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

45

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Top 3,279

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173

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234

Scholarly Papers (45)

1.
Downloads 5,570 ( 1,891)

Non-Standard Errors

University of St.Gallen, School of Finance Research Paper No. 2021/17
Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 08 Apr 2022
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, Auburn University, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City, University of London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, HEC Montreal, The University of Adelaide, Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU University Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna University of Economics and Business - Department of Finance, Accounting & Statistics, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, VU University Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, VU University Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 5,570 (1,963)

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non-standard errors, multi-analyst approach, liquidity

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 3,385 (4,632)
Citation 81

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An Empirical Analysis of Stock and Bond Market Liquidity

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

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3.
Downloads 2,239 ( 9,220)
Citation 11

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 2,239 (9,055)
Citation 11

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Stock Market Crises in Developed and Emerging Markets

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

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4.

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
Krannert School of Management and Federal Reserve Bank of New York
Downloads 2,203 (9,460)
Citation 64

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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
Krannert School of Management, Federal Reserve Bank of New York and California State University, Los Angeles - Department of Finance and Law
Downloads 1,274 (21,979)
Citation 8

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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
Krannert School of Management, Federal Reserve Bank of New York and California State University, Los Angeles - Department of Finance and Law

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6.

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 1,134 (26,520)
Citation 8

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Chapter 11, derivatives

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 1,002 (31,225)
Citation 7

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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

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

8.

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 725 (49,416)
Citation 6

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

9.

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: 04 Apr 2022
James McAndrews, Asani Sarkar and Zhenyu Wang
Wharton Financial Institutions Center, Federal Reserve Bank of New York and Indiana University, Kelley School of Business
Downloads 713 (50,512)
Citation 13

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Libor, liquidity, money markets, Term Auction Facility

10.

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
Krannert School of Management and Federal Reserve Bank of New York
Downloads 675 (54,311)

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11.

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 612 (61,572)
Citation 78

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

12.

Securities Trading and Settlement in Europe: Issues and Outlook

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 567 (67,812)

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

13.

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 547 (70,960)
Citation 3

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

14.

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 Concordia University, Quebec
Downloads 519 (75,717)
Citation 9

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

15.

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 447 (90,542)
Citation 1

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16.

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
Vrije Universiteit Amsterdam, Federal Reserve Bank of New York and Erasmus University Rotterdam
Downloads 440 (92,218)
Citation 9

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

17.

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 438 (92,697)
Citation 2

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electronic trading, future exchanges, electronic systems

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 Columbia University - School of International & Public Affairs (SIPA)
Downloads 427 (95,510)
Citation 57

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

19.

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 386 (107,326)

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

20.

The Costs and Benefits of Liquidity Regulations

FRB of New York Staff Report No. 852, Rev. February 2022
Number of pages: 96 Posted: 20 Jun 2018 Last Revised: 25 Feb 2022
Daniel Roberts, Asani Sarkar and Or Shachar
Harvard University, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 378 (109,900)
Citation 15

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liquidity coverage ratio, banks, liquidity creation, lending, systemic risk

21.

Can Competition between Brokers Mitigate Agency Conflicts with Their Customers?

Number of pages: 39 Posted: 06 Feb 1997
Sugato Chakravarty and Asani Sarkar
Krannert School of Management and Federal Reserve Bank of New York
Downloads 377 (110,210)

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22.

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 365 (114,271)
Citation 5

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

23.

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, Vrije Universiteit Amsterdam and Federal Reserve Bank of New York
Downloads 342 (122,824)
Citation 1

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

24.

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
Krannert School of Management and Federal Reserve Bank of New York
Downloads 327 (128,872)

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Informed Trading with Multiple Competitive Brokers

Number of pages: 50 Posted: 16 Oct 1996
Sugato Chakravarty and Asani Sarkar
Krannert School of Management and Federal Reserve Bank of New York
Downloads 320 (131,746)

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26.

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 278 (152,496)

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securitization, catastrophe risk, property, derivatives

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 271 (155,838)
Citation 5

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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

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Crisis, The Federal Reserve, Liquidity facilities, Credit risk

28.

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 269 (157,705)
Citation 1

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

29.

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 251 (169,008)
Citation 43

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

30.

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 233 (181,488)
Citation 11

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interest rate derivatives, price reporting, public transparency, standardization

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 223 (188,751)
Citation 2

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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

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Liquidity externality, Internet stock picks, market efficiency

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 197 (212,042)
Citation 1

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

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

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33.

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 190 (219,049)

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

34.

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 177 (232,924)
Citation 2

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

35.

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
Federal Reserve Bank of New York and Columbia University - School of International & Public Affairs (SIPA)
Downloads 167 (244,615)
Citation 12

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

36.

Dealers and the Dealer of Last Resort: Evidence from MBS Markets in the COVID-19 Crisis

FRB of New York Staff Report No. 933, Rev. October 2021
Number of pages: 56 Posted: 21 Jul 2020 Last Revised: 06 Oct 2021
University of Hawaii, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Johns Hopkins University - Carey Business School
Downloads 129 (300,527)
Citation 1

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arbitrage, cash, dealer, liquidity, MBS, specified pool, TBA

37.

Is Size Everything?

FRB of New York Staff Report No. 864
Number of pages: 60 Posted: 17 Aug 2018
Samuel Antill and Asani Sarkar
Harvard Business School and Federal Reserve Bank of New York
Downloads 115 (326,479)

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“too big to fail,” systemic risk, implicit subsidies, interconnectedness, complexity, financial crisis, bailout, TARP, Fed, GSIB

38.

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
ProfessorNew 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 114 (328,533)
Citation 16

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

39.

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
Harvard Business School, Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 99 (361,235)

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

40.

The Pre-Crisis Monetary Policy Implementation Framework

FRB of NY Staff Report No. 809
Number of pages: 37 Posted: 22 Mar 2017 Last Revised: 21 Jun 2018
Alexander Kroeger, John McGowan and Asani Sarkar
Analysis Group, Inc., Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 72 (436,179)
Citation 5

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Fed, monetary policy framework, pre-crisis

41.

COVID Response: The Term Asset-Backed Securities Loan Facility

FRB of New York Staff Report No. 979
Number of pages: 29 Posted: 29 Sep 2021
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 35 (593,684)

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TALF, COVID crisis, Fed facility, securitization, ABS market, Federal Reserve lending facilities _________________

42.

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

Posted: 23 Dec 1999
Asani Sarkar
Federal Reserve Bank of New York

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43.

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
Krannert School of Management, Federal Reserve Bank of New York and California State University, Los Angeles - Department of Finance and Law

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44.

Estimating the Adverse Selection Cost in Markets with Multiple Informed Traders

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

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45.

A Model of Brokers? Trading, with Applications to Order Flow Internalization, Insider Trading and Off-Exchange Stock Sales

Posted: 25 Jun 1997
Sugato Chakravarty and Asani Sarkar
Krannert School of Management and Federal Reserve Bank of New York

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Other Papers (1)

Total Downloads: 12
1.

Liquidity, Returns and Investor Heterogeneity in the Corporate Bond Markets

Number of pages: 38 Posted: 17 Mar 2008 Last Revised: 02 Jul 2020
Robert Guo, Asani Sarkar and Til Schuermann
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Oliver Wyman
Downloads 12

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corporate bonds, liquidity, retail traders, institutions