Earlier studies have presented mixed evidence on the rationality of the Federal Reserve's preliminary money stock estimates. The authors investigate the rationality of M1A, M1, M2, and M3 for both seasonally and not seasonally adjusted data. They find preliminary growth rates of these aggregates...

Do bond investors demand credit quality or liquidity? The answer is both, but at different times and for different reasons. Using data on the Euro-area government bond market, which features a unique negative correlation between credit quality and liquidity across countries, we show that the...

We examine the role of price discovery in the U.S. Treasury market through the empirical relationship between orderflow, liquidity, and the yield curve. We find that orderflow imbalances (excess buying or selling pressure) can account for as much as 26 percent of the day-to-day variation in...

We investigate the formation and structure of 248 financial exchangesthroughout the world. First, we empirically analyze the determinantsof exchange formation as well as the impact of exchange formation onthe domestic country's economy. Second, conditional on formation, weuse a probit model to...

The paper conducts a regression analysis utilizing both futures and cash market prices and net orderflow to determine where price discovery takes place as well as the forces at play that influence the location. Specifically, given the strong theoretical linkage between the U.S. Treasury cash and...

Investors rebalance their portfolios as their views about expected returns and risk change. We use empirical measures of portfolio rebalancing to back out investors' views, specifically their views about the state of the economy. We show that aggregate portfolio rebalancing across equity sectors...

Investors rebalance their portfolios as their views about expected returns and risk change. We use empirical measures of portfolio rebalancing to back out investors' views, specifically, their views about the state of the economy. We show that aggregate portfolio rebalancing across equity...