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Erik Vogt

Personal Details

First Name:Erik
Middle Name:
Last Name:Vogt
Suffix:
RePEc Short-ID:pvo214
[This author has chosen not to make the email address public]
http://www.newyorkfed.org/research/economists/vogt/index.html

Affiliation

Federal Reserve Bank of New York

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

Research output

as
Jump to: Working papers

Working papers

  1. Tobias Adrian & Michael J. Fleming & Erik Vogt, 2017. "The Evolution of Treasury Market Liquidity: Evidence from 30 Years of Limit Order Book Data," Staff Reports 827, Federal Reserve Bank of New York.
  2. Tobias Adrian & Agostino Capponi & Michael J. Fleming & Erik Vogt & Hongzhong Zhang, 2016. "Intraday market making with overnight inventory costs," Staff Reports 799, Federal Reserve Bank of New York.
  3. Peter Van Tassel & Erik Vogt, 2016. "Global variance term premia and intermediary risk appetite," Staff Reports 789, Federal Reserve Bank of New York.
  4. Tobias Adrian & Michael J. Fleming & Erik Vogt & Zachary Wojtowicz, 2016. "Corporate Bond Market Liquidity Redux: More Price-Based Evidence," Liberty Street Economics 20160209, Federal Reserve Bank of New York.
  5. Tobias Adrian & Michael J. Fleming & Erik Vogt & Zachary Wojtowicz, 2016. "Did Third Avenue's Liquidation Reduce Corporate Bond Market Liquidity?," Liberty Street Economics 20160219a, Federal Reserve Bank of New York.
  6. Tobias Adrian & Michael J. Fleming & Or Shachar & Erik Vogt, 2016. "Market liquidity after the financial crisis," Staff Reports 796, Federal Reserve Bank of New York.
  7. Tobias Adrian & Daniel Stackman & Erik Vogt, 2016. "Global price of risk and stabilization policies," Staff Reports 786, Federal Reserve Bank of New York.
  8. Tobias Adrian & Michael J. Fleming & Or Shachar & Daniel Stackman & Erik Vogt, 2015. "Changes in the Returns to Market Making," Liberty Street Economics 20151007, Federal Reserve Bank of New York.
  9. Tobias Adrian & Michael J. Fleming & Or Shachar & Daniel Stackman & Erik Vogt, 2015. "Has Liquidity Risk in the Corporate Bond Market Increased?," Liberty Street Economics 20151006b, Federal Reserve Bank of New York.
  10. Tobias Adrian & Michael J. Fleming & Or Shachar & Erik Vogt, 2015. "Redemption Risk of Bond Mutual Funds and Dealer Positioning," Liberty Street Economics 20151008, Federal Reserve Bank of New York.
  11. Tobias Adrian & Richard K. Crump & Erik Vogt, 2015. "Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds," Staff Reports 723, Federal Reserve Bank of New York.
  12. Tobias Adrian & Michael J. Fleming & Daniel Stackman & Erik Vogt, 2015. "Has U.S. Treasury Market Liquidity Deteriorated?," Liberty Street Economics 20150817, Federal Reserve Bank of New York.
  13. Tobias Adrian & Michael J. Fleming & Daniel Stackman & Erik Vogt, 2015. "What's Driving Dealer Balance Sheet Stagnation?," Liberty Street Economics 20150821, Federal Reserve Bank of New York.
  14. Tobias Adrian & Michael J. Fleming & Daniel Stackman & Erik Vogt, 2015. "Has Liquidity Risk in the Treasury and Equity Markets Increased?," Liberty Street Economics 20151006a, Federal Reserve Bank of New York.
  15. Erik Vogt, 2014. "Option-implied term structures," Staff Reports 706, Federal Reserve Bank of New York.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Tobias Adrian & Michael J. Fleming & Or Shachar & Erik Vogt, 2016. "Market liquidity after the financial crisis," Staff Reports 796, Federal Reserve Bank of New York.

    Mentioned in:

    1. Revisiting Market Liquidity: The Case of U.S. Corporate Bonds
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2017-04-17 18:34:54
    2. Treasury Round II: The Capital Markets Report
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2017-10-23 17:04:21
  2. Tobias Adrian & Michael J. Fleming & Erik Vogt, 2017. "The Evolution of Treasury Market Liquidity: Evidence from 30 Years of Limit Order Book Data," Staff Reports 827, Federal Reserve Bank of New York.

    Mentioned in:

    1. Making the Treasury Market Resilient
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2020-08-19 11:50:39

Working papers

  1. Tobias Adrian & Michael J. Fleming & Erik Vogt, 2017. "The Evolution of Treasury Market Liquidity: Evidence from 30 Years of Limit Order Book Data," Staff Reports 827, Federal Reserve Bank of New York.

