Yuriy Kitsul

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington , DC 20551

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 48,281

SSRN RANKINGS

Top 48,281

in Total Papers Downloads

665

CITATIONS

2

Scholarly Papers (6)

The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors

FEDS Working Paper
Number of pages: 50 Posted: 30 Aug 2014 Last Revised: 07 May 2015
Stefania D'Amico, Roger Fan and Yuriy Kitsul
Federal Reserve Bank of Chicago, Federal Reserve Bank of Chicago and Board of Governors of the Federal Reserve System
Downloads 119 (200,419)

Abstract:

Treasury bonds, repo contracts, supply-demand factors, liquidity, Large Scale Asset Purchase programs, Treasury auctions

The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors

Number of pages: 52 Posted: 08 Dec 2013 Last Revised: 01 Nov 2014
Stefania D'Amico, Roger Fan and Yuriy Kitsul
Federal Reserve Bank of Chicago, Federal Reserