Nina Boyarchenko

Federal Reserve Bank of New York

Economist

33 Liberty Street

New York, NY 10045

United States

SCHOLARLY PAPERS

29

DOWNLOADS
Rank 5,530

SSRN RANKINGS

Top 5,530

in Total Papers Downloads

7,485

CITATIONS
Rank 12,607

SSRN RANKINGS

Top 12,607

in Total Papers Citations

31

Scholarly Papers (29)

1.

No Good Deals — No Bad Models

FRB of New York Staff Report No. 589, 26th Australasian Finance and Banking Conference 2013
Number of pages: 62 Posted: 22 Dec 2012 Last Revised: 17 Jul 2014
Federal Reserve Bank of New York, London Metropolitan University - Department of Economics, Finance and International Business (EFIB), University of Maryland - Robert H. Smith School of Business and University of Warwick - Financial Options Research Centre (FORC)
Downloads 1,966 (7,237)
Citation 1

Abstract:

Loading...

good deal bounds, model-uncertainty-induced preference functional, asset pricing theory, Knightian uncertainty, model uncertainty, contingent claim pricing

2.

Ambiguity Shifts and the 2007-2008 Financial Crisis

AFA 2012 Chicago Meetings Paper
Number of pages: 92 Posted: 17 Feb 2009 Last Revised: 13 Sep 2011
Nina Boyarchenko
Federal Reserve Bank of New York
Downloads 916 (23,966)
Citation 2

Abstract:

Loading...

ambiguity, credit risk, credit crunch

3.
Downloads 666 ( 37,312)
Citation 5

Intermediary Leverage Cycles and Financial Stability

Becker Friedman Institute for Research in Economics Working Paper No. 2012-010
Number of pages: 65 Posted: 21 Aug 2012
Tobias Adrian and Nina Boyarchenko
International Monetary Fund and Federal Reserve Bank of New York
Downloads 576 (44,597)
Citation 5

Abstract:

Loading...

Systemic risk, macroprudential policy, DSGE, amplification, capital regulation, financial intermediation

Intermediary Leverage Cycles and Financial Stability

FRB of New York Staff Report No. 567
Number of pages: 64 Posted: 15 Aug 2012
Tobias Adrian and Nina Boyarchenko
International Monetary Fund and Federal Reserve Bank of New York
Downloads 90 (279,934)
Citation 5

Abstract:

Loading...

systemic risk, macroprudential policy, DSGE, amplification, capital regulation, financial intermediation

4.

Are Analysts Right? Macroeconomic Factors and Regime Switching in the Term Structure of Interest Rates

AFA 2009 San Francisco Meetings Paper
Number of pages: 43 Posted: 19 Mar 2008 Last Revised: 14 Mar 2010
Nina Boyarchenko
Federal Reserve Bank of New York
Downloads 447 (62,197)

Abstract:

Loading...

Quadratic Term Structure Models, regime switching, inflation rates, oil prices, Gibbs sampling, eigenfunction expansion

5.

Eigenfunction Expansion Method in Multi-Factor Models

Number of pages: 52 Posted: 01 Dec 2004
Nina Boyarchenko and Sergei Levendorskii
Federal Reserve Bank of New York and Calico Science Consulting
Downloads 397 (71,734)
Citation 1

Abstract:

Loading...

Derivative pricing, multi-factor exactly solvable models, eigenfunction expansion, continuous algebraic Riccati equations, Lyapunov equations, representation theory of Lie algebras, Hermite polynomials

6.

Understanding Mortgage Spreads

FRB of New York Staff Report No. 674
Number of pages: 79 Posted: 29 May 2014 Last Revised: 22 Jun 2018
Nina Boyarchenko, Andreas Fuster and David O. Lucca
Federal Reserve Bank of New York, Swiss National Bank - Financial Stability and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 364 (79,412)

Abstract:

Loading...

agency mortgage-backed securities, option-adjusted spreads, prepayment risk, OAS smile

7.

The Eigenfunction Expansion Method in Multi-Factor Quadratic Term Structure Models

Number of pages: 48 Posted: 10 Jan 2006
Nina Boyarchenko and Sergei Levendorskii
Federal Reserve Bank of New York and Calico Science Consulting
Downloads 321 (91,611)
Citation 8

Abstract:

Loading...

Derivative pricing, swaptions, caps and floors, multi-factor exactly solvable models, eigenfunction expansion, continuous algebraic Riccati equations, Lyapunov equations, representation theory of Lie algebras, Hermite polynomials

8.

Turning Off the Tap: Determinants of Expropriation in the Energy Sector

Number of pages: 14 Posted: 20 Feb 2007
Nina Boyarchenko
Federal Reserve Bank of New York
Downloads 257 (116,195)

Abstract:

Loading...

Expropriation, foreign direct investment, energy sector, binary choice model

9.

On Errors and Bias of Fourier Transform Methods in Quadratic Term Structure Models

Number of pages: 29 Posted: 10 Jan 2006
Nina Boyarchenko and Sergei Levendorskii
Federal Reserve Bank of New York and Calico Science Consulting
Downloads 228 (131,143)
Citation 7

Abstract:

Loading...

Derivative pricing, quadratic term structure models, Fourier transform, Fast Fourier transform

10.

Asymptotic Pricing in Term Structure Models Driven by Jump-Diffusions of Ornstein-Uhlenbeck Type

Number of pages: 27 Posted: 14 Mar 2006
Nina Boyarchenko and Sergei Levendorskii
Federal Reserve Bank of New York and Calico Science Consulting
Downloads 213 (139,969)

Abstract:

Loading...

Term structure models, Ornstein-Uhlenbeck processes, jump diffusions, derivative pricing, eigenfunction expansion, perturbation theory, asymptotic solutions

11.

Counterparty Risk in Material Supply Contracts

FRB of New York Staff Report No. 694
Number of pages: 48 Posted: 11 Oct 2014 Last Revised: 15 Jan 2015
Nina Boyarchenko and Anna M. Costello
Federal Reserve Bank of New York and University of Michigan, Stephen M. Ross School of Business
Downloads 144 (197,750)

Abstract:

Loading...

supply contracts, finacial covenants, counterparty risk premia

12.

Exit in Duopoly with Asymmetric Market Shares Under Jump-Diffusion Uncertainty

Number of pages: 28 Posted: 24 Feb 2006
Nina Boyarchenko
Federal Reserve Bank of New York
Downloads 141 (201,092)

Abstract:

Loading...

duopoly, real options, jump-diffusion processes, Levy processes

13.

On the Scale of Financial Intermediaries

FRB of NY Staff Report No. 743
Number of pages: 37 Posted: 06 Oct 2015
Tobias Adrian, Nina Boyarchenko and Hyun Song Shin
International Monetary Fund, Federal Reserve Bank of New York and Bank for International Settlements (BIS)
Downloads 139 (203,434)

Abstract:

Loading...

financial intermediation, macro-finance, capital regulations

14.
Downloads 135 (208,243)

Liquidity Policies and Systemic Risk

FRB of New York Staff Report No. 661
Number of pages: 44 Posted: 12 Jan 2014
Tobias Adrian and Nina Boyarchenko
International Monetary Fund and Federal Reserve Bank of New York
Downloads 135 (208,888)

Abstract:

Loading...

liquidity regulation, systemic risk, DSGE, financial intermediation

Liquidity Policies and Systemic Risk

CEPR Discussion Paper No. DP12247
Number of pages: 49 Posted: 29 Aug 2017
Tobias Adrian and Nina Boyarchenko
International Monetary Fund and Federal Reserve Bank of New York
Downloads 0
  • Add to Cart

Abstract:

Loading...

DSGE, Financial Intermediation, liquidity regulation, systemic risk

15.

Estimating Equations for a Class of Time-Irreversible Multi-Factor Models

Number of pages: 26 Posted: 31 Jan 2008
Nina Boyarchenko and Sergei Levendorskii
Federal Reserve Bank of New York and Calico Science Consulting
Downloads 113 (238,386)

Abstract:

Loading...

estimating function, spectral decomposition, eigenfunctions, eigenvalues, time irreversible processes, quadratic term structure models, affine term structure models, Ornstein-Uhlenbeck process

16.

