in the European government bond market (European Central Bank Working papers 0369, Jun 2004) | Full text |
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| | Tobias Adrian: Inference, Arbitrage, and Asset Price Volatility (New York Fed Staff reports 187, May 2004) | Abstract
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| | Kevin J. Lansing: Lock-in of Extrapolative Expectations in an Asset Pricing Model (San Francisco Fed Working Papers 2004-06, May 2004) | Full text |
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| | Asani Sarkar and Lingjia Zhang: Time-Varying Consumption Correlation and the Dynamics of the Equity Premium: Evidence from the G-7 Countries (New York Fed Staff reports 181, Apr 2004) | Abstract
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| | Ben S. Bernanke and Kenneth N. Kuttner: What Explains the Stock Market's Reaction to Federal Reserve Policy? (Federal Reserve Board FEDS series 2004-16, Apr 2004) | Abstract
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| | Ian Garrett, Mark Kamstra, and Lisa Kramer: Winter Blues and Time Variation in the Price of Risk (Atlanta Fed Working papers 2004-08, Apr 2004) | Abstract
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| | E Philip Davis and Haibin Zhu: Bank lending and commercial property cycles: some cross-country evidence (Bank for International Settlements Working papers 150, Mar 2004) | Abstract
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| | Philipp Hartmann, Stefan Straetmans and Casper de Vries: Fundamentals and joint currency crises (European Central Bank Working papers 0324, Mar 2004) | Full text |
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| | Adam Creighton, Luke Gower and Anthony Richards: The Impact of Rating Changes in Australian Financial Markets (Reserve Bank of Australia Research Discussion Papers RDP2004-02, Mar 2004) | Abstract
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| | Alexis Derviz: Exchange rate risks and asset prices in a small open economy (European Central Bank Working papers 0314, Mar 2004) | Full text |
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| | Kostas Tsatsaronis, Haibin Zhu: What drives housing price dynamics: cross-country evidence (Bank for International Settlements Quarterly Review 0403f, Mar 2004) | Abstract
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| | Miguel A. Ferreira and Jose A. Lopez: Evaluating Interest Rate Covariance Models within a Value-at-Risk Framework (San Francisco Fed Working Papers 2004-03, Mar 2004) | Full text |
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| | John Kambhu: Trading Risk and Volatility in Interest Rate Swap Spreads (New York Fed Staff reports 178, Feb 2004) | Abstract
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| | Rui Albuquerque, Gregory H. Bauer and Martin Schneider: International equity flows and returns: a quantative equilibrium approach (European Central Bank Working papers 0310, Feb 2004) | Full text |
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| | Anna Naszódi: Target zone rearrangements and exchange rate behavior in an options-based model (Magyar Nemzeti Bank Working papers 2004/02, 2004) | Abstract
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| | Jeffery D Amato, Eli M Remolona: The credit spread puzzle (Bank for International Settlements Quarterly Review 0312e, Dec 2003) | Abstract
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| | Patrick McGuire, Martijn A Schrijvers: Common factors in emerging market spreads (Bank for International Settlements Quarterly Review 0312f, Dec 2003) | Abstract
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| | Jane Ihrig; David Prior: The Effect of Exchange Rate Fluctuations on Multinationals' Returns (Federal Reserve Board International Financial Discussion Papers 2003-782, Oct 2003) | Abstract
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| | Ben S. Bernanke and Kenneth N. Kuttner: What Explains the Stock Market's Reaction to Federal Reserve Policy? (New York Fed Staff reports 174, Oct 2003) | Abstract
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| | Edward J. Green, Jose A. Lopez, and Zhenyu Wang: Formulating the Imputed Cost of Equity Capital for Priced Services at Federal Reserve Banks (New York Fed Economic policy review 0309gree, Sep 2003) | Abstract
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| | Jon Wongswan: Contagion: An Empirical Test (Federal Reserve Board International Financial Discussion Papers 2003-775, Sep 2003) | Abstract
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| | Antulio N. Bomfim: "Interest Rates as Options": Assessing the Markets' View of the Liquidity Trap (Federal Reserve Board FEDS series 2003-45, Aug 2003) | Abstract
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| | Tim Bollerslev and Hao Zhou: Volatility Puzzles: A Unified Framework for Gauging Return-Volatility Regressions (Federal Reserve Board FEDS series 2003-40, Aug 2003) | Abstract
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| | Charles Engel and Kenneth D. West: Exchange rates and fundamentals (European Central Bank Working papers 0248, Aug 2003) | Full text |
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| | Hao Zhou: Itô Conditional Moment Generator and the Estimation of Short Rate Processes (Federal Reserve Board FEDS series 2003-32, Jul 2003) | Abstract
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| | Jaideep Bedi, Anthony Richards and Paul Tennant: The Characteristics and Trading Behaviour of Dual-listed Companies (Reserve Bank of Australia Research Discussion Papers RDP2003-06, Jun 2003) | Abstract
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| | Paul Söderlind , Ulf Söderström and Anders Vredin: Taylor Rules and the Predictability of Interest Rates (Sveriges Riksbank Working Papers 147, 01 Apr 2003) | Abstract
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| | Antulio N. Bomfim: Monetary Policy and the Yield Curve (Federal Reserve Board FEDS series 2003-15, Apr 2003) | Abstract
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| | Antulio N. Bomfim: Counterparty Credit Risk in Interest Rate Swaps during Times of Market Stress (Federal Reserve Board FEDS series 2003-9, Mar 2003) | Abstract
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| | Cesare Robotti: Dynamic Strategies, Asset Pricing Models, and the Out-of-Sample Performance of the Tangency Portfolio (Atlanta Fed Working papers 2003-6, Feb 2003) | Abstract
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| | Glen Donaldson, Mark Kamstra, and Lisa Kramer: Stare Down the Barrel and Center the Crosshairs: Targeting the Ex Ante Equity Premium (Atlanta Fed Working papers 2003-4, Jan 2003) | Abstract