    Cited by:

    1. Han, Gaofeng & Miao, Hui & Wang, Yabin, 2020. "Liquidity of China’s Government Bond Market: Measures and Driving Forces," MPRA Paper 104545, University Library of Munich, Germany.
    2. Broto, Carmen & Lamas, Matías, 2020. "Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries," Economic Modelling, Elsevier, vol. 93(C), pages 217-229.
    3. Livingston, Miles & Wu, Yanbin & Zhou, Lei, 2019. "The decline in idiosyncratic values of US Treasury securities," Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
    4. Daniel Borup & Jonas N. Eriksen & Mads M. Kjær & Martin Thyrsgaard, 2024. "Predicting Bond Return Predictability," Management Science, INFORMS, vol. 70(2), pages 931-951, February.
    5. Geromichalos, Athanasios & Jung, Kuk Mo & Lee, Seungduck & Carlos, Dillon, 2021. "A model of endogenous direct and indirect asset liquidity," European Economic Review, Elsevier, vol. 132(C).

  2. Tobias Adrian & Agostino Capponi & Michael J. Fleming & Erik Vogt & Hongzhong Zhang, 2016. "Intraday market making with overnight inventory costs," Staff Reports 799, Federal Reserve Bank of New York.

    Cited by:

    1. Scheicher, Martin, 2023. "Intermediation in US and EU bond and swap markets: stylised facts, trends and impact of the coronavirus (COVID-19) crisis in March 2020," ESRB Occasional Paper Series 24, European Systemic Risk Board.
    2. Bastien Baldacci & Philippe Bergault & Joffrey Derchu & Mathieu Rosenbaum, 2020. "On bid and ask side-specific tick sizes," Papers 2005.14126, arXiv.org, revised May 2020.
    3. Matthew Lorig & Zhou Zhou & Bin Zou, 2019. "Optimal Bookmaking," Papers 1907.01056, arXiv.org, revised Mar 2021.
    4. Min Dai & Steven Kou & H. Mete Soner & Chen Yang, 2023. "Leveraged Exchange-Traded Funds with Market Closure and Frictions," Management Science, INFORMS, vol. 69(4), pages 2517-2535, April.
    5. Yu An & Zeyu Zheng, 2023. "Immediacy Provision and Matchmaking," Management Science, INFORMS, vol. 69(2), pages 1245-1263, February.
    6. Agostino Capponi & Jos'e E. Figueroa-L'opez & Chuyi Yu, 2021. "Market Making with Stochastic Liquidity Demand: Simultaneous Order Arrival and Price Change Forecasts," Papers 2101.03086, arXiv.org.
    7. Ivan Guo & Shijia Jin & Kihun Nam, 2023. "Macroscopic Market Making," Papers 2307.14129, arXiv.org, revised Jun 2024.
    8. Jonathan Ch'avez-Casillas & Jos'e E. Figueroa-L'opez & Chuyi Yu & Yi Zhang, 2024. "Adaptive Optimal Market Making Strategies with Inventory Liquidation Cos," Papers 2405.11444, arXiv.org.
    9. Farshid Abdi & Botao Wu, 2018. "Informed Corporate Credit Market Before Monetary Policy Surprises: Explaining Pre-FOMC Stock Market Movements," Working Papers on Finance 1828, University of St. Gallen, School of Finance.
    10. Lorig, Matthew & Zhou, Zhou & Zou, Bin, 2021. "Optimal bookmaking," European Journal of Operational Research, Elsevier, vol. 295(2), pages 560-574.

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

    Cited by:

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

  4. Tobias Adrian & Michael J. Fleming & Erik Vogt & Zachary Wojtowicz, 2016. "Corporate Bond Market Liquidity Redux: More Price-Based Evidence," Liberty Street Economics 20160209, Federal Reserve Bank of New York.

    Cited by:

    1. Curatola, Giuliano, 2022. "Price impact, strategic interaction and portfolio choice," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    2. Erik Vogt & Michael Fleming & Or Shachar & Tobias Adrian, 2017. "Market Liquidity After the Financial Crisis," Annual Review of Financial Economics, Annual Reviews, vol. 9(1), pages 43-83, November.
    3. Lael Brainard, 2016. "An Update on the Outlook, Liquidity, and Resilience : a speech at the Institute of International Bankers Annual Washington Conference, Washington, D.C., March 7, 2016," Speech 893, Board of Governors of the Federal Reserve System (U.S.).

  5. Tobias Adrian & Michael J. Fleming & Erik Vogt & Zachary Wojtowicz, 2016. "Did Third Avenue's Liquidation Reduce Corporate Bond Market Liquidity?," Liberty Street Economics 20160219a, Federal Reserve Bank of New York.

    Cited by:

    1. Curatola, Giuliano, 2022. "Price impact, strategic interaction and portfolio choice," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).

  6. Tobias Adrian & Michael J. Fleming & Or Shachar & Erik Vogt, 2016. "Market liquidity after the financial crisis," Staff Reports 796, Federal Reserve Bank of New York.

