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Adrian, Tobias; Boyarchenko, Nina - Federal Reserve Bank of New York - 2013

We document the cyclical properties of the balance sheets of different types of intermediaries. While the leverage of … the bank sector is highly procyclical, the leverage of the nonbank financial sector is acyclical. We propose a theory of a … two-agent financial intermediary sector within a dynamic model of the macroeconomy. Banks are financed by issuing risky …

Persistent link: https://www.econbiz.de/10011027229

Intermediary Leverage Cycles and Financial Stability

Adrian, Tobias; Boyarchenko, Nina - Becker Friedman Institute for Research in Economics, … - 2012

We develop a theory of financial intermediary leverage cycles in the context of a dynamic model of the macroeconomy … dynamics of the economy: the net worth and the leverage of financial intermediaries. The leverage of the intermediaries is … procyclical owing to risk-sensitive funding constraints. Relative to an economy with constant leverage, financial intermediaries …

Persistent link: https://www.econbiz.de/10011142282

Monetary policy, financial conditions, and financial stability

Adrian, Tobias; Liang, J. Nellie - Federal Reserve Bank of New York - 2014

monetary policy’s risk-return trade-off, including 1) pricing of risk, 2) leverage, 3) maturity and liquidity mismatch, and 4 …

Persistent link: https://www.econbiz.de/10010892318

Dealer balance sheets and bond liquidity provision

Adrian, Tobias; Boyarchenko, Nina; Shachar, Or - 2016

Do regulations decrease dealer incentives to intermediate trades? Using a unique data set of dealer-bond-level transactions, we construct the dealer-specific market liquidity metrics for the U. S. corporate bond market. Unlike prior studies, the transactions that we observe are uncapped in size...

Persistent link: https://www.econbiz.de/10011796446

Funding liquidity risk and the cross-section of stock returns

Adrian, Tobias; Etula, Erkko - 2010

We derive equilibrium pricing implications from an intertemporal capital asset pricing model where the tightness of financial intermediaries' funding constraints enters the pricing kernel. We test the resulting factor model in the cross-section of stock returns. Our empirical results show that...

Persistent link: https://www.econbiz.de/10010287035

Which financial frictions? Parsing the evidence from the financial crisis of 2007-09

Adrian, Tobias; Colla, Paolo; Shin, Hyun Song - 2011

The financial crisis of 2007-09 has sparked keen interest in models of financial frictions and their impact on macro activity. Most models share the feature that borrowers suffer a contraction in the quantity of credit. However, the evidence suggests that although bank lending contracted during...

Persistent link: https://www.econbiz.de/10010287133

Funding liquidity risk and the cross-section of stock returns

Adrian, Tobias; Etula, Erkko M. - 2010

We derive equilibrium pricing implications from an intertemporal capital asset pricing model where the tightness of financial intermediaries’ funding constraints enters the pricing kernel. We test the resulting factor model in the cross-section of stock returns. Our empirical results show that...