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| | C. N. V. Krishnan, P. H. Ritchken, J. B. Thomson: Monitoring and Controlling Bank Risk: Does Risky Debt Serve Any Purpose? (Cleveland Fed Working papers 0301, 2003) | Full text |
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| | C. N. V. Krishnan, Peter H. Ritchken and James B. Thomson: On Credit Spread Slopes and Predicting Bank Risk (Cleveland Fed Working papers 0314, 2003) | Full text |
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| | Antonio Díez de los Ríos and Alicia García Herrero: Contagion and portfolio shift in emerging countries' sovereign bonds (Bank of Spain Working Papers 0317, 2003) | Abstract
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| | Kevin X.D. Huang and Jan Werner: Implementing Arrow-Debreu Equilibria by Trading Infinitely-Lived Securities (Kansas City Fed Working Papers RWP02-08, Dec 2002) | Abstract
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| | Chris Stivers, Licheng Sun, and Robert Connolly: Stock Implied Volatility, Stock Turnover, and the Stock-Bond Return Relation (Atlanta Fed Working papers 2002-3a, Sep 2002) | Abstract
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| | Gerald Dwyer and Cora Barnhart: Are Stocks in New Industries Like Lottery Tickets? (Atlanta Fed Working papers 2002-15, Aug 2002) | Abstract
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| | Matti Keloharju - Markku Malkamäki - Kjell G. Nyborg - Kristian Rydqvist: A descriptive analysis of the Finnish treasury bond market (Bank of Finland Discussion Papers 2002/16, 09 Jul 2002) | Abstract
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| | Reint Gropp: Equity and bond market signals as leading indicators of bank fragility (European Central Bank Working papers 0150, Jun 2002) | Full text |
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| | Bill F. Rancis - Iftekhar Hasan - Delroy M. Hunter: Returns and volatility linkages in the international equity and currency markets (Bank of Finland Discussion Papers 2002/09, 27 May 2002) | Abstract
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| | Vincent Brousseau: The functional form of yield curves (European Central Bank Working papers 0148, May 2002) | Full text |
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| | Michelle L. Barnes and Anthony W. Hughes: A Quantile Regression Analysis of the Cross Section of Stock Market Returns (Boston Fed Working papers 02-02, Apr 2002) | Abstract
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| | Michael J. Fleming: Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings (New York Fed Staff reports 145, Mar 2002) | Abstract
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| | Rong Fan, Joseph G. Haubrich, Peter Ritchken and James B. Thomson: Getting the Most Out of a Mandatory Subordinated Debt Requirement (Cleveland Fed Working papers 0214, 2002) | Full text |
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| | Douglas D. Evanoff and Larry D. Wall: Measures of the Riskiness of Banking Organizations: Subordinated Debt Yields, Risk-Based Capital, and Examination Ratings (Atlanta Fed Working papers 2001-25, Nov 2001) | Abstract
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| | Cesare Robotti: The Price of Inflation and Foreign Exchange Risk in International Equity Markets (Atlanta Fed Working papers 2001-26, Nov 2001) | Abstract
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| | Mark Kamstra: Rational Exuberance: The Fundamentals of Pricing Firms, from Blue Chip to "Dot Com" (Atlanta Fed Working papers 2001-21, Nov 2001) | Abstract
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| | Pierluigi Balduzzi and Cesare Robotti: Minimum-Variance Kernels, Economic Risk Premia, and Tests of Multi-beta Models (Atlanta Fed Working papers 2001-24, Nov 2001) | Abstract
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| | Luci Ellis, Dan Andrews: City Sizes, Housing Costs, and Wealth (Reserve Bank of Australia Research Discussion Papers RDP2001-08, Oct 2001) | Abstract
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| | Bernardino Adăo, Maria de Fátima Silva: A New Representation for the Foreign Currency Risk Premium (Bank of Portugal Working papers 200103, May 2001) | Abstract
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| | Mark Fisher: Forces That Shape the Yield Curve: Parts 1 and 2 (Atlanta Fed Working papers 2001-3, Mar 2001) | Abstract
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| | Paul Glasserman and Zhenyu Wang: Valuing the Treasury's Capital Assistance Program (New York Fed Staff reports 413, Dec 2009) | Abstract
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| | Bruno Feunou, Jean-Sébastien Fontaine, and Roméo Tedongap: The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness (Bank of Canada Working papers 2009-20, Jun 2009) | Abstract
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| | Jean Helwege, Samuel Maurer, Asani Sarkar, and Yuan Wang: Credit Default Swap Auctions (New York Fed Staff reports 372, May 2009) | Abstract
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| | Eliana Balla, Robert E. Carpenter, Breck Robinson: Assessing the Effectiveness of the Paulson "Teaser Freezer" Plan: Evidence from the ABX Index (Richmond Fed Working Papers 09-07, Apr 2009) | Abstract
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| | Eric Wong and Cho-Hoi Hui: A Liquidity Risk Stress-Testing Framework with Interaction between Market and Credit Risks (Hong Kong Monetary Authority Working Papers WP09_06, Mar 2009) | Abstract
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| | Ingo Fender and Martin Scheicher: The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices (Bank for International Settlements Working papers 279, Mar 2009) | Abstract
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| | Burkhard Raunig and Martin Scheicher: Are Banks Different? Evidence from the CDS Market (Austrian National Bank Working Papers WP152, 16 Feb 2009) | Abstract
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| | Patrizio Pagano and Massimiliano Pisani: Risk-adjusted forecasts of oil prices (European Central Bank Working papers 0999, Jan 2009) | Full text |
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| | Burkhard Raunig and Martin Scheicher: A value at risk analysis of cedit default swaps (European Central Bank Working papers 0968, Nov 2008) | Full text |
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| | Jing-zhi Huang and Hao Zhou: Specification Analysis of Structural Credit Risk Models (Federal Reserve Board FEDS series 2008-55, Nov 2008) | Abstract
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| | Ingo Fender and Martin Scheicher: The ABX: how do the markets price subprime mortgage risk? (Bank for International Settlements Quarterly Review 0809h, 01 Sep 2008) | Abstract
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| | Song Han and Hao Zhou: Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data (Federal Reserve Board FEDS series 2008-40, Sep 2008) | Abstract
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| | Eli M Remolona and Ilhyock Shim: Credit derivatives and structured credit: the nascent markets of Asia and the Pacific (Bank for International Settlements Quarterly Review 0806g, 08 Jun 2008) | Abstract
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| | Martin Scheicher: How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches (European Central Bank Working papers 0910, Jun 2008) | Full text |
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| | Cho-Hoi Hui and Chi-Fai Lo: A Note on Estimating Realignment Probabilities -- A First-Passage-Time Approach (Hong Kong Monetary Authority Working Papers WP08_09, Jun 2008) | Abstract
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| | by Nikola Tarashev and Haibin Zhu: Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model (IJCB International Journal of Central Banking 08q2a4, May 2008) | Abstract
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| | Nikola Tarashev, Haibin Zhu: The pricing of correlated default risk: evidence from the credit derivatives market (Deutsche Bundesbank Banking Supervision Discussion Papers 200809, May 2008) | Full text |
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| | Csaba Csávás: Density forecast evaluation and the effect of risk-neutral central moments on the currency risk premium: tests based on EUR/HUF option-implied densities (Magyar Nemzeti Bank Working papers 2008/03, May 2008) | Abstract
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| | Cho-Hoi Hui, Chi-Fai Lo and Tsz-Kin Chung: Market Expectation of Appreciation of the Renminbi (Hong Kong Monetary Authority Working Papers WP08_03, Apr 2008) | Abstract
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| | Damien Lynch and Nikolaos Panigirtzoglou: Summary statistics of option-implied probability density functions and their properties (Bank of England Working papers 345, Apr 2008) | Abstract
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| | Prasanna Gai, Sujit Kapadia, Stephen Millard and Ander Perez: Financial innovation, macroeconomic stability and systemic crises (Bank of England Working papers 340, Apr 2008) | Abstract
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| | Gianni Amisano and Roberto Savona: Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk. (European Central Bank Working papers 0881, Mar 2008) | Full text |
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| | Anna Naszódi: Are the exchange rates of EMU candidate countries anchored by their expected euro locking rates? (Magyar Nemzeti Bank Working papers 2008/01, Feb 2008) | Abstract
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| | Fabio Fornari: Assessing the compensation for volatility risk implicit in interest rate derivatives (European Central Bank Working papers 0859, Jan 2008) | Full text |
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| | Stuart M. Turnbull and Jun Yang: Default Dependence: The Equity Default Relationship (Bank of Canada Working papers 2008-01, Jan 2008) | Abstract
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| | Matthew Hurd, Mark Salmon and Christoph Schleicher: Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index (Bank of England Working papers 334, Nov 2007) | Abstract
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| | Brent Bundick: Do Federal Funds Futures Need Adjustment for Excess Returns? A State-Dependent Approach (Kansas City Fed Working Papers RWP07-08, Oct 2007) | Abstract
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| | Cho-Hoi Hui and Tom Fong: Is the Hong Kong Dollar Exchange Rate "Bounded" in the Convertibility Zone? (Hong Kong Monetary Authority Working Papers WP07_13, Sep 2007) | Abstract
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| | Bryan Campbell and Scott Hendry: Price Discovery in Canadian and U.S. 10-Year Government Bond Markets (Bank of Canada Working papers 2007-43, Aug 2007) | Abstract
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| | Eric T.C. Wong, Cho-Hoi Hui and Chi-fai Lo: Ratings Versus Market-Based Measures of Default Risk of East Asian Banks (Hong Kong Monetary Authority Working Papers WP07_12, Aug 2007) | Abstract
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| | Jens Hilscher: Is the corporate bond market forward looking? (European Central Bank Working papers 0800, Aug 2007) | Full text |
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| | Nikola A. Tarashev and Haibin Zhu: Modelling and calibration errors in measures of portfolio credit risk (Bank for International Settlements Working papers 230, Jun 2007) | Abstract
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| | Cho-hoi Hui, Vincent Yeung, Laurence Fung and Chi-Fai, Lo: Valuing Foreign Currency Options with a Mean-Reverting Process: A Study of Hong Kong Dollar (Hong Kong Monetary Authority Working Papers WP07_08, May 2007) | Abstract
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| | Ip-Wing Yu and Chi-Sang Tam: Measuring Market Sentiment in Hong Kong's Stock Market (Hong Kong Monetary Authority Working Papers WP07_05, Apr 2007) | Abstract
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| | Ángel León, Javier Mencía and Enrique Sentana: Parametric properties of semi-nonparametric distributions, with applications to option valuation (Bank of Spain Working Papers 0707, Mar 2007) | Abstract
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| | Christopher Chung, Bryan Campbell, and Scott Hendry: Price Discovery in Canadian Government Bond Futures and Spot Markets (Bank of Canada Working papers 2007-04, Feb 2007) | Abstract
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| | Christian Upper and Thomas Werner: The tail wags the dog: time-varying information shares in the Bund market (Bank for International Settlements Working papers 224, Jan 2007) | Abstract
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| | Suresh Sundaresan and Zhenyu Wang: Y2K Options and the Liquidity Premium in TreasuryBond Markets (New York Fed Staff reports 266, Nov 2006) | Abstract
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| | Fousseni Chabi-Yo: Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence (Bank of Canada Working papers 2006-38, Oct 2006) | Abstract
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| | Joshua V. Rosenberg and Leah G. Traub: Price Discovery in the Foreign Currency Futuresand Spot Market (New York Fed Staff reports 262, Oct 2006) | Abstract
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| | George Tauchen and Hao Zhou: Realized Jumps on Financial Markets and Predicting Credit Spreads (Federal Reserve Board FEDS series 2006-35, Oct 2006) | Abstract
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| | Nikola A. Tarashev and Haibin Zhu: The pricing of portfolio credit risk (Bank for International Settlements Working papers 214, Sep 2006) | Abstract
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| | Prasanna Gai, Peter Kondor and Nicholas Vause: Procyclicality, collateral values and financial stability (Bank of England Working papers 304, Aug 2006) | Abstract
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| | Thomas A. Knetsch: Forecasting the price of crude oil via convenience yield predictions (Deutsche Bundesbank Discussion Papers 200612, 28 Mar 2006) | Full text |
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| | Nikola Tarashev and Kostas Tsatsaronis: Risk premia across asset markets: information from option prices (Bank for International Settlements Quarterly Review 0603h, 06 Mar 2006) | Abstract
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| | Jeffery D Amato and Maurizio Luisi: Macro factors in the term structure of credit spreads (Bank for International Settlements Working papers 203, Mar 2006) | Abstract
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| | Snowberg, Wolfers, Zitzewitz: Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections (San Francisco Fed Working Papers 2006-08, Feb 2006) | Full text |
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| | by Prasanna Gai and Nicholas Vause: Measuring Investors' Risk Appetite (IJCB International Journal of Central Banking 06q1a5, Feb 2006) | Abstract
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| | Benjamin Yibin Zhang, Hao Zhou, and Haibin Zhu: Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (Federal Reserve Board FEDS series 2005-63, Dec 2005) | Abstract
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| | Jeffery D Amato: Risk aversion and risk premia in the CDS market (Bank for International Settlements Quarterly Review 0512e, Dec 2005) | Abstract
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| | Liuren Wu and Frank Xiaoling Zhang: A No-Arbitrage Analysis of Economic Determinants of the Credit Spread Term Structure (Federal Reserve Board FEDS series 2005-59, Dec 2005) | Abstract
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| | Jeffery D Amato and Eli M Remolona: The pricing of unexpected credit losses (Bank for International Settlements Working papers 190, Nov 2005) | Abstract
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| | Martijn Cremers, Joost Driessen, Pascal Maenhout and David Weinbaum: Explaining the level of credit spreads: option-implied jump risk premia in a firm value model (Bank for International Settlements Working papers 191, Nov 2005) | Abstract
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| | Benjamin Yibin Zhang, Hao Zhou and Haibin Zhu: Explaining credit default swap spreads with equity volatility and jump risks of individual firms (Bank for International Settlements Working papers 181, Sep 2005) | Abstract
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| | Fabio Fornari: The rise and fall of US dollar interest rate volatility: evidence from swaptions (Bank for International Settlements Quarterly Review 0509g, Sep 2005) | Abstract
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| | Elizaveta Krylova: Cross-dynamics of volatility term structures implied by foreign exchange options (European Central Bank Working papers 0530, Sep 2005) | Full text |
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| | Áron Gereben - Klára Pintér: Implied volatility of foreign exchange options: is it worth tracking? (Magyar Nemzeti Bank Occasional papers 2005/39, Mar 2005) | Abstract
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| | Franck Packer and Haibin Zhu: Contractual terms and CDS pricing (Bank for International Settlements Quarterly Review 0503h, Mar 2005) | Abstract
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| | (DNB): Measuring Financial Stability: Applying the MfRisk Model to the Netherlands (Netherlands Bank DNB Working Papers 030, Mar 2005) | Full text |
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| | Jeffery D Amato and Jacob Gyntelberg: CDS index tranches and the pricing of credit risk correlations (Bank for International Settlements Quarterly Review 0503g, Mar 2005) | Abstract
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| | Silvia Goncalves, and Massimo Guidolin: Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface (St Louis Fed Working Papers 2005-010, Jan 2005) | Full text |
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| | Gianluca Cassesse, and Massimo Guidolin: Modelling the MIB30 Implied Volatility Surface. Does Efficiency Matter? (St Louis Fed Working Papers 2005-008, Jan 2005) | Full text |
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| | Albert Ballinger, Gerald P. Dwyer Jr., and Ann B. Gillette: Trading Institutions and Price Discovery: The Cash and Futures Markets for Crude Oil (Atlanta Fed Working papers 2004-28, Nov 2004) | Abstract
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| | Tim Bollerslev, Michael Gibson, and Hao Zhou: Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities (Federal Reserve Board FEDS series 2004-56, Oct 2004) | Abstract
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| | Peter Christoffersen and Stefano Mazzotta: The informational content of over-the-counter currency options (European Central Bank Working papers 0366, Jun 2004) | Full text |
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| | Thomas Klitgaard and Laura Weir: Exchange Rate Changes and Net Positions of Speculators in the Futures Market (New York Fed Economic policy review 0405klit, May 2004) | Abstract
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| | Michael D. Bordo and Joseph G. Haubrich: The Yield Curve, Recessions, and the Credibility of the Monetary Regime: Long-run Evidence, 1875-1997 (Cleveland Fed Working papers 0402, May 2004) | Full text |
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| | Sami Vähämaa: Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB (European Central Bank Working papers 0315, Mar 2004) | Full text |
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| | Antulio N. Bomfim: Counterparty Credit Risk in Interest Rate Swaps during Times of Market Stress (Federal Reserve Board FEDS series 2003-9, Mar 2003) | Abstract