    Cited by:

    1. Maxime Phillot & Samuel Reynard, 2021. "Monetary policy financial transmission and treasury liquidity premia," Working Papers 2021-14, Swiss National Bank.
    2. David A. Cimon & Corey Garriott, 2017. "Banking Regulation and Market Making," Staff Working Papers 17-7, Bank of Canada.
    3. Mark Paddrik & Stathis Tompaidis, 2019. "Market-Making Costs and Liquidity: Evidence from CDS Markets," Working Papers 19-01, Office of Financial Research, US Department of the Treasury.
    4. Hattori, Takahiro, 2021. "Noise as a liquidity measure: Evidence from the JGB market," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    5. Michael J. Fleming & Giang Nguyen & Joshua V. Rosenberg, 2007. "How do treasury dealers manage their positions?," Staff Reports 299, Federal Reserve Bank of New York.
    6. Nina Boyarchenko & Richard K. Crump & Anna Kovner & Or Shachar, 2021. "Corporate Bond Market Distress," Staff Reports 957, Federal Reserve Bank of New York.
    7. Fuertes, Ana-Maria & Phylaktis, Kate & Yan, Cheng, 2019. "Uncovered equity “disparity” in emerging markets," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
    8. Aramonte, Sirio & Szerszeń, Paweł J., 2020. "Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets," Journal of Financial Markets, Elsevier, vol. 51(C).
    9. Darrell Duffie & Michael Fleming & Frank Keane & Claire Nelson & Or Shachar & Peter Van Tassel, 2023. "Dealer capacity and US Treasury market functionality," BIS Working Papers 1138, Bank for International Settlements.
    10. David Musto & Greg Nini & Krista Schwarz, 2018. "Notes on Bonds: Illiquidity Feedback During the Financial Crisis," The Review of Financial Studies, Society for Financial Studies, vol. 31(8), pages 2983-3018.
    11. Canepa, Alessandra & de la O. González, María & Skinner, Frank S., 2019. "Hedge Fund Strategies: A non-Parametric Analysis," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201902, University of Turin.
    12. Tobias Adrian & Nina Boyarchenko & Or Shachar, 2016. "Dealer balance sheets and bond liquidity provision," Staff Reports 803, Federal Reserve Bank of New York.
    13. François-Éric Racicot & William F Rentz & David Tessier & Raymond Théoret, 2019. "The conditional Fama-French model and endogenous illiquidity: A robust instrumental variables test," PLOS ONE, Public Library of Science, vol. 14(9), pages 1-26, September.
    14. Marco Del Negro & Domenico Giannone & Marc P. Giannoni & Andrea Tambalotti, 2017. "Safety, Liquidity, and the Natural Rate of Interest," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 48(1 (Spring), pages 235-316.
    15. Romeo-Victor Ionescu & Monica Laura Zlati & Valentin Marian Antohi, 2021. "Global Challenges vs. the Need for Regional Performance Models under the Present Pandemic Crisis," IJERPH, MDPI, vol. 18(19), pages 1-30, September.
    16. David Aikman & Jonathan Bridges & Anil Kashyap & Caspar Siegert, 2019. "Would Macroprudential Regulation Have Prevented the Last Crisis?," Journal of Economic Perspectives, American Economic Association, vol. 33(1), pages 107-130, Winter.
    17. Gündüz, Yalin & Pelizzon, Loriana & Schneider, Michael & Subrahmanyam, Marti G., 2021. "Lighting up the dark: Liquidity in the German corporate bond market," Discussion Papers 21/2021, Deutsche Bundesbank.
    18. Bicu-Lieb, Andreea & Chen, Louisa & Elliott, David, 2020. "The leverage ratio and liquidity in the gilt and gilt repo markets," Journal of Financial Markets, Elsevier, vol. 48(C).
    19. Tobias Adrian & Agostino Capponi & Michael J. Fleming & Erik Vogt & Hongzhong Zhang, 2016. "Intraday market making with overnight inventory costs," Staff Reports 799, Federal Reserve Bank of New York.
    20. Yu An & Zeyu Zheng, 2023. "Immediacy Provision and Matchmaking," Management Science, INFORMS, vol. 69(2), pages 1245-1263, February.
    21. Breckenfelder, Johannes & Ivashina, Victoria, 2021. "Bank balance sheet constraints and bond liquidity," Working Paper Series 2589, European Central Bank.
    22. Aydin Ozkan & Roberto J. Santillán‐Salgado & Yilmaz Yildiz & María del Rocío Vega Zavala, 2020. "What Happened To The Willingness Of Companies To Invest After The Financial Crisis? Evidence From Latin American Countries," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(2), pages 231-262, May.
    23. Vinay Singh & Bhasker Choubey & Stephan Sauer, 2024. "Liquidity forecasting at corporate and subsidiary levels using machine learning," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 31(3), September.
    24. Nguyen, Giang & Engle, Robert & Fleming, Michael & Ghysels, Eric, 2020. "Liquidity and volatility in the U.S. Treasury market," Journal of Econometrics, Elsevier, vol. 217(2), pages 207-229.
    25. Hosono, Kaoru & Miyakawa, Daisuke & Watanabe, Shuji, 2023. "Pricing implications of intervention and debt management in the primary market of Japanese government bonds," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    26. Racicot, François-Éric & Théoret, Raymond & Gregoriou, Greg N., 2021. "The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 289-318.
    27. Han, Yufeng & Hu, Ou & Huang, Zhaodan, 2023. "A tale of idiosyncratic volatility and illiquidity shocks: Their correlation and effects on stock returns," International Review of Financial Analysis, Elsevier, vol. 86(C).
    28. François-Éric Racicot & Raymond Théoret, 2022. "Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
    29. Broto, Carmen & Lamas, Matías, 2020. "Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries," Economic Modelling, Elsevier, vol. 93(C), pages 217-229.
    30. Leal, Diego & Stanhouse, Bryan & Stock, Duane, 2020. "Estimating the term structure of corporate bond liquidity premiums: An analysis of default free bank bonds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
    31. Alex Dontoh & Fayez A. Elayan & Joshua Ronen & Tavy Ronen, 2021. "Unfair “Fair Value” in Illiquid Markets: Information Spillover Effects in Times of Crisis," Management Science, INFORMS, vol. 67(8), pages 5163-5193, August.
    32. Pierre Collin‐Dufresne & Benjamin Junge & Anders B. Trolle, 2020. "Market Structure and Transaction Costs of Index CDSs," Journal of Finance, American Finance Association, vol. 75(5), pages 2719-2763, October.
    33. Tobias Adrian & Michael J. Fleming & Erik Vogt, 2017. "The Evolution of Treasury Market Liquidity: Evidence from 30 Years of Limit Order Book Data," Staff Reports 827, Federal Reserve Bank of New York.
    34. Lara, José Luis & López-Gallo, Fabrizio & Lord, Stefano & Romero, Alberto, 2021. "Effects of the international regulatory reforms over market liquidity of Mexican sovereign debt," Journal of Financial Stability, Elsevier, vol. 52(C).
    35. Jeffrey Gao & Jianjian Jin & Jacob Thompson, 2018. "The Impact of Government Debt Supply on Bond Market Liquidity: An Empirical Analysis of the Canadian Market," Staff Working Papers 18-35, Bank of Canada.
    36. Fullwood, Jonathan & Massacci, Daniele, 2018. "Liquidity resilience in the UK gilt futures market: evidence from the order book," Bank of England working papers 744, Bank of England.
    37. Haghighi, Afshin & Zhang, Lei & Oliver, Barry & Faff, Robert, 2023. "Information acquisition and market liquidity: Evidence from EDGAR search activity," Global Finance Journal, Elsevier, vol. 57(C).
    38. Nathan Foley-Fisher & Stefan Gissler & Stephane Verani, 2019. "Over-the-Counter Market Liquidity and Securities Lending," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 272-294, July.
    39. Monica Laura Zlati & Romeo Victor Ionescu & Valentin Marian Antohi, 2022. "Modelling the Vulnerability of Financial Accounting Systems during Global Challenges: A Comparative Analysis," Mathematics, MDPI, vol. 10(9), pages 1-21, April.
    40. Anderson, Mike & Stulz, Rene M., 2017. "Is Post-crisis Bond Liquidity Lower?," Working Paper Series 2017-09, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    41. Gabrovski, Miroslav & Kospentaris, Ioannis, 2021. "Intermediation in over-the-counter markets with price transparency," Journal of Economic Theory, Elsevier, vol. 198(C).
    42. Ashfaq Habib & M. Ishaq Bhatti & Muhammad Asif Khan & Zafar Azam, 2021. "Cash Holding and Firm Value in the Presence of Managerial Optimism," JRFM, MDPI, vol. 14(8), pages 1-18, August.
    43. Michele Manna & Stefano Nobili, 2018. "Banks' holdings of and trading in government bonds," Temi di discussione (Economic working papers) 1166, Bank of Italy, Economic Research and International Relations Area.
    44. Jaewon Choi & Yesol Huh, 2017. "Customer Liquidity Provision : Implications for Corporate Bond Transaction Costs," Finance and Economics Discussion Series 2017-116, Board of Governors of the Federal Reserve System (U.S.).
    45. Richard K. Crump & João A. C. Santos, 2018. "Review of New York Fed studies on the effects of post-crisis banking reforms," Economic Policy Review, Federal Reserve Bank of New York, issue 24-2, pages 71-90.
    46. Dan Costin NIŢESCU & Florin Alexandru DUNĂ & Adriana Daniela CIUREL, 2020. "Banking sector and bank liquidity – key actors within financial crises?," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(2(623), S), pages 147-168, Summer.
    47. Goel, Tirupam & Lewrick, Ulf & Tarashev, Nikola, 2020. "Bank capital allocation under multiple constraints," Journal of Financial Intermediation, Elsevier, vol. 44(C).
    48. Hartmann, Philipp, 2017. "International liquidity," CEPR Discussion Papers 12337, C.E.P.R. Discussion Papers.
    49. Tobias Braun & Jonas A Fiegen & Daniel C Wagner & Sebastian M Krause & Thomas Guhr, 2018. "Impact and recovery process of mini flash crashes: An empirical study," PLOS ONE, Public Library of Science, vol. 13(5), pages 1-11, May.
    50. Boyarchenko, Nina & Kovner, Anna & Shachar, Or, 2022. "It’s what you say and what you buy: A holistic evaluation of the corporate credit facilities," Journal of Financial Economics, Elsevier, vol. 144(3), pages 695-731.
    51. Mahmoud Qadan & David Y. Aharon, 2019. "The length of the trading day and trading volume," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 9(2), pages 137-156, June.
    52. Jieun Lee, 2023. "Dollar and government bond liquidity: evidence from Korea," BIS Working Papers 1145, Bank for International Settlements.
    53. Mallaburn, David & Roberts-Sklar, Matt & Silvestri, Laura, 2019. "Resilience of trading networks: evidence from the sterling corporate bond market," Bank of England working papers 813, Bank of England.
    54. Joe McLaughlin & Adam Minson & Nathan Palmer & Eric Parolin, 2018. "The OFR Financial System Vulnerabilities Monitor," Working Papers 18-01, Office of Financial Research, US Department of the Treasury.
    55. Amin, Shehryar & Tédongap, Roméo, 2023. "The changing landscape of treasury auctions," Journal of Banking & Finance, Elsevier, vol. 148(C).
    56. Lee, Sukjoon, 2020. "Liquidity Premium, Credit Costs, and Optimal Monetary Policy," MPRA Paper 104825, University Library of Munich, Germany.
    57. Office of Financial Research (ed.), 2017. "2017 Financial Stability Report," Reports, Office of Financial Research, US Department of the Treasury, number 17-2, May.
    58. Pierre Collin-Dufresne & Benjamin Junge & Anders B. Trolle, 2018. "Market Structure and Transaction Costs of Index CDSs," Swiss Finance Institute Research Paper Series 18-40, Swiss Finance Institute.
    59. Sergey Chernenko & Adi Sunderam, 2020. "Measuring the Perceived Liquidity of the Corporate Bond Market," NBER Working Papers 27092, National Bureau of Economic Research, Inc.
    60. Guesmi, Sahar & Ben-Abdallah, Ramzi & Breton, Michèle & Dionne, Georges, 2019. "The CDS-bond Basis: Negativity Persistence and Limits to Arbitrage," Working Papers 19-4, HEC Montreal, Canada Research Chair in Risk Management.
    61. Bank for International Settlements, 2018. "Structural changes in banking after the crisis," CGFS Papers, Bank for International Settlements, number 60.
    62. Becker, Christoph, 2021. "The liquidity mechanics of dealer banks in the market-based credit system," Economic Modelling, Elsevier, vol. 105(C).

