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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. |
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| Inflation-Indexed Securities and Inflation Risk Management A conference organized by the Federal Reserve Bank of New York. The conference brought together experts in inflation pricing and hedging, inflation-indexed issuer asset-liability management, and macroeconomics. |
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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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 Stressed, not Frozen: The Federal Funds Market in the Financial CrisisThis paper examines the impact of the financial crisis of 2008, specifically the bankruptcy of Lehman Brothers, on the federal funds market. By Gara Afonso, Anna Kovner, and Antoinette Schoar, Staff Reports 437, March 2010 |
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| Financial Amplification Mechanisms and the Federal Reserve’s Supply of Liquidity during the Crisis
The authors review the literature on financial amplification mechanisms and discuss the Federal Reserve’s interventions during different stages of the crisis in light of this literature. By Asani Sarkar and Jeffrey Shrader, Staff Reports 431, February 2010 |
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| Central Bank Dollar Swap Lines and Overseas Dollar Funding Costs This paper presents the developments in the dollar swap facilities through the end of 2009. The facilities were a response to dollar funding shortages outside the United States and were effective at making dollars more broadly available to financial institutions overseas during a period of market dysfunction. By Linda Goldberg, Craig Kennedy, and Jason Miu, Staff Reports 429, January 2010 |
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| Macro Risk Premium and Intermediary Balance Sheet Quantities The authors base their argument in this paper on the relationship between the macro risk premium and the growth of financial intermediaries’ balance sheets. By Tobias Adrian, Emanuel Moench, and Hyun Song Shin, Staff Reports 428, January 2010 |
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| Performance Maximization of Actively Managed Funds This paper derives the performance-maximizing strategy—a variant of buy-write—and the least upper bound on such performance enhancement, thereby showing that if common equity indexes are used as benchmarks, the potential performance enhancement from trading frequently is usually negligible. By Paolo Guasoni, Gur Huberman, and Zhenyu Wang, Staff Reports 427, January 2010 |
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