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| Our economists research and analyze a range of issues involving asset pricing, market microstructure, and other financial market topics. |
| Features |
| The Second New York Fed — Princeton Liquidity Conference Financial markets experienced extraordinary events in August 2007. The increase in delinquency rates in subprime mortgages coupled with the mismatch of the maturity structure of off-balance-sheet conduits and structured investment vehicles led to a sudden drying up of the asset-backed commercial paper market and higher money market interest rate spreads. This conference brought together experts in liquidity and researchers to further the understanding of these mechanisms and to link them to current policy tools. |
| RECENT ARTICLES |
Liquidity, Monetary Policy, and Financial CyclesThe authors of this study argue that the growth rate of aggregate balance sheets may be the most fitting measure of liquidity in a market-based financial system. By Tobias Adrian and Hyun Song Shin, Current Issues in Economics and Finance (14) 1, January/February 2008 |
Signal or Noise? Implications of the Term Premium for Recession ForecastingThis article examines whether changes in the term premium can distort the recession signal given by an inverted yield curve. The authors compare the recession forecasting performance of models with and without the term premium and find that, while the interest rate expectations component of the term spread is a leading indicator of recession, the term premium component is not. By Joshua V. Rosenberg and Samuel Maurer, Economic Policy Review, Forthcoming |
Macro News, Risk-Free Rates, and the Intermediary: Customer Orders for Thirty-Year Treasury FuturesThe authors examine macro news events in the thirty-year Treasury futures market to identify causality from customer flow to risk-free rates. By Albert J. Menkveld, Asani Sarkar, and Michel van der Wel, Staff Reports 307, November 2007 |
The Effect of Employee Stock Options on Bank Investment Choice, Borrowing, and CapitalIn this paper, we test the hypothesis that granting employee stock options motivates CEOs of banking firms to undertake riskier projects, and we also investigate whether granting employee stock options reduces the bank’s incentive to borrow while inducing a buildup of regulatory capital. By Hamid Mehran and Joshua Rosenberg, Staff Reports 305, October 2007 |
Market Sidedness: Insights into Motives for Trade Initiation We infer motives for trade initiation from market sidedness. We define trading as more two-sided (one-sided) if the correlation between the numbers of buyer- and seller-initiated trades increases (decreases), and assess changes in sidedness (relative to a control sample) around events that identify trade initiators. By Asani Sarkar and Robert A. Schwartz, The Journal of Finance, Forthcoming |
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| CURRENT FINANCIAL INDICATORS |
| The Yield Curve as a Leading Indicator Research on the yield curve as a predictor of future real U.S. economic activity. |
| Business
Finance Bonds issued, corporate equity proceeds, seasonally-adjusted business loans and seasonally-adjusted nonfinancial commercial paper outstanding. 1 page / 23 kb |
| Household
Debt Statistics Household debt burden, debt service and borrowing rates. 1 page / 16 kb |
| Interest
Rates Short and long-term interest rates and Treasury yield curve. 1 page / 16 kb |
| Stock
Price Indexes and Valuation Ratios Stock price indexes, price-to-earnings ratio and dividend yield. 1 page / 23 kb |
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