Asani Sarkar

Federal Reserve Bank of New York

Economist

Research Department

33 Liberty Street

New York, NY 10045

United States

http://www.newyorkfed.org/research/economists/sarkar/pub.html

SCHOLARLY PAPERS

39

DOWNLOADS
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CITATIONS
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Top 1,481

in Total Papers Citations

376

Scholarly Papers (39)

1.
Downloads 3,140 ( 2,334)
Citation 135

An Empirical Analysis of Stock and Bond Market Liquidity

FRB NY Staff Report No. 164
Number of pages: 61 Posted: 01 Nov 2001
Emory University - Department of Finance, Federal Reserve Bank of New York and University of California, Los Angeles (UCLA) - Finance Area
Downloads 3,140 (2,274)
Citation 135

Abstract:

An Empirical Analysis of Stock and Bond Market Liquidity

Review of Financial Studies, Forthcoming
Posted: 29 Mar 2004
Emory University - Department of Finance, Federal Reserve Bank of New York and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

2.
Downloads 2,048 ( 4,930)
Citation 16

Stock Market Crises in Developed and Emerging Markets

Number of pages: 28 Posted: 06 Jul 1998
Asani Sarkar and Sandeep A. Patel
Federal Reserve Bank of New York and Standard & Poor's - Information Services
Downloads 2,048 (4,823)
Citation 16

Abstract:

Stock Market Crises in Developed and Emerging Markets

Financial Analysts Journal
Posted: 17 Sep 1998
Asani Sarkar and Sandeep A. Patel
Federal Reserve Bank of New York and Standard & Poor's - Information Services

Abstract:

3.

Liquidity in U.S. Fixed Income Markets: A Comparison of the Bid-Ask Spread in Corporate, Government and Municipal Bond Markets

FRB of New York Staff Report No. 73
Number of pages: 43 Posted: 04 Jun 1999
Sugato Chakravarty and Asani Sarkar
Purdue University and Federal Reserve Bank of New York
Downloads 1,516 (6,886)
Citation 32

Abstract:

Information Asymmetry, Market Segmentation, and the Pricing of Cross-Listed Shares: Theory and Evidence from Chinese A and B Shares

Number of pages: 47 Posted: 31 Aug 1998
Sugato Chakravarty, Asani Sarkar and Lifan Wu
Purdue University, Federal Reserve Bank of New York and California State University, Los Angeles - Department of Finance and Law
Downloads 1,185 (12,086)
Citation 33

Abstract:

Information Asymmetry, Market Segmentation, and the Pricing of Cross-Listed Shares: Theory and Evidence from Chinese A and B Shares

Journal of International Financial Markets
Posted: 01 Sep 1998
Sugato Chakravarty, Asani Sarkar and Lifan Wu
Purdue University, Federal Reserve Bank of New York and California State University, Los Angeles - Department of Finance and Law

Abstract:

Diversification Benefits of Emerging Markets Subject to Portfolio Constraints

Working Paper No. UBCFIN99-5, Sauder School of Business Working Paper
Number of pages: 24 Posted: 23 Jun 2001
Kai Li, Asani Sarkar and Zhenyu Wang
University of British Columbia (UBC) - Sauder School of Business, Federal Reserve Bank of New York and University of Texas at Austin - Department of Finance
Downloads 887 (18,828)
Citation 31

Abstract:

International diversification, short-sale constraints, home bias, asset allocation, Bayesian inference

Diversification Benefits of Emerging Markets Subject to Portfolio Constraints

Journal of Empirical Finance, Vol. 10
Posted: 06 Jun 2003
Kai Li, Asani Sarkar and Zhenyu Wang
University of British Columbia (UBC) - Sauder School of Business, Federal Reserve Bank of New York and University of Texas at Austin - Department of Finance

Abstract:

International diversification, short-sale constraints, home bias, asset allocation, Bayesian inference

6.

Liquidity Dynamics and Cross-Autocorrelations

FRB of New York Staff Report No. 303
Number of pages: 50 Posted: 24 Sep 2007 Last Revised: 18 Feb 2011
Emory University - Department of Finance, Federal Reserve Bank of New York and University of California, Los Angeles (UCLA) - Finance Area
Downloads 669 (28,806)
Citation 7

Abstract:

lead-lag, returns, small stocks, large stocks, microstructure, information

7.

Traders' Broker Choice, Market Liquidity and Market Structure

FRB of New York Staff Report No. 28
Number of pages: 43 Posted: 11 Nov 2006
Sugato Chakravarty and Asani Sarkar
Purdue University and Federal Reserve Bank of New York
Downloads 650 (29,945)

Abstract:

8.