  7. Tobias Adrian & Daniel Stackman & Erik Vogt, 2016. "Global price of risk and stabilization policies," Staff Reports 786, Federal Reserve Bank of New York.

    Cited by:

    1. Danilo Leiva-Leon & Lorenzo Ductor, 2019. "Fluctuations in Global Macro Volatility," Working Papers 1925, Banco de España.
    2. Mirco Rubin & Dario Ruzzi, 2020. "Equity tail risk in the treasury bond market," Temi di discussione (Economic working papers) 1311, Bank of Italy, Economic Research and International Relations Area.
    3. Maurice Obstfeld, 2020. "Global Dimensions of U.S. Monetary Policy," International Journal of Central Banking, International Journal of Central Banking, vol. 16(1), pages 73-132, February.
    4. Ines Buono & Flavia Corneli & Enrica Di Stefano, 2024. "Capital inflows to emerging countries and their sensitivity to the global financial cycle," International Finance, Wiley Blackwell, vol. 27(1), pages 17-34, April.
    5. Nektarios Aslanidis & Charlotte Christiansen & Christos S. Savva, 2021. "Quantile Risk–Return Trade-Off," JRFM, MDPI, vol. 14(6), pages 1-14, June.
    6. Jerome H. Powell, 2018. "Monetary Policy Influences on Global Financial Conditions and International Capital Flows : a speech at \"Challenges for Monetary Policy and the GFSN in an Evolving Global Economy\" Eighth H," Speech 1000, Board of Governors of the Federal Reserve System (U.S.).
    7. Ductor, Lorenzo & Leiva-León, Danilo, 2022. "Fluctuations in global output volatility," Journal of International Money and Finance, Elsevier, vol. 120(C).

  8. Tobias Adrian & Michael J. Fleming & Or Shachar & Daniel Stackman & Erik Vogt, 2015. "Changes in the Returns to Market Making," Liberty Street Economics 20151007, Federal Reserve Bank of New York.

    Cited by:

    1. Erik Vogt & Michael Fleming & Or Shachar & Tobias Adrian, 2017. "Market Liquidity After the Financial Crisis," Annual Review of Financial Economics, Annual Reviews, vol. 9(1), pages 43-83, November.

  9. Tobias Adrian & Michael J. Fleming & Or Shachar & Daniel Stackman & Erik Vogt, 2015. "Has Liquidity Risk in the Corporate Bond Market Increased?," Liberty Street Economics 20151006b, Federal Reserve Bank of New York.

