Economic Research

Has U.S. Corporate Bond Market Liquidity Deteriorated?
In the corporate debt market, dealer positions, which are considered essential to good liquidity, have declined, even as issuance and outstanding debt have increased. To measure market liquidity in the corporate bond market, the bloggers review both price- and quantity-based liquidity measures for the market, including trading volume, trade size, bid-ask spreads, and price impact.
By Tobias Adrian, Michael Fleming, Or Shachar, and Erik Vogt
Introduction to a Series on Market Liquidity: Part 2
First in a seven-part series. This week, Liberty Street Economics will publish a second series of six posts that shed light on the evolving nature of market liquidity. The bloggers examine various measures of liquidity in the corporate bond market; measure liquidity risk in the corporate bond, Treasury, and equity markets; examine the changing role of dealers; and examine the potential for increased uncertainty about the level of liquidity in markets where high-frequency trading is common.
By Tobias Adrian, Michael Fleming, and Ernst Schaumburg
Crisis Chronicles: Defensive Suspension and the Panic of 1857
In this edition of Crisis Chronicles, the bloggers describe the Panic of 1857 and explain why businesses pushed for national suspension to save themselves.
By Thomas Klitgaard and James Narron
Introducing Our New App: Economic Research Tracker
In this post, the Bank’s Research director introduces a new option for keeping up with our economists’ work—the Economic Research Tracker for Apple iPad. We invite readers to download the app and begin exploring bylines and topics of interest.
By Jamie McAndrews
Natural Experiment Sheds Light on the Market Effects of Herding
The Minimum Return Guarantee (MRG), a peer-based underperformance penalty among Colombian pension fund managers, is intended to protect the interests of pension-fund beneficiaries by limiting unnecessary risk taking by fund managers. However, the bloggers find that by relying on a benchmark based on peer returns, the regulation incentivizes herding behavior.
By Sushant Acharya and Alvaro Pedraza
Assessing Market Liquidity
In a series on Liberty Street Economics, our bloggers considered factors that might be driving a change in the nature of liquidity in key financial markets since the financial crisis.
Research Analyst Opportunities for College Graduates
The New York Fed’s Research Group is looking for talented individuals with a background in economics, mathematics, or statistics. We are now accepting applications for the RA position with a summer 2016 start date.
Supplemental Survey Report
In the September Survey, manufacturers and service firms were asked how much their overall selling prices had changed over the past year and how much they expected their prices to rise or fall in the year ahead.
Business Leaders Survey
Business Leaders Survey
The September 2015 survey indicates that activity in the region’s service sector continued to expand modestly.
Empire State Manufacturing Survey
Empire State Manufacturing Survey
Latest survey for September 2015 finds business conditions index remained well below zero at -14.7.
U.S. Economy in a Snapshot
U.S. Economy in a Snapshot is a monthly presentation designed to give you a quick and accessible look at developments in the economy.
SCE Housing Survey
SCE Housing Survey—2015
Our 2015 survey finds U.S. households remain broadly optimistic about the housing market. Most renters report that they would rather own than rent if they had the necessary financial resources. As in last year’s survey, a majority believe that it would be difficult to obtain a mortgage, although responses suggest a slight easing in perceived credit access.
Recent Articles
Evaluating the Information in the Federal Reserve Stress Tests
As the annual supervisory stress test processes have evolved, the Federal Reserve has provided increasingly detailed public disclosures about the tests’ results and implications. This paper evaluates how the publication of this official sector analysis affects private investors’ assessments of the tested bank holding companies’ values.
By Mark Flannery, Beverly Hirtle, and Anna Kovner, Staff Reports 744, October 2015
The Cyclicality of Leverage
The authors document empirically that banks base their balance sheet management on book equity and book leverage. They also present evidence that balance sheet management of intermediaries is linked to market risk, which directly affects firms’ ability to take on leverage.
By Tobias Adrian, Nina Boyarchenko, and Hyun Song Shin, Staff Reports 743, October 2015
Macroprudential Policy: Case Study from a Tabletop Exercise
This paper presents a macroprudential tabletop exercise designed to provide Federal Reserve Bank Presidents with a plausible, albeit hypothetical, macro-financial scenario that would lend itself to macroprudential considerations. It describes the hypothetical macro-financial scenario, the set of macroprudential tools, their transmission mechanism, as well as an account of the participants’ assessment of vulnerabilities and potential policy actions under the scenario.
By Tobias Adrian, Patrick de Fontnouvelle, Emily Yang, and Andrei Zlate, Staff Reports 742, October 2015
Interest Rates and the Market for New Light Vehicles
The authors measure the dynamic response of real prices, sales, production, and inventories to changes in real interest rates for a particular durable goods market—new cars and light trucks. This is an important issue because the market for durable goods is a key channel through which monetary policy affects the real economy.
By Adam Copeland, George Hall, and Louis Maccini, Staff Reports 741, September 2015
Reference Guide to U.S. Repo and Securities Lending Markets
The authors present the institutional structure of the U.S. repo and securities lending markets and describe the market landscape, the role of the participants, and other characteristics, including how repo and securities lending activity has changed since the 2007-09 financial crisis. They then discuss vulnerabilities in the repo and short-term wholesale funding markets and efforts to limit potential systemic risks.
By Viktoria Baklanova, Adam Copeland, and Rebecca McCaughrin, Staff Reports 740, September 2015
Intended College Attendance: Evidence from an Experiment on College Returns and Costs
For children whose households are in the lowest quintile of the U.S. income distribution, nearly half of high school graduates do not enroll in college. Given the robust return associated with a college degree, as well as college tuition subsidies for lower-income households, these patterns continue to puzzle researchers and policymakers alike. This paper focuses on information constraints as one possible explanation for these patterns.
By Zachary Bleemer and Basit Zafar, Staff Reports 739, September 2015
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