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.

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 working paper comments on Monika Piazzesi and Martin Schneider's "Bond Positions, Expectations, and the Yield Curve," delivered at the Fiscal Policy and Monetary/Fiscal Policy Interactions conference held at the Atlanta Fed on April 19–20, 2007.

This paper implements a structural model of the yield curve with data on nominal positions and survey forecasts. Bond prices are characterized in terms of investors' current portfolio holdings as well as their subjective beliefs about future bond payoffs. Risk premia measured by an...

Affine term structure models in which the short rate follows a jump-diffusion process are difficult to solve, and the parameters of such models are hard to estimate. Without analytical answers to the partial difference differential equation (PDDE) for bond prices implied by jump-diffusion...

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...