    Cited by:

    1. Bicu-Lieb, Andreea & Chen, Louisa & Elliott, David, 2020. "The leverage ratio and liquidity in the gilt and gilt repo markets," Journal of Financial Markets, Elsevier, vol. 48(C).
    2. Bicu, Andreea & Chen, Louisa & Elliott, David, 2017. "The leverage ratio and liquidity in the gilt and repo markets," Bank of England working papers 690, Bank of England, revised 19 Dec 2017.
    3. Carmen Broto & Matías Lamas, 2016. "Measuring market liquidity in us fixed income markets: a new synthetic indicator," Working Papers 1608, Banco de España.
    4. Noss, Joseph & Patel, Rupal, 2019. "Decomposing changes in the functioning of the sterling repo market," Bank of England working papers 797, Bank of England.

  10. Tobias Adrian & Michael J. Fleming & Or Shachar & Erik Vogt, 2015. "Redemption Risk of Bond Mutual Funds and Dealer Positioning," Liberty Street Economics 20151008, Federal Reserve Bank of New York.

    Cited by:

    1. Anna Paulson & Richard Rosen, 2016. "The Life Insurance Industry and Systemic Risk: A Bond Market Perspective," Annual Review of Financial Economics, Annual Reviews, vol. 8(1), pages 155-174, October.
    2. Nicola Branzoli & Giovanni Guazzarotti, 2017. "Liquidity transformation and financial stability: evidence from the cash management of open-end Italian mutual funds," Temi di discussione (Economic working papers) 1113, Bank of Italy, Economic Research and International Relations Area.

  11. Tobias Adrian & Richard K. Crump & Erik Vogt, 2015. "Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds," Staff Reports 723, Federal Reserve Bank of New York.

    Cited by:

    1. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    2. Piergiorgio Alessandri & Antonio M. Conti & Fabrizio Venditti, 2016. "The Financial Stability Dark Side of Monetary Policy," BCAM Working Papers 1601, Birkbeck Centre for Applied Macroeconomics.
    3. Chen, Yu-Lun & Yang, J. Jimmy, 2021. "Trader positions in VIX futures," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 1-17.
    4. Umlandt, Dennis, 2023. "Score-driven asset pricing: Predicting time-varying risk premia based on cross-sectional model performance," Journal of Econometrics, Elsevier, vol. 237(2).
    5. Richard K. Crump & Miro Everaert & Domenico Giannone & Sean Hundtofte, 2018. "Changing Risk-Return Profiles," Staff Reports 850, Federal Reserve Bank of New York.
    6. Janus, Jakub, 2022. "Cross-border flights to safe assets in bond markets: evidence from emerging market economies," MPRA Paper 113875, University Library of Munich, Germany.
    7. Xiang, Yun & He, Jiaxuan, 2022. "Pairs trading and asset pricing," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
    8. Jorge M. Uribe, 2018. "“Scaling Down Downside Risk with Inter-Quantile Semivariances”," IREA Working Papers 201826, University of Barcelona, Research Institute of Applied Economics, revised Oct 2018.
    9. Janus, Jakub, 2023. "Flights to safe assets in bond markets: Evidence from emerging market economies," Journal of International Money and Finance, Elsevier, vol. 139(C).
    10. Jappelli, Ruggero & Lucke, Konrad & Pelizzon, Loriana, 2022. "Price and liquidity discovery in European sovereign bonds and futures," SAFE Working Paper Series 350, Leibniz Institute for Financial Research SAFE.
    11. Mirco Rubin & Dario Ruzzi, 2020. "Equity tail risk in the treasury bond market," Temi di discussione (Economic working papers) 1311, Bank of Italy, Economic Research and International Relations Area.
    12. Zeng, Ting & Yang, Mengying & Shen, Yifan, 2020. "Fancy Bitcoin and conventional financial assets: Measuring market integration based on connectedness networks," Economic Modelling, Elsevier, vol. 90(C), pages 209-220.
    13. Hassan, M. Kabir & Djajadikerta, Hadrian Geri & Choudhury, Tonmoy & Kamran, Muhammad, 2022. "Safe havens in Islamic financial markets: COVID-19 versus GFC," Global Finance Journal, Elsevier, vol. 54(C).
    14. Cheema, Muhammad A. & Faff, Robert & Szulczyk, Kenneth R., 2022. "The 2008 global financial crisis and COVID-19 pandemic: How safe are the safe haven assets?," International Review of Financial Analysis, Elsevier, vol. 83(C).
    15. Venmans, Frank, 2021. "The leverage anomaly in U.S. bank stock returns," LSE Research Online Documents on Economics 111907, London School of Economics and Political Science, LSE Library.
    16. Semeyutin, Artur & Downing, Gareth, 2022. "Co-jumps in the U.S. interest rates and precious metals markets and their implications for investors," International Review of Financial Analysis, Elsevier, vol. 81(C).
    17. Daniel Andrei & Bruce Carlin & Michael Hasler, 2019. "Asset Pricing with Disagreement and Uncertainty About the Length of Business Cycles," Management Science, INFORMS, vol. 67(6), pages 2900-2923, June.
    18. Petar Sabtchevsky & Paul Whelan & Andrea Vedolin & Philippe Mueller, 2017. "Variance Risk Premia on Stocks and Bonds," 2017 Meeting Papers 1161, Society for Economic Dynamics.
    19. Bodilsen, Simon & Eriksen, Jonas N. & Grønborg, Niels S., 2021. "Asset pricing and FOMC press conferences," Journal of Banking & Finance, Elsevier, vol. 128(C).
    20. Hsu, Chih-Hsiang & Lee, Hsiu-Chuan & Lien, Donald, 2020. "Stock market uncertainty, volatility connectedness of financial institutions, and stock-bond return correlations," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 600-621.
    21. Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," Working Papers 2020-79, Becker Friedman Institute for Research In Economics.
    22. Adrian, Tobias & Vogt, Erik & Stackman, Daniel, 2019. "Global Price of Risk and Stabilization Policies," CEPR Discussion Papers 13435, C.E.P.R. Discussion Papers.
    23. Ana González-Urteaga & Belén Nieto & Gonzalo Rubio, 2022. "Spillover dynamics effects between risk-neutral equity and Treasury volatilities," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(4), pages 663-708, December.
    24. Martin Hodula & Milan Szabo & Josef Bajzik, 2022. "Retail Fund Flows and Performance: Insights from Supervisory Data," Working Papers 2022/10, Czech National Bank.
    25. Tobias Adrian & Michael J. Fleming & Erik Vogt, 2017. "The Evolution of Treasury Market Liquidity: Evidence from 30 Years of Limit Order Book Data," Staff Reports 827, Federal Reserve Bank of New York.
    26. Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2019. "Vulnerable Growth," American Economic Review, American Economic Association, vol. 109(4), pages 1263-1289, April.
    27. Nektarios Aslanidis & Charlotte Christiansen & Christos S. Savva, 2021. "Quantile Risk–Return Trade-Off," JRFM, MDPI, vol. 14(6), pages 1-14, June.
    28. Conrad, Christian & Stuermer, Karin, 2017. "On the economic determinants of optimal stock-bond portfolios: international evidence," Working Papers 0636, University of Heidelberg, Department of Economics.
    29. Lei, Heng & Xue, Minggao & Liu, Huiling & Ye, Jing, 2023. "Precious metal as a safe haven for global ESG stocks: Portfolio implications for socially responsible investing," Resources Policy, Elsevier, vol. 80(C).
    30. Thomas M. Eisenbach & Gregory Phelan, 2022. "Fragility of Safe Asset Markets," Staff Reports 1026, Federal Reserve Bank of New York.
    31. Nakagawa, Kei & Sakemoto, Ryuta, 2022. "Market uncertainty and correlation between Bitcoin and Ether," Finance Research Letters, Elsevier, vol. 50(C).
    32. Lehnert, Thorsten, 2022. "Flight-to-safety and retail investor behavior," International Review of Financial Analysis, Elsevier, vol. 81(C).
    33. Liu, Xiaochun, 2017. "Unfolded risk-return trade-offs and links to Macroeconomic Dynamics," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 1-19.
    34. Adrian, Tobias & , & Shin, Hyun Song, 2016. "Dynamic Leverage Asset Pricing," CEPR Discussion Papers 11466, C.E.P.R. Discussion Papers.
    35. Bansal, Naresh & Stivers, Chris, 2022. "Bond risk’s role in the equity risk-return tradeoff," Journal of Financial Markets, Elsevier, vol. 60(C).
    36. Chan Joshua C.C. & Fry-McKibbin Renée A. & Hsiao Cody Yu-Ling, 2019. "A regime switching skew-normal model of contagion," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(1), pages 1-24, February.
    37. Naresh Bansal & Robert A. Connolly & Chris Stivers, 2022. "Beta and size equity premia following a high‐VIX threshold," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1491-1517, August.
    38. Richard K. Crump & Nikolay Gospodinov, 2019. "Deconstructing the yield curve," Staff Reports 884, Federal Reserve Bank of New York.
    39. Faten Ben Bouheni & Hassan Obeid & Elena Margarint, 2022. "Nonperforming loan of European Islamic banks over the economic cycle," Annals of Operations Research, Springer, vol. 313(2), pages 773-808, June.
    40. Byrne, Joseph P. & Sakemoto, Ryuta, 2021. "The conditional volatility premium on currency portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    41. Alin Marius Andries & Steven Ongena & Nicu Sprincean, 2020. "The COVID-19 Pandemic and Sovereign Bond Risk," Swiss Finance Institute Research Paper Series 20-42, Swiss Finance Institute.
    42. Joseph, Byrne & Sakemoto, Ryuta, 2020. "The Conditional Risk and Return Trade-Off on Currency Portfolios," MPRA Paper 99497, University Library of Munich, Germany.
    43. Mirco Rubin & Dario Ruzzi, 2020. "Equity Tail Risk in the Treasury Bond Market," Papers 2007.05933, arXiv.org.
    44. Chung, Chien-Ping & Liao, Tzu-Hsiang & Lee, Hsiu-Chuan, 2021. "Volatility spillovers of A- and B-shares for the Chinese stock market and its impact on the Chinese index returns," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
    45. Akhtaruzzaman, Md & Boubaker, Sabri & Lucey, Brian M. & Sensoy, Ahmet, 2021. "Is gold a hedge or a safe-haven asset in the COVID–19 crisis?," Economic Modelling, Elsevier, vol. 102(C).
    46. Chiah, Mardy & Tian, Xiao & Zhong, Angel, 2022. "Lockdown and retail trading in the equity market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 33(C).
    47. Dennis Umlandt, 2020. "Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models," Working Paper Series 2020-06, University of Trier, Research Group Quantitative Finance and Risk Analysis.
    48. Kaminska, Iryna & Roberts-Sklar, Matt, 2015. "A global factor in variance risk premia and local bond pricing," Bank of England working papers 576, Bank of England.