Securities Trading and Settlement in Europe: Issues and Outlook

Current Issues in Economics and Finance, Vol. 8, No. 4, April 2002
Number of pages: 6 Posted: 16 Mar 2005
Federal Reserve Bank of New York, Federal Reserve Bank of New York, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 433 (46,288)
Citation 3

Abstract:

securities markets, clearing and settlement, stock exchanges, securities trading, securities settlement

9.

Credit Default Swap Auctions

Journal of Fixed Income, Vol. 19, No. 2, 2010
Number of pages: 25 Posted: 21 May 2009 Last Revised: 18 Nov 2013
Jean Helwege, Samuel Maurer, Asani Sarkar and Yuan Wang
UC Riverside, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and John Molson School of Business, Concordia University
Downloads 432 (47,936)
Citation 6

Abstract:

credit default swaps, settlement, auctions, recovery basis, corporate bonds, default

10.

New Evidence on the Time-Varying Correlation between Consumption Growth and Stock Returns for the G7 Countries

FRB of New York Staff Report No. 181, EFMA 2002 London Meetings, EFA 2004 Maastricht Meetings Paper No. 5198
Number of pages: 34 Posted: 20 Jun 2002
Lingjia Zhang and Asani Sarkar
affiliation not provided to SSRN and Federal Reserve Bank of New York
Downloads 425 (51,112)
Citation 1

Abstract:

11.

Electronic Trading on Futures Exchanges

Current Issues in Economics and Finance Vol. 4, No. 1, January 1998
Number of pages: 6 Posted: 03 Jul 2007
Michelle Tozzi and Asani Sarkar
affiliation not provided to SSRN and Federal Reserve Bank of New York
Downloads 397 (56,337)

Abstract:

electronic trading, future exchanges, electronic systems

12.

Should US Investors Hold Foreign Stocks?

Current Issues in Economics and Finance, Vol. 8, No. 3, March 2002, Sauder School of Business Working Paper
Number of pages: 6 Posted: 15 Sep 2004
Kai Li and Asani Sarkar
University of British Columbia (UBC) - Sauder School of Business and Federal Reserve Bank of New York
Downloads 361 (63,050)
Citation 1

Abstract:

International diversification, Short-sale constraints, Home bias, Asset allocation

13.

Can Competition between Brokers Mitigate Agency Conflicts with Their Customers?

Number of pages: 39 Posted: 06 Feb 1997
Sugato Chakravarty and Asani Sarkar
Purdue University and Federal Reserve Bank of New York
Downloads 361 (62,239)

Abstract:

14.

Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-free Rate

Journal of Financial and Quantitative Analysis (JFQA), 17, 821-849, EFA 2007 Ljubljana Meetings Paper, FRB of New York Staff Report No. 307
Number of pages: 44 Posted: 01 Mar 2007 Last Revised: 20 Nov 2012
VU University Amsterdam, Federal Reserve Bank of New York and Erasmus University Rotterdam
Downloads 339 (64,689)
Citation 3

Abstract:

riskfree rate, macroeconomic announcements, customer order flow, intermediary, treasury futures

15.

Capital Constraints, Counterparty Risk, and Deviations from Covered Interest Rate Parity

FRB of New York Staff Report No. 393
Number of pages: 48 Posted: 15 Sep 2009 Last Revised: 08 Jun 2010
Niall Coffey, Warren B. Hrung and Asani Sarkar
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 313 (57,349)
Citation 13

Abstract:

covered interest parity, funding constraints, counterparty credit risk, central bank currence swap lines, financial crisis, foreign exchange

16.

Market Sidedness: Insights into Motives for Trade Initiation

FRB of New York Staff Report No. 292
Number of pages: 56 Posted: 20 Mar 2007
Robert A. Schwartz and Asani Sarkar
Baruch College - CUNY and Federal Reserve Bank of New York
Downloads 305 (72,309)
Citation 17

Abstract:

Trade initiation, sidedness, asymmetric information, heterogeneous beliefs, differential information, demand for immediacy, earnings, macroecnomic announcements, merger news

17.

Informed Trading With Multiple Competitive Brokers

Number of pages: 50 Posted: 16 Oct 1996
Sugato Chakravarty and Asani Sarkar
Purdue University and Federal Reserve Bank of New York
Downloads 299 (76,435)

Abstract:

18.

Discount Window Stigma During the 2007-2008 Financial Crisis

Journal of Financial Economics (JFE), Forthcoming, FRB of New York Staff Report No. 483
Number of pages: 53 Posted: 04 Feb 2011 Last Revised: 18 Aug 2015
Federal Reserve Bank of New York, University of North Carolina Kenan-Flagler Business School, Federal Reserve Bank of New York and Department of Economics, UC San Diego
Downloads 283 (65,980)

Abstract:

Discount Window, Term Auction Facility, Stigma, Crisis, ABCP, TriParty Repo, monetary policy

19.

