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Inference, arbitrage, and asset price volatility

Adrian, Tobias (contributor) - 2004 - [Elektronische Ressource], Rev. February 2008

effect). In equilibrium, the presence of arbitrageurs increases volatility when the inference effect dominates the arbitrage …Does the presence of arbitrageurs decrease equilibrium asset price volatility? I study an economy with arbitrageurs …, informed investors, and noise traders. Arbitrageurs face a trade-off between arbitrage and inference: they would like to buy …

Persistent link: https://www.econbiz.de/10002101431

Welcoming remarks at Workshop on the Risks of Wholesale Funding

Dudley, William - Federal Reserve Bank of New York - 2014

Remarks at the Workshop on the Risks of Wholesale Funding, Federal Reserve Bank of New York, New York City.

Persistent link: https://www.econbiz.de/10010890130

A general approach to integrated risk management with skewed, fat-tailed risks

Rosenberg, Joshua V. (contributor); … - 2004 - [Elektronische Ressource]

The goal of integrated risk management in a financial institution is to measure and manage risk and capital across a range of diverse business activities. This requires an approach for aggregating risk types (market, credit, and operational) whose distributional shapes vary considerably. In this...

Persistent link: https://www.econbiz.de/10002101503

Common determinants of bond and stock market liquidity : the impact of financial crises, monetary policy, and mutual fund flows

Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2001 - [Elektronische Ressource]

We study common determinants of daily bid-ask spreads and trading volume for the bond and stock markets over the 1991-98 period. We find that spread changes in one market are affected by lagged spread and volume changes in both markets. Further, spread and volume changes are predictable to a...

Persistent link: https://www.econbiz.de/10001629622

An empirical analysis of stock and bond market liquidity

Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2003 - [Elektronische Ressource]

This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid-ask spreads and depth), returns, volatility, and...

Persistent link: https://www.econbiz.de/10001752003

A leverage-based measure of financial instability

Borowiecki, Karol Jan; Tepper, Alexander - Federal Reserve Bank of New York - 2014

We employ a model of leverage-induced explosive behavior in financial markets to develop a measure of financial market instability. Specifically, we derive a quantitative condition for how large levered investors can become relative to the whole market before the demand curve for securities...

Persistent link: https://www.econbiz.de/10010890135

Restoring confidence in reference rates

Dudley, William - Federal Reserve Bank of New York - 2014

Remarks at the Salomon Center for the Study of Financial Institutions, New York University Stern School of Business, New York City.

Persistent link: https://www.econbiz.de/10010933947

Arbitrage-free affine models of the forward price of foreign currency

Durham, J. Benson - Federal Reserve Bank of New York - 2014

inferences about anticipated returns. This study derives arbitrage-free affine forward currency models (AFCMs) with closed …

Persistent link: https://www.econbiz.de/10010751385

Arbitrage-free models of stocks and bonds

Durham, J. Benson - Federal Reserve Bank of New York - 2013

A small but ambitious literature uses affine arbitrage-free models to estimate jointly U.S. Treasury term premiums and …

Persistent link: https://www.econbiz.de/10010735679

Another view on U.S. Treasury term premiums

Durham, J. Benson - Federal Reserve Bank of New York - 2013

The consensus suggests that subdued nominal U.S. Treasury yields on balance since the onset of the global financial crisis primarily reflect exceptionally low, if not occasionally negative, term premiums as opposed to low anticipated short rates. Depressed term premiums plausibly owe to...

Persistent link: https://www.econbiz.de/10010735681