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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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 Central Bank Dollar Swap Lines and Overseas Dollar Funding CostsThis 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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| Repo Market Effects of the Term Securities Lending Facility The authors assess the effectiveness of the Term Securities Lending Facility and find that it has precipitated a significant narrowing of repurchase agreement (repo) spreads between Treasury collateral and less liquid collateral. By Michael J. Fleming, Warren B. Hrung, and Frank Keane, Staff Reports 426, January 2010 |
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| The Federal Reserve's Commercial Paper Funding Facility This paper documents aspects of the financial crisis relevant to the creation of the CPFF, reviews the operation of the CPFF, discusses use of the facility, and draws conclusions for lender-of-last-resort facilities in a market-based financial system. By Tobias Adrian, Karin Kimbrough, and Dina Marchioni, Staff Reports 423, January 2010 |
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| Financial Intermediation, Asset Prices,
and Macroeconomic Dynamics The authors findings point to the importance of financing frictions in macroeconomic dynamics and provide quantitative guidance for preemptive macroprudential and monetary policies. By Tobias Adrian, Emanuel Moench, and Hyun Song Shin, Staff Reports 422, January 2010 |
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