A General Analysis of Brokers' Trading, With Applications to Order Flow Internalization and Off-Exchange Block Sales

Number of pages: 32 Posted: 01 Jun 1998
Sugato Chakravarty and Asani Sarkar
Purdue University and Federal Reserve Bank of New York
Downloads 280 (82,765)
Citation 1

Abstract:

20.

Is There an S&P 500 Index Effect?

FIRS 2013
Number of pages: 56 Posted: 06 Nov 2012 Last Revised: 06 Jun 2014
Maria Kasch and Asani Sarkar
University of Mannheim - Department of Finance and Federal Reserve Bank of New York
Downloads 243 (97,901)
Citation 1

Abstract:

S&P 500 inclusions, Pre-inclusion performance, Factor betas, Price and earnings momentum, Value effect

Liquidity Risk, Credit Risk and the Federal Reserve’s Responses to the Crisis

FRB of New York Staff Report No. 389
Number of pages: 26 Posted: 15 Sep 2009
Asani Sarkar
Federal Reserve Bank of New York
Downloads 240 (98,726)
Citation 6

Abstract:

crisis response, Federal Reserve, counterparty credit risk, liquidity risk, limits to arbitrage

Liquidity Risk, Credit Risk, and the Federal Reserve’s Responses to the Crisis

Financial Markets and Portfolio Management, Vol. 23, No. 4, pp. 335-348, 2009
Posted: 19 Jun 2010
Asani Sarkar
Federal Reserve Bank of New York

Abstract:

Crisis, The Federal Reserve, Liquidity facilities, Credit risk

22.

Securitizing Property Catastrophe Risk

Current Issues in Economics and Finance, Vol. 2, No. 9, August 1996
Number of pages: 6 Posted: 18 Jul 2007
Sara Borden and Asani Sarkar
affiliation not provided to SSRN and Federal Reserve Bank of New York
Downloads 228 (97,901)
Citation 1

Abstract:

securitization, catastrophe risk, property, derivatives

Fifteen Minutes of Fame? The Market Impact of Internet Stock Picks

Staff Report No. 158, January 2003, AFA 2003 Washington, DC Meetings
Number of pages: 56 Posted: 29 Sep 2002
Peter Antunovich and Asani Sarkar
Morgan Stanley Dean Witter & Co. Inc. and Federal Reserve Bank of New York
Downloads 214 (110,899)
Citation 3

Abstract:

liquidity externality, internet stock picks

Fifteen Minutes of Fame? The Market Impact of Internet Stock Picks

Journal of Business, Vol. 79, No. 6, pp. 3209-51, November 2006
Posted: 14 Jun 2005
Peter Antunovich and Asani Sarkar
Morgan Stanley Dean Witter & Co. Inc. and Federal Reserve Bank of New York

Abstract:

Liquidity externality, Internet stock picks, market efficiency

24.

Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes

FRB of New York Staff Report No. 395
Number of pages: 39 Posted: 28 May 2009
Erasmus University Rotterdam, VU University Amsterdam and Federal Reserve Bank of New York
Downloads 210 (105,415)
Citation 1

Abstract:

market makers, liquidity supply, signing trades, inventory, information, Treasury futures markets

Market Liquidity and Trader Welfare in Multiple Dealer Markets: Evidence From Dual Trading Restrictions

Number of pages: 55 Posted: 09 Nov 1998
Asani Sarkar, Peter Locke and Lifan Wu
Federal Reserve Bank of New York, Texas Christian University and California State University, Los Angeles - Department of Finance and Law
Downloads 186 (126,992)
Citation 2

Abstract:

Market Liquidity and Trader Welfare in Multiple Dealer Markets: Evidence From Dual Trading Restrictions

Journal of Financial and Quantitative Analysis, March 1999
Posted: 09 Nov 1998
Asani Sarkar, Peter Locke and Lifan Wu
Federal Reserve Bank of New York, Texas Christian University and California State University, Los Angeles - Department of Finance and Law

Abstract:

26.

Two-Sided Markets and Intertemporal Trade Clustering: Insights into Trading Motives

FRB of New York Staff Report No. 246
Number of pages: 56 Posted: 15 May 2006
Robert A. Schwartz and Asani Sarkar
Baruch College - CUNY and Federal Reserve Bank of New York
Downloads 164 (137,313)
Citation 2

Abstract:

two-sided markets, trade clustering, trading motives, equity markets, volatility, trading costs

27.

