R. Jay Kahn

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

  • Board of Governors of the Federal Reserve System

SCHOLARLY PAPERS

9

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Scholarly Papers (9)

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1.

Estimating and Testing Dynamic Corporate Finance Models

Number of pages: 55 Posted: 17 Mar 2012 Last Revised: 07 Jul 2017
Santiago Bazdresch, R. Jay Kahn and Toni M. Whited
Banco de México, Board of Governors of the Federal Reserve System and University of Michigan, Stephen M. Ross School of Business
Downloads 1,808 (15,883)
Citation 29

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dynamic models of capital structure, policy function, value function, model evaluation, Monte Carlo

2.

Identification with Models and Exogenous Data Variation

Forthcoming, Foundations and Trends in Accounting, Ross School of Business Paper No. 1323
Number of pages: 12 Posted: 02 Jul 2016 Last Revised: 11 Oct 2016
R. Jay Kahn and Toni M. Whited
Board of Governors of the Federal Reserve System and University of Michigan, Stephen M. Ross School of Business
Downloads 1,246 (27,915)
Citation 1

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Identification, Causality, Natural Experiments, Structural Estimation

3.

Identification Is Not Causality, and Vice Versa

Number of pages: 27 Posted: 09 Aug 2017
R. Jay Kahn and Toni M. Whited
Board of Governors of the Federal Reserve System and University of Michigan, Stephen M. Ross School of Business
Downloads 1,202 (29,426)
Citation 9

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4.

Hedge Funds and the Treasury Cash-Futures Disconnect

OFR WP 21-01
Number of pages: 85 Posted: 06 Apr 2021 Last Revised: 30 May 2023
Daniel Barth and R. Jay Kahn
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 651 (68,337)
Citation 6

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Treasuries, repo, futures, basis trade, hedge fund, securities dealers, liquidity

5.

The Term Structure of the Price of Variance Risk

FRB of New York Staff Report No. 736 Rev. June 2023
Number of pages: 22 Posted: 07 Aug 2015 Last Revised: 16 Jun 2023
Marianne Andries, Thomas M. Eisenbach, R. Jay Kahn, Martin C. Schmalz and Martin C. Schmalz
University of Southern California, Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System and CEPRUniversity of Oxford - Finance
Downloads 423 (115,699)
Citation 6

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volatility risk, option returns, term structure

6.

Corporate Finance Under Safe Asset Scarcity

Number of pages: 71 Posted: 09 Dec 2018 Last Revised: 11 Nov 2020
R. Jay Kahn
Board of Governors of the Federal Reserve System
Downloads 290 (175,062)

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investment, corporate cash, safe assets, liquidity premium

7.

Central Banker to the World: Foreign Reserve Management and U.S. Money Market Liquidity

Federal Reserve Bank of Kansas City Working Paper No. 22-08
Number of pages: 70 Posted: 08 Sep 2022 Last Revised: 19 Dec 2022
Ron Alquist, R. Jay Kahn, Karlye Dilts Stedman and Karlye Dilts Stedman
Financial Stability Oversight Council, U.S. Treasury, Board of Governors of the Federal Reserve System and Federal Reserve Bank of Kansas Cityaffiliation not provided to SSRN
Downloads 275 (184,810)

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Treasury market, repurchase agreements, market liquidity, exorbitant privilege, fixed exchange rate regime

8.

Anatomy of the Repo Rate Spikes in September 2019

OFR 23-04
Number of pages: 24 Posted: 26 Apr 2023
Mark E. Paddrik, H. Peyton Young, R. Jay Kahn, Matthew McCormick and Vy Nguyen
Government of the United States of America - Office of Financial Research, Government of the United States of America - Office of Financial Research, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of Dallas and U.S. Department of the Treasury
Downloads 110 (407,095)

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Repurchase agreements, financial intermediation, market segmentation, short-term funding, rate spikes

9.

Recent Developments in Hedge Funds’ Treasury Futures and Repo Positions: Is the Basis Trade “Back"?

FEDS Notes No. 2023-08-30-2
Posted: 13 Sep 2023
Daniel Barth, R. Jay Kahn and Robert Mann
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Office of Financial Research

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