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Trading risk and volatility in interest rate swap spreads
Kambhu, John (contributor) - 2004 - [Elektronische Ressource]
This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … swap spread tends to converge to a long-run level, although trading risk can sometimes cause the spread to diverge from … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility …
Persistent link: https://www.econbiz.de/10001936329
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Inference, arbitrage, and asset price volatility
Adrian, Tobias (contributor) - 2004 - [Elektronische Ressource], Rev. February 2008
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 assets in response to temporary price declines (the...
Persistent link: https://www.econbiz.de/10002101431
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Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds
Adrian, Tobias; Crump, Richard K.; Vogt, Erik - Federal Reserve Bank of New York - 2015
where the time variation of the price of risk is a function of the level of the VIX. …
Persistent link: https://www.econbiz.de/10011254934
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The equity risk premium: a review of models
Duarte, Fernando; Rosa, Carlo - Federal Reserve Bank of New York - 2015
We estimate the equity risk premium (ERP) by combining information from twenty models. The ERP in 2012 and 2013 reached …
Persistent link: https://www.econbiz.de/10011185869
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Option-implied term structures
Vogt, Erik - Federal Reserve Bank of New York - 2014
long-maturity illiquidity. By building a sieve estimator around the risk-neutral valuation equation, the framework … term structure of the variance risk premium and finds that a short-run component dominates market excess return …
Persistent link: https://www.econbiz.de/10011103532
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Asset price effects of peer benchmarking: evidence from a natural experiment
Acharya, Sushant; Pedraza, Alvaro - Federal Reserve Bank of New York - 2015
We estimate the effects of peer benchmarking by institutional investors on asset prices. To identify trades purely due to peer benchmarking as separate from those based on fundamentals or private information, we exploit a natural experiment involving a change in a government-imposed...
Persistent link: https://www.econbiz.de/10011272877
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ECB monetary operations and the interbank repo market
Dunne, Peter G.; Fleming, Michael J.; Zholos, Andrey - Federal Reserve Bank of New York - 2013
We examine the relationship between monetary policy operations and interbank borrowing and lending of funds using sovereign bonds as collateral. We first establish that, in the precrisis period, there are important but rather weak relations between these funding sources and that this...
Persistent link: https://www.econbiz.de/10010732481
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LIBOR: origins, economics, crisis, scandal, and reform
Skeie, David R.; Hou, David - Federal Reserve Bank of New York - 2014
The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable-rate mortgage and student loans....
Persistent link: https://www.econbiz.de/10010757406
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Simple and reliable way to compute option-based risk-neutral distributions
Malz, Allan M. - Federal Reserve Bank of New York - 2014
This paper describes a method for computing risk-neutral density functions based on the option-implied volatility smile …
Persistent link: https://www.econbiz.de/10010823096