The Global Financial Crisis and Offshore Dollar Markets

Current Issues in Economics and Finance, Vol. 15, No. 6, October 2009
Number of pages: 7 Posted: 29 Oct 2009 Last Revised: 06 Sep 2010
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 135 (141,770)
Citation 7

Abstract:

FX basis swap, LIBOR rate, crisis, demand for dollars, funding costs, covered interest rate parity condition

28.

Financial Amplification Mechanisms and the Federal Reserve's Supply of Liquidity During the Crisis

Economic Policy Review, Vol. 16, No. 1, p. 55, August 2010, FRB of New York Staff Report No. 431
Number of pages: 20 Posted: 17 Sep 2010
Asani Sarkar and Jeffrey Shrader Jr.
Federal Reserve Bank of New York and Department of Economics, UC San Diego
Downloads 131 (152,968)
Citation 4

Abstract:

Financial Amplification Mechanism, Federal Reserve Liquidity Facilities, Balance Sheet, Adverse Selection, Funding Liquidity, Market Liquidity

29.

An Analysis of OTC Interest Rate Derivatives Transactions: Implications for Public Reporting

FRB of New York Staff Report No. 557
Number of pages: 23 Posted: 19 Apr 2012
Federal Reserve Bank of New York, Bank of England, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 127 (150,400)
Citation 2

Abstract:

interest rate derivatives, price reporting, public transparency, standardization

30.

An Analysis of CDS Transactions: Implications for Public Reporting

FRB of New York Staff Report No. 517
Number of pages: 25 Posted: 08 Oct 2011 Last Revised: 18 Sep 2012
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York, Bank of England, Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 127 (143,218)
Citation 6

Abstract:

block trade, clearing eligible, credit derivatives, dealer hedging, price reporting, public transparency

31.

The US Dollar Funding Premium of Global Banks

Number of pages: 70 Posted: 25 Jul 2012
Asani Sarkar and Warren B. Hrung
Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 123 (160,241)
Citation 2

Abstract:

Global banks, European banks, US dollar funding risk, asymmetric information, repo funding, Fed liquidity facilities, crisis.

32.

The Failure Resolution of Lehman Brothers

Economic Policy Review, Forthcoming
Number of pages: 57 Posted: 10 Apr 2014
Michael J. Fleming and Asani Sarkar
Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 102 (127,764)

Abstract:

Chapter 11, derivatives

33.

Dealer Financial Conditions and Lender-of-Last Resort Facilities

FRB of New York Staff Report No. 673
Number of pages: 57 Posted: 20 May 2014
New York University - Leonard N. Stern School of Business, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 30 (272,375)
Citation 1

Abstract:

lender of last resort, central banking, crises, illiquidity, insolvency, stigma

34.

Components of U.S. Financial Sector Growth, 1950-2013

Economic Policy Review, Volume 20, Number 2, March 2014
Number of pages: 27 Posted: 08 Apr 2014 Last Revised: 28 Nov 2014
Samuel Antill, David Hou and Asani Sarkar
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 30 (303,900)

Abstract:

financial sector size, shadow banks, commercial banks, asset management, firm size, leverage

35.

The Effect of the Term Auction Facility on the London Interbank Offered Rate

FRB of New York Staff Report No. 335
Number of pages: 54 Posted: 19 Sep 2015 Last Revised: 05 Jan 2017
James McAndrews, Asani Sarkar and Zhenyu Wang
Federal Reserve Bank of New York, Federal Reserve Bank of New York and Indiana University, Kelley School of Business
Downloads 5 (29,481)
Citation 38

Abstract:

Libor, liquidity, money markets, Term Auction Facility

36.

On the Equivalence of Noise Trader and Hedger Models in Market Microstructure

JOURNAL OF FINANCIAL INTERMEDIATION Vol 3 No 2, 1994
Posted: 23 Dec 1999
Asani Sarkar
Federal Reserve Bank of New York

Abstract:

37.

Estimating the Adverse Selection and Fixed Costs of Trading in Markets with Multiple Informed Traders

Posted: 07 Jul 1998
Sugato Chakravarty, Asani Sarkar and Lifan Wu
Purdue University, Federal Reserve Bank of New York and California State University, Los Angeles - Department of Finance and Law

Abstract:

38.

Estimating the Adverse Selection Cost in Markets with Multiple Informed Traders

Posted: 18 Sep 1997
Sugato Chakravarty, Asani Sarkar and Lifan Wu
Purdue University, Federal Reserve Bank of New York and California State University, Los Angeles - Department of Finance and Law

Abstract:

39.

Abstract: