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| Capital Markets |
| Our economists research and analyze a range of issues involving asset pricing, market microstructure, and other financial market topics. |
| Features |
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| 6th Annual Central Bank Workshop
on the Microstructure of Financial Markets The Federal Reserve Bank of New York and Brandeis International Business School will host this workshop, where researchers and practitioners will discuss issues central to the design, regulation, and use of financial markets, including liquidity, bid-ask spreads, transparency, and market structure. |
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| The Yield Curve as a Leading Indicator Research on the yield curve as a predictor of future real U.S. economic activity. |
| RECENT ARTICLES |
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 TBA Trading and Liquidity in the Agency MBS MarketThis paper describes the basic features and mechanics of the TBA market. By James Vickery and Joshua Wright, Staff Reports 468, August 2010 |
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 Central Bank Dollar Swap Lines and Overseas Dollar Funding CostsThis paper presents the developments in the dollar swap facilities through the end of 2009. By Linda Goldberg, Craig Kennedy, and Jason Miu, Economic Policy Review, Forthcoming |
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| Jump-Robust Volatility Estimation using Nearest Neighbor Truncation
The authors propose two new jump-robust estimators of integrated variance based on high-frequency return observations. By Torben Andersen, Dobrev Dobrislav, and Ernst Schaumburg, Staff Reports 465, August 2010 |
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| Funding Liquidity Risk and the Cross-Section of Stock Returns The authors derive equilibrium pricing implications from an intertemporal capital asset pricing model where the tightness of financial intermediaries' funding constraints enters the pricing kernel. By Tobias Adrian and Erkko Etula, Staff Reports 464, July 2010 |
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| Financial Amplification of Foreign Exchange Risk Premia The authors provide supporting evidence for such theories by decomposing the U.S. dollar risk premium into components associated with macroeconomic fundamentals and a component associated with financial intermediaries’ balance sheets. By Tobias Adrian, Erkko Etula, and Jan J. J. Groen, Staff Reports 461, July 2010 |
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