Trends in Credit Market Arbitrage

FRB of NY Staff Report No. 784
Number of pages: 32 Posted: 20 Jul 2016 Last Revised: 11 Nov 2017
Nina Boyarchenko, Pooja Gupta, Nick Steele and Jacqueline Yen
Federal Reserve Bank of New York, Federal Reserve Banks - 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 109 (244,543)

Abstract:

Loading...

CDS basis, capital requirements, M-CAPM

17.

Credit Market Choice

FRB of New York Staff Report No. 863
Number of pages: 66 Posted: 07 Aug 2018
Nina Boyarchenko, Anna M. Costello and Or Shachar
Federal Reserve Bank of New York, University of Michigan, Stephen M. Ross School of Business and Federal Reserve Bank of New York
Downloads 107 (247,714)

Abstract:

Loading...

CDS, corporate bonds, hedging, regulation, CCPs

18.

Market Confidence and Monetary Policy

Number of pages: 38 Posted: 02 Dec 2015 Last Revised: 08 Dec 2015
Nina Boyarchenko, Valentin Haddad and Matthew C. Plosser
Federal Reserve Bank of New York, University of California, Los Angeles (UCLA) - Anderson School of Management and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 99 (261,247)

Abstract:

Loading...

Dealer Balance Sheets and Bond Liquidity Provision

FRB of NY Staff Report No. 803
Number of pages: 46 Posted: 30 Dec 2016 Last Revised: 06 Sep 2017
Tobias Adrian, Nina Boyarchenko and Or Shachar
International Monetary Fund, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 98 (264,815)

Abstract:

Loading...

bond liquidity, regulation, dealer constraints

Dealer Balance Sheets and Bond Liquidity Provision

CEPR Discussion Paper No. DP12246
Number of pages: 48 Posted: 29 Aug 2017
Tobias Adrian, Nina Boyarchenko and Or Shachar
International Monetary Fund, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 0
  • Add to Cart

Abstract:

Loading...

Taking Orders and Taking Notes: Dealer Information Sharing in Treasury Markets

FRB of New York Staff Report No. 726
Number of pages: 57 Posted: 22 Apr 2015
Nina Boyarchenko, David O. Lucca and Laura Veldkamp
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and New York University - Stern School of Business
Downloads 80 (301,332)

Abstract:

Loading...

Treasury auction, primary dealers, financial intermediation, information aggregation

Taking Orders and Taking Notes: Dealer Information Sharing in Treasury Markets

NBER Working Paper No. w22461
Number of pages: 57 Posted: 01 Aug 2016
Nina Boyarchenko, David O. Lucca and Laura Veldkamp
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and New York University - Stern School of Business
Downloads 11 (584,877)

Abstract:

Loading...

Taking Orders and Taking Notes: Dealer Information Sharing in Treasury Markets

CEPR Discussion Paper No. DP11518
Number of pages: 67 Posted: 26 Sep 2016 Last Revised: 12 Feb 2018
Nina Boyarchenko, David O. Lucca and Laura Veldkamp
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and New York University - Stern School of Business
Downloads 1 (664,626)
  • Add to Cart

Abstract:

Loading...

asymmetric information, auctions, Financial Intermediation, Treasury

21.
Downloads 90 (277,684)

Vulnerable Growth

FRB of NY Staff Report No. 794
Number of pages: 56 Posted: 30 Sep 2016 Last Revised: 15 Nov 2017
Tobias Adrian, Nina Boyarchenko and Domenico Giannone
International Monetary Fund, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 90 (279,934)

Abstract:

Loading...

Downside risk, entropy, quantile regressions

Vulnerable Growth

CEPR Discussion Paper No. DP11583
Number of pages: 46 Posted: 24 Oct 2016
Tobias Adrian, Nina Boyarchenko and Domenico Giannone
International Monetary Fund, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 0
  • Add to Cart

Abstract:

Loading...

22.

Intermediary Balance Sheets

FRB of New York Staff Report No. 651
Number of pages: 43 Posted: 17 Nov 2013
Tobias Adrian and Nina Boyarchenko
International Monetary Fund and Federal Reserve Bank of New York
Downloads 74 (312,381)

Abstract:

Loading...

procyclical leverage, endogenous uncertainty, heterogenous agents

Information Acquisition and Financial Intermediation

FRB of New York Staff Report No. 571
Number of pages: 53 Posted: 22 Sep 2012
Nina Boyarchenko
Federal Reserve Bank of New York
Downloads 42 (415,655)

Abstract:

Loading...

rational inattention, asset prices in intermediated economies

Information Acquisition and Financial Intermediation

Number of pages: 43 Posted: 15 Mar 2012
Nina Boyarchenko
Federal Reserve Bank of New York
Downloads 32 (458,650)

Abstract:

Loading...

rational inattention, disagreement, financial intermediation

24.