  12. Tobias Adrian & Michael J. Fleming & Daniel Stackman & Erik Vogt, 2015. "Has U.S. Treasury Market Liquidity Deteriorated?," Liberty Street Economics 20150817, Federal Reserve Bank of New York.

    Cited by:

    1. Anderson, Nicola & Webber, Lewis & Noss, Joseph & Beale, Daniel & Crowley-Reidy, Liam, 2015. "Financial Stability Paper 34: The resilience of financial market liquidity," Bank of England Financial Stability Papers 34, Bank of England.
    2. Ødegaard, Bernt Arne, 2016. "Bond Liquidity at the Oslo Stock Exchange," UiS Working Papers in Economics and Finance 2016/16, University of Stavanger.

  13. Tobias Adrian & Michael J. Fleming & Daniel Stackman & Erik Vogt, 2015. "What's Driving Dealer Balance Sheet Stagnation?," Liberty Street Economics 20150821, Federal Reserve Bank of New York.

    Cited by:

    1. Silvia Bressan, 2017. "A Short Note on the Funding of Investment Firms Across the Crisis: Did the Turmoil Bring Changes?," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(1), pages 1-3.
    2. Anderson, Nicola & Webber, Lewis & Noss, Joseph & Beale, Daniel & Crowley-Reidy, Liam, 2015. "Financial Stability Paper 34: The resilience of financial market liquidity," Bank of England Financial Stability Papers 34, Bank of England.
    3. Bank for International Settlements, 2016. "Regulatory change and monetary policy," CGFS Papers, Bank for International Settlements, number 55.
    4. Lael Brainard, 2016. "An Update on the Outlook, Liquidity, and Resilience : a speech at the Institute of International Bankers Annual Washington Conference, Washington, D.C., March 7, 2016," Speech 893, Board of Governors of the Federal Reserve System (U.S.).

  14. Tobias Adrian & Michael J. Fleming & Daniel Stackman & Erik Vogt, 2015. "Has Liquidity Risk in the Treasury and Equity Markets Increased?," Liberty Street Economics 20151006a, Federal Reserve Bank of New York.

    Cited by:

    1. Erik Vogt & Michael Fleming & Or Shachar & Tobias Adrian, 2017. "Market Liquidity After the Financial Crisis," Annual Review of Financial Economics, Annual Reviews, vol. 9(1), pages 43-83, November.
    2. Bicu-Lieb, Andreea & Chen, Louisa & Elliott, David, 2020. "The leverage ratio and liquidity in the gilt and gilt repo markets," Journal of Financial Markets, Elsevier, vol. 48(C).
    3. Bicu, Andreea & Chen, Louisa & Elliott, David, 2017. "The leverage ratio and liquidity in the gilt and repo markets," Bank of England working papers 690, Bank of England, revised 19 Dec 2017.
    4. Broto, Carmen & Lamas, Matías, 2020. "Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries," Economic Modelling, Elsevier, vol. 93(C), pages 217-229.
    5. Carmen Broto & Matías Lamas, 2016. "Measuring market liquidity in us fixed income markets: a new synthetic indicator," Working Papers 1608, Banco de España.

  15. Erik Vogt, 2014. "Option-implied term structures," Staff Reports 706, Federal Reserve Bank of New York.

    Cited by:

    1. Sang Byung Seo & Jessica A. Wachter, 2019. "Option Prices in a Model with Stochastic Disaster Risk," Management Science, INFORMS, vol. 65(8), pages 3449-3469, August.
    2. Baeho Kim & Da‐Hea Kim & Haehean Park, 2020. "Informed options trading on the implied volatility surface: A cross‐sectional approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(5), pages 776-803, May.

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MST: Market Microstructure (6) 2016-10-23 2016-10-30 2017-11-26 2020-03-02 2020-03-02 2020-03-02. Author is listed
  2. NEP-FMK: Financial Markets (3) 2015-04-25 2016-10-23 2017-11-26
  3. NEP-IFN: International Finance (2) 2016-08-21 2016-08-21
  4. NEP-ACC: Accounting and Auditing (1) 2020-03-02
  5. NEP-BAN: Banking (1) 2016-10-23
  6. NEP-CFN: Corporate Finance (1) 2016-10-23
  7. NEP-ECM: Econometrics (1) 2015-01-14
  8. NEP-MAC: Macroeconomics (1) 2016-08-21
  9. NEP-RMG: Risk Management (1) 2016-08-21
  10. NEP-UPT: Utility Models and Prospect Theory (1) 2016-08-21

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