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good deal bounds, model-uncertainty-induced preference functional, asset pricing theory, Knightian uncertainty, model uncertainty, contingent claim pricing
ambiguity, credit risk, credit crunch
Systemic risk, macroprudential policy, DSGE, amplification, capital regulation, financial intermediation
systemic risk, macroprudential policy, DSGE, amplification, capital regulation, financial intermediation
Quadratic Term Structure Models, regime switching, inflation rates, oil prices, Gibbs sampling, eigenfunction expansion
Derivative pricing, multi-factor exactly solvable models, eigenfunction expansion, continuous algebraic Riccati equations, Lyapunov equations, representation theory of Lie algebras, Hermite polynomials
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
Expropriation, foreign direct investment, energy sector, binary choice model
Derivative pricing, quadratic term structure models, Fourier transform, Fast Fourier transform
Term structure models, Ornstein-Uhlenbeck processes, jump diffusions, derivative pricing, eigenfunction expansion, perturbation theory, asymptotic solutions
duopoly, real options, jump-diffusion processes, Levy processes
liquidity regulation, systemic risk, DSGE, financial intermediation
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP12247.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
DSGE, Financial Intermediation, liquidity regulation, systemic risk
agency mortgage-backed securities, option-adjusted spreads, prepayment risk, OAS smile
estimating function, spectral decomposition, eigenfunctions, eigenvalues, time irreversible processes, quadratic term structure models, affine term structure models, Ornstein-Uhlenbeck process
bond liquidity, regulation, dealer constraints
File name: DP12246.
Treasury auction, primary dealers, financial intermediation, information aggregation
This is a National Bureau of Economic Research Paper. NBER charges a fee of
$5.00 for this paper.
File name: nber.
File name: DP11518.
asymmetric information, auctions, Financial Intermediation, Treasury
rational inattention, asset prices in intermediated economies
rational inattention, disagreement, financial intermediation
supply contracts, finacial covenants, counterparty risk premia
entropy, coentropy, term structure, yields, excess returns
File name: DP11227.
entropy; coentropy; term structure; yields; excess returns
Downside risk, entropy, quantile regressions
File name: DP11583.
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: mafi.
procyclical leverage, endogenous uncertainty, heterogenous agents
CDS basis, capital requirements, M-CAPM
policy announcement, risk premium, uncertainty, financial conditions
financial intermediation, macro-finance, capital regulations
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