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| | Ernst Glatzer and Martin Scheicher: Modelling the implied probability of stock market movements (European Central Bank Working papers 0212, Jan 2003) | Full text |
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| | Ben Craig, Ernst Glatzer, Joachim Keller and Martin Scheicher: The Forecasting Performance of German Stock Option Densities (Cleveland Fed Working papers 0312, 2003) | Full text |
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| | Ben R. Craig and Joachim G. Keller: The Empirical Performance of Option-Based Densities of Foreign Exchange (Cleveland Fed Working papers 0313, 2003) | Full text |
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| | Thomas Werner and Christian Upper: Time variation in the tail behaviour of bunds futures returns (European Central Bank Working papers 0199, Dec 2002) | Full text |
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| | Iftekhar Hasan - Sudipto Sarkar: Banks' option to lend, interest rate sensitivity, and credit availability (Bank of Finland Discussion Papers 2002/15, 08 Jul 2002) | Abstract
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| | Vincent Brousseau: The functional form of yield curves (European Central Bank Working papers 0148, May 2002) | Full text |
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| G14 Information and Market Efficiency; Event Studies |
| | Michael J. Fleming, Warren B. Hrung, and Frank M. Keane: Repo Market Effects of the Term Securities Lending Facility (New York Fed Staff reports 426, Jan 2010) | Abstract
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| | Michael J. Fleming and Neel Krishnan: The Microstructure of the TIPS Market (New York Fed Staff reports 414, Dec 2009) | Abstract
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| | Claudio Borio: Ten propositions about liquidity crises (Bank for International Settlements Working papers 293, Nov 2009) | Abstract
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| | Martin T. Bohl, Michael Schuppli and Pierre L. Siklos: Stock return seasonalities and investor structure: Evidence from China's B-share markets (Bank of Finland BOFIT Discussion Papers 2009/20, 30 Oct 2009) | Abstract
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|
| | Falko Fecht, Michael Wedow: The dark and the bright side of liquidity risks: evidence from open-end real estate funds in Germany (Deutsche Bundesbank Banking Supervision Discussion Papers 200910, Oct 2009) | Full text |
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| | Michael Frömmel - Norbert Kiss M. - Klára Pinté: Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market (Magyar Nemzeti Bank Working papers 2009/03, Oct 2009) | Abstract
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| | Malcolm Baker, Jeffrey Wurgler and Yu Yuan: Global, Local, and Contagious Investor Sentiment (Dallas Fed Institute Working Papers 0037, Oct 2009) | Full text |
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| | Xin Huang, Hao Zhou, and Haibin Zhu: A Framework for Assessing the Systemic Risk of Major Financial Institutions (Federal Reserve Board FEDS series 2009-37, Sep 2009) | Abstract
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| | Michael R King: Time to buy or just buying time? The market reaction to bank rescue packages (Bank for International Settlements Working papers 288, Sep 2009) | Abstract
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| | Michel van der Wel, Albert J. Menkveld, and Asani Sarkar: Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes (New York Fed Staff reports 395, Sep 2009) | Abstract
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| | Ioana Alexopoulou, Magnus Andersson, Oana Maria Georgescu: An empirical study on the decoupling movements between corporate bond and CDS spreads (European Central Bank Working papers 1085, 27 Aug 2009) | Full text |
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| | Michael Ehrmann, David Sondermann: The reception of public signals in financial markets - what if central bank communication becomes stale? (European Central Bank Working papers 1077, 18 Aug 2009) | Full text |
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| | Michael J. Fleming and Bruce Mizrach: The Microstructure of a U.S. Treasury ECN:The BrokerTec Platform (New York Fed Staff reports 381, Jul 2009) | Abstract
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| | José Manuel Campa and Ignacio Hernando: Cash, access to credit, and value creation in M&As (683 KB) (Bank of Spain Working Papers 0915, Jul 2009) | Abstract
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|
| | Fabio Panetta, Thomas Faeh, Giuseppe Grande, Corrinne Ho, Michael King, Aviram Levy, Federico M. Signoretti, Marco Taboga, Andrea Zaghini: An assessment of financial sector rescue programmes (Banca d'Italia Occasional Papers 47, Jul 2009) | Abstract
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| | Marcel Fratzscher, Livio Stracca,, International Finance (forthcoming): Does it pay to have the euro? Italy's politics and financial markets under the lira and the euro (European Central Bank Working papers 1064, 17 Jun 2009) | Full text |
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| | Carlos Carvalho, Nicholas Klagge, and Emanuel Moench: The Persistent Effects of a False News Shock (New York Fed Staff reports 374, May 2009) | Abstract
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|
| | by Michael Ehrmann and Marcel Fratzscher: Explaining Monetary Policy in Press Conferences (IJCB International Journal of Central Banking 09q2a2, May 2009) | Abstract
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| | Fang Cai, Hyunsoo Joo, and Zhiwei Zhang: The Impact of Macroeconomic Announcements on Real Time Foreign Exchange Rate in Emerging Markets (Federal Reserve Board International Financial Discussion Papers 2009-973, May 2009) | Abstract
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| | Eliana Balla, Robert E. Carpenter, Breck Robinson: Assessing the Effectiveness of the Paulson "Teaser Freezer" Plan: Evidence from the ABX Index (Richmond Fed Working Papers 09-07, Apr 2009) | Abstract
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| | Xin Huang, Hao Zhou and Haibin Zhu: Credit frictions and optimal monetary policy (Bank for International Settlements Working papers 281, Apr 2009) | Abstract
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|
| | Manja Völz, Michael Wedow: Does banks' size distort market prices? Evidence for too-big-to-fail in the CDS market (Deutsche Bundesbank Banking Supervision Discussion Papers 200906, Mar 2009) | Full text |
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| | Ingo Fender and Martin Scheicher: The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices (Bank for International Settlements Working papers 279, Mar 2009) | Abstract
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| | Michael J. Fleming, Frank Keane and Warren B. Hrung: The Term Securities Lending Facility: Origin, Design, and Effects (New York Fed Current issues ci15-02, 09 Feb 2009) | Abstract
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| | Jacob Gyntelberg, Mico Loretan, Tientip Subhanij and Eric Chan: Private information, stock markets, and exchange rates (Bank for International Settlements Working papers 271, Feb 2009) | Abstract
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| | Leonardo Becchetti – Rocco Ciciretti – Iftekhar Hasan: Corporate social responsibility and shareholder's value: an empirical analysis (Bank of Finland Discussion Papers 2009/01, 17 Jan 2009) | Abstract
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| | Hans Genberg and Cho-hoi Hui: The Credibility of the Link from the Perspective of Modern Financial Theory (Hong Kong Monetary Authority Working Papers WP09_02, Jan 2009) | Abstract
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|
| | by Richhild Moessner and William R. Nelson: Central Bank Policy Rate Guidance and Financial Market Functioning (IJCB International Journal of Central Banking 08q4a6, Dec 2008) | Abstract
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| | Julien Idier and Stefano Nardelli: Probability of informed trading on the euro overnight market rate: an update (European Central Bank Working papers 0987, Dec 2008) | Full text |
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| | Marcel Fratzscher and Livio Stracca: The political economy under monetary union: has the euro made a difference? (European Central Bank Working papers 0956, Nov 2008) | Full text |
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| | Naohiko Baba and Yasuaki Amatatsu: Price discovery from cross-currency and FX swaps: a structural analysis (Bank for International Settlements Working papers 264, Nov 2008) | Abstract
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| | Paul Eitelman and Justin Vitanza: A Non-Random Walk Revisited: Short- and Long-Term Memory in Asset Prices (Federal Reserve Board International Financial Discussion Papers 2008-956, Nov 2008) | Abstract
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| | Maurizio Michael Habib and Mark Joy: Foreign-currency bonds: currency choice and the role of uncovered and covered interest parity (European Central Bank Working papers 0947, Oct 2008) | Full text |
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| | Elizabeth Demers and Clara Vega: Soft Information in Earnings Announcements: News or Noise? (Federal Reserve Board International Financial Discussion Papers 2008-951, Oct 2008) | Abstract
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| | John Ammer, Clara Vega, and Jon Wongswan: Do Fundamentals Explain the International Impact of U.S. Interest Rates? Evidence at the Firm Level (Federal Reserve Board International Financial Discussion Papers 2008-952, Oct 2008) | Abstract
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| | Ingo Fender and Martin Scheicher: The ABX: how do the markets price subprime mortgage risk? (Bank for International Settlements Quarterly Review 0809h, 01 Sep 2008) | Abstract
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|
| | Song Han and Hao Zhou: Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data (Federal Reserve Board FEDS series 2008-40, Sep 2008) | Abstract
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| | Jacob Gyntelberg, Alicia Herrero and Andrea Tesei: The Asian crisis: what did local stock markets expect? (Bank for International Settlements Working papers 261, Sep 2008) | Abstract
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| | Nuno Fernandes, Ugur Lel, and Darius P. Miller: Escape From New York: The Market Impact of SEC Rule 12h-6 (Federal Reserve Board International Financial Discussion Papers 2008-945, Sep 2008) | Abstract
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| | Jason Kotter and Ugur Lel: Friends or Foes? The Stock Price Impact of Sovereign Wealth Fund Investments and the Price of Keeping Secrets (Federal Reserve Board International Financial Discussion Papers 2008-940, Aug 2008) | Abstract
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| | Meredith J. Beechey and Jonathan H. Wright: The High-Frequency Impact of News on Long-Term Yields and Forward Rates: Is It Real? (Federal Reserve Board FEDS series 2008-39, Aug 2008) | Abstract
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| | George J. Jiang, Ingrid Lo, and Adrien Verdelhan: Information Shocks, Jumps, and Price Discovery - Evidence from the U.S. Treasury Market (Bank of Canada Working papers 2008-22, Jul 2008) | Abstract
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| | Frank Leung and Philip Ng: Impact of IPO Activities on the Hong Kong Dollar Interbank Market (Hong Kong Monetary Authority Working Papers WP08_11, Jul 2008) | Abstract
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| | Bill B Francis – Iftekhar Hasan – James R Lothian – Xian Sun: The signalling hypothesis revisited: Evidence from foreign IPOs (Bank of Finland Discussion Papers 2008/10, 06 May 2008) | Abstract
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|
| | by Carlo Rosa and Giovanni Verga: The Impact of Central Bank Announcements on Asset Prices in Real Time (IJCB International Journal of Central Banking 08q2a5, May 2008) | Abstract
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| | Naohiko Baba, Frank Packer and Teppei Nagano: The spillover of money market turbulence to FX swap and cross-currency swap markets (Bank for International Settlements Quarterly Review 0803h, 08 Mar 2008) | Abstract
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|
| | by John Krainer and Jose A. Lopez: Using Securities Market Information for Bank Supervisory Monitoring (IJCB International Journal of Central Banking 08q1a4, Feb 2008) | Abstract
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| | Fabio Fornari: Assessing the compensation for volatility risk implicit in interest rate derivatives (European Central Bank Working papers 0859, Jan 2008) | Full text |
|
| | Elitza Mileva and Nikolaus Siegfried: Oil market structure, network effects and the choice of currency for oil invoicing (European Central Bank Occasional papers 077, Dec 2007) | Full text |
|
| | John Ammer and Fang Cai: Sovereign CDS and Bond Pricing Dynamics in Emerging Markets: Does the Cheapest-to-Deliver Option Matter? (Federal Reserve Board International Financial Discussion Papers 2007-912, Dec 2007) | Abstract
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| | Thilo Pausch: Endogenous credit derivatives and bank behavior (Deutsche Bundesbank Banking Supervision Discussion Papers 200716, Dec 2007) | Full text |
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| | Lieven Baele, Geert Bekaert, Koen Inghelbrecht: The determinants of stock and bond return comovements (National Bank of Belgium Working Papers 119, 18 Oct 2007) | Abstract
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| | Jozsef Molnar: Pre-emptive horizontal mergers: theory and evidence (Bank of Finland Discussion Papers 2007/17, 11 Oct 2007) | Abstract
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| | Esa Jokivuolle – Timo Vesala: Portfolio effects and efficiency of lending under Basel II (Bank of Finland Discussion Papers 2007/13, 01 Oct 2007) | Abstract
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| | Christian Ewerhart and Natacha Valla: Financial Market Liquidity and the Lender of Last Resort (Bank of France Working Papers Nr 178, Sep 2007) | Abstract
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| | Alain P. Chaboud, Sergey V. Chernenko, and Jonathan H. Wright: Trading Activity and Exchange Rates in High-Frequency EBS Data (Federal Reserve Board International Financial Discussion Papers 2007-903, Sep 2007) | Abstract
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| | Tarun Chordia, Asani Sarkar, and Avanidhar Subrahmanyam: The Microstructure of Cross-Autocorrelations (New York Fed Staff reports 303, Sep 2007) | Abstract
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|
| | Bryan Campbell and Scott Hendry: Price Discovery in Canadian and U.S. 10-Year Government Bond Markets (Bank of Canada Working papers 2007-43, Aug 2007) | Abstract
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|
| | Eric T.C. Wong, Cho-Hoi Hui and Chi-fai Lo: Ratings Versus Market-Based Measures of Default Risk of East Asian Banks (Hong Kong Monetary Authority Working Papers WP07_12, Aug 2007) | Abstract
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| | Niko Dötz: Time-varying contributions by the corporate bond and CDS markets to credit risk price discovery (Deutsche Bundesbank Banking Supervision Discussion Papers 200708, Jul 2007) | Full text |
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| | Asani Sarkar and Robert A. Schwartz: Market Sidedness: Insights into Motives for Trade Initiation (New York Fed Staff reports 292, Jul 2007) | Abstract
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| | Tae Soo Kang and Guonan Ma: Recent episodes of credit card distress in Asia (Bank for International Settlements Quarterly Review 0706g, 07 Jun 2007) | Abstract
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| | Michael Ehrmann and Marcel Fratzscher: Explaining monetary policy in press conferences (European Central Bank Working papers 0767, Jun 2007) | Full text |
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| | Marco Stringa and Allan Monks: Inter-industry contagion between UK life insurers and UK banks: an event study (Bank of England Working papers 325, Jun 2007) | Abstract
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| | Jonathan Wright and Hao Zhou: Bond Risk Premia and Realized Jump Volatility (Federal Reserve Board FEDS series 2007-22, May 2007) | Abstract
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| | Kirsten H. Heppke-Falk, Guntram B. Wolff: Moral hazard and bail-out in fiscal federations: evidence for the German Länder (Deutsche Bundesbank Discussion Papers 200707, 27 Apr 2007) | Full text |
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| | Tim Bollerslev and Hao Zhou: Expected Stock Returns and Variance Risk Premia (Federal Reserve Board FEDS series 2007-11, Apr 2007) | Abstract
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| | Leonardo Becchetti, Rocco Ciciretti, and Iftekhar Hasan: Corporate Social Responsibility and Shareholder's Value: An Event Study Analysis (Atlanta Fed Working papers 2007-06, Apr 2007) | Abstract
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| | Jim Wong, Tom Fong, Eric Wong, and Ka-fai Choi: Determinants of the Performance of Banks in Hong Kong (Hong Kong Monetary Authority Working Papers WP07_06, Apr 2007) | Abstract
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| | Gregory H. Bauer and Keith Vorkink: Multivariate Realized Stock Market Volatility (Bank of Canada Working papers 2007-20, Mar 2007) | Abstract
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| | Ingrid Lo and Stephen G. Sapp: Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market? (Bank of Canada Working papers 2007-23, Mar 2007) | Abstract
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| | Ranaldo, Angelo: Segmentation and Time-of-Day Patterns in Foreign Exchange Markets (Swiss National Bank Working Papers 2007-03, Mar 2007) | Full text |
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| | Fischer, Andreas M., Gulzina Isakova and Ulan Termechikov: Do FX traders in Bishkek have similar perceptions to their London colleagues? Survey evidence of market practitioners' views (Swiss National Bank Working Papers 2007-01, Mar 2007) | Full text |
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| | Marco Cipriani and Antonio Guarino: Transaction costs and informational cascades in financial markets; Theory and experimental evidence. (European Central Bank Working papers 0736, Mar 2007) | Full text |
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| | Natasha Khan: Impact of Electronic Trading Platforms on the Brokered Interdealer Market for Government of Canada Benchmark Bonds (Bank of Canada Working papers 2007-05, Feb 2007) | Abstract
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| | Christopher Chung, Bryan Campbell, and Scott Hendry: Price Discovery in Canadian Government Bond Futures and Spot Markets (Bank of Canada Working papers 2007-04, Feb 2007) | Abstract
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| | Meredith Beechey and Jonathan H. Wright: Rounding and the Impact of News: A Simple Test of Market Rationality (Federal Reserve Board FEDS series 2007-05, Feb 2007) | Abstract
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| | Magnus Andersson: Using intraday data to gauge financial market responses to Fed and ECB monetary policy decisions (European Central Bank Working papers 0726, Feb 2007) | Full text |
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| | Bill Francis, Iftekhar Hasan, and Maya Waisman: Does Geography Matter to Bondholders? (Atlanta Fed Working papers 2007-02, Feb 2007) | Abstract
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| | Christian Upper and Thomas Werner: The tail wags the dog: time-varying information shares in the Bund market (Bank for International Settlements Working papers 224, Jan 2007) | Abstract
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|
| | by Jonathan Kearns and Phil Manners: The Impact of Monetary Policy on the Exchange Rate: A Study Using Intraday Data (IJCB International Journal of Central Banking 06q4a6, Dec 2006) | Abstract
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| | Joshua Hausman and Jon Wongswan: Global Asset Prices and FOMC Announcements (Federal Reserve Board International Financial Discussion Papers 2006-886, Nov 2006) | Abstract
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| | Helge Berger: Geography or skills: What explains Fed watchers' forecast accuracy of US monetary policy? (European Central Bank Working papers 0695, Nov 2006) | Full text |
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| | Asokan Anandarajan – Iftekhar Hasan – Cornelia McCarthy: The use of loan loss provisions for capital management, earnings management and signalling by Australian banks (Bank of Finland Discussion Papers 2006/23, 03 Oct 2006) | Abstract
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| | Reint Gropp and Arjan Kadareja: Stale information, shocks and volatility (European Central Bank Working papers 0686, Oct 2006) | Full text |
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| | George Tauchen and Hao Zhou: Realized Jumps on Financial Markets and Predicting Credit Spreads (Federal Reserve Board FEDS series 2006-35, Oct 2006) | Abstract
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| | Paolo Pasquariello and Clara Vega: Informed and Strategic Order Flow in the Bond Markets (Federal Reserve Board International Financial Discussion Papers 2006-874, Sep 2006) | Abstract
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| | Sigridur Benediktsdottir: An Empirical Analysis of Specialist Trading Behavior at the New York Stock Exchange (Federal Reserve Board International Financial Discussion Papers 2006-876, Sep 2006) | Abstract
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| | Gregory H. Bauer, Clara Vega: The Monetary Origins of Asymmetric Information in International Equity Markets (Federal Reserve Board International Financial Discussion Papers 2006-872, Sep 2006) | Abstract
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| | Erik Hjalmarsson and Randi Hjalmarsson: Efficiency in Housing Markets: Do Home Buyers Know how to Discount? (Federal Reserve Board International Financial Discussion Papers 2006-879, Sep 2006) | Abstract
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| | Marco Laganá, Martin Perina, Isabel von Köppen-Mertes and Avinash Persaud: Implications for liquidity from innovation and transparency in the European corporate bond market (European Central Bank Occasional papers 050, Aug 2006) | Full text |
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| | Christopher J. Neely, Paul A. Weller, and Joshua M. Ulrich: The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market (St Louis Fed Working Papers 2006-046, Aug 2006) | Full text |
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| | Adam Ashcraft and Hoyt Bleakley: On the Market Discipline of Informationally Opaque Firms:Evidence from Bank Borrowers in the Federal Funds Market (New York Fed Staff reports 257, Aug 2006) | Abstract
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| | Jacob A. Bikker, Jan de Dreu: Pension fund efficiency: the impact of scale, governance and plan design (Netherlands Bank DNB Working Papers 109, Aug 2006) | Full text |
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| | Martin Bohl, Jörg Döpke, Christian Pierdzioch: Real-time forecasting and political stock market anomalies: evidence for the U.S. (Deutsche Bundesbank Discussion Papers 200622, 18 Jul 2006) | Full text |
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| | Daniel M. Covitz, Song Han, and Beth Anne Wilson: Are Longer Bankruptcies Really More Costly? (Federal Reserve Board FEDS series 2006-27, Jun 2006) | Abstract
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| | Marian Micu, Eli M Remolona and Philip D. Wooldridge: The price impact of rating announcements: which announcements matter? (Bank for International Settlements Working papers 207, Jun 2006) | Abstract
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| | in the Interest Rate Swap Spread: Trading Risk, Market Liquidity, and Convergence Trading (New York Fed Economic policy review 0605kamb, May 2006) | Abstract
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| | Paolo Vitale: A market microstructure analysis of foreign exchange intervention (European Central Bank Working papers 0629, May 2006) | Full text |
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| | Asani Sarkar and Robert A. Schwartz: Two-Sided Markets and Intertemporal Trade Clustering: Insights into Trading Motives (New York Fed Staff reports 246, Apr 2006) | Abstract
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| | Nikola Tarashev and Kostas Tsatsaronis: Risk premia across asset markets: information from option prices (Bank for International Settlements Quarterly Review 0603h, 06 Mar 2006) | Abstract
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| | Jeffery D Amato and Maurizio Luisi: Macro factors in the term structure of credit spreads (Bank for International Settlements Working papers 203, Mar 2006) | Abstract
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| | Matías Braun and Borja Larrain: 06-4 (Boston Fed Working papers 06-04, Mar 2006) | Abstract
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| | Bruce Mizrach, and Christopher J. Neely: The Transition to Electronic Trading in the Secondary Treasury Market (St Louis Fed Working Papers 2006-012, Mar 2006) | Full text |
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| | Zusman Asaf, Zussman Noam, Orregaard Nielsen Morten: Asset Market Perspectives on the Israeli-Palestinian Conflict 15.2.2006 (Bank of Israel Research - Discussion Papers dp0602, 15 Feb 2006) | Abstract
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| | Snowberg, Wolfers, Zitzewitz: Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections (San Francisco Fed Working Papers 2006-08, Feb 2006) | Full text |
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| | Vasso Ioannidou and Jan de Dreu: The Impact of Explicit Deposit Insurance on Market Discipline (Netherlands Bank DNB Working Pape |