The Federal Reserve and Market Confidence

FRB of NY Staff Report No. 773
Number of pages: 57 Posted: 31 May 2016 Last Revised: 12 Sep 2017
Nina Boyarchenko, Valentin Haddad and Matthew C. Plosser
Federal Reserve Bank of New York, University of California, Los Angeles (UCLA) - Anderson School of Management and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 69 (324,699)

Abstract:

Loading...

policy announcement, risk premium, uncertainty, financial conditions

Term Structures of Asset Prices and Returns

FRB of NY Staff Report No. 774
Number of pages: 46 Posted: 13 Apr 2016 Last Revised: 30 Aug 2017
David K. Backus, Nina Boyarchenko and Mikhail Chernov
NYU Stern School of Business, Federal Reserve Bank of New York and UCLA Anderson
Downloads 47 (396,885)

Abstract:

Loading...

entropy, coentropy, term structure, yields, excess returns

Term Structures of Asset Prices and Returns

NBER Working Paper No. w22162
Number of pages: 53 Posted: 11 Apr 2016
David K. Backus, Nina Boyarchenko and Mikhail Chernov
NYU Stern School of Business, Federal Reserve Bank of New York and UCLA Anderson
Downloads 20 (527,138)

Abstract:

Loading...

Term Structures of Asset Prices and Returns

CEPR Discussion Paper No. DP11227
Number of pages: 48 Posted: 18 Apr 2016
David K. Backus, Nina Boyarchenko and Mikhail Chernov
NYU Stern School of Business, Federal Reserve Bank of New York and UCLA Anderson
Downloads 0
  • Add to Cart

Abstract:

Loading...

entropy; coentropy; term structure; yields; excess returns

The Long and Short of It: The Post-Crisis Corporate CDS Market

FRB of New York Staff Report No. 879
Number of pages: 65 Posted: 15 Feb 2019
Nina Boyarchenko, Anna M. Costello and Or Shachar
Federal Reserve Bank of New York, University of Michigan, Stephen M. Ross School of Business and Federal Reserve Bank of New York
Downloads 59 (356,709)

Abstract:

Loading...

CDS positions, CDS transactions, dealer market power

The Long and Short of it: The Post-Crisis Corporate CDS Market

CEPR Discussion Paper No. DP13535
Number of pages: 67 Posted: 19 Feb 2019 Last Revised: 25 Feb 2019
Nina Boyarchenko, Anna M. Costello and Or Shachar
Federal Reserve Bank of New York, University of Michigan, Stephen M. Ross School of Business and Federal Reserve Bank of New York
Downloads 0
  • Add to Cart

Abstract:

Loading...

CDS positions, CDS transactions, dealer market power

27.

Bank-Intermediated Arbitrage

FRB of New York Staff Report No. 858
Number of pages: 64 Posted: 20 Jun 2018 Last Revised: 19 Jul 2018
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 41 (411,183)

Abstract:

Loading...

bank regulation, arbitrage, hedge funds

28.

Flighty Liquidity

FRB of New York Staff Report No. 870
Number of pages: 57 Posted: 23 Oct 2018 Last Revised: 17 Mar 2019
Nina Boyarchenko, Domenico Giannone and Or Shachar
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 32 (447,558)

Abstract:

Loading...

corporate bond liquidity, liquidity uncertainty, quantile regressions

29.

The Eigenfunction Expansion Method in Multi-Factor Quadratic Term Structure Models

Mathematical Finance, Vol. 17, No. 4, pp. 503-539, October 2007
Number of pages: 38 Posted: 14 Sep 2007
Nina Boyarchenko and Sergei Levendorskii
Federal Reserve Bank of New York and Calico Science Consulting
Downloads 27 (471,443)
Citation 7
  • Add to Cart

Abstract:

Loading...