Governor Randall S. Kroszner presented identical remarks at the Bankers' Association for Finance and Trade, New York, New York, on June 15, 2006

Governor Randall S. Kroszner presented identical remarks at the Institute of International Bankers, New York, New York, June 15, 2006

Governor Randall S. Kroszner presented identical remarks at the Bankers' Association for Finance and Trade, New York, New York, on June 15, 2006

This paper examines the impact of large-scale asset purchases (LSAP) on U.S. asset prices (nominal and inflation-indexed bonds, stocks, and U.S. dollar spot exchange rates) using an event study with intraday data. The surprise component of LSAP announcements is identified from Financial Times...

Remarks at The Economic Club of New York, New York City.

We propose a tractable equilibrium model for pricing defaultable bonds that are subject to contagion risk. Contagion arises because agents with ‘fragile beliefs’ are uncertain about both the underlying state of the economy and the posterior probabilities associated with these states. As...

We propose a new class of dynamic order book models that allow us to 1) study episodes of extreme low liquidity and 2) unite liquidity and volatility in one framework through which their joint dynamics can be examined. Liquidity and volatility in the U.S. Treasury securities market are analyzed...

Remarks at The Economic Club of New York, New York City.

This paper presents a new approach to analysing recent movements of EMU sovereign bond spreads. Based on a GARCH-in-mean model originally used in the exchange rate target zone literature, spreads are decomposed into a risk premium, an expected loss component and a liquidity premium. Time-varying...

Bond Volatility Transmissions Between United States and European MarketsSeth KulmanFaculty Sponsor: Gordon Dash, Finance and Decision SciencesRecent events have illustrated the degree of connection between the world’s economies. Economic events occurring in one country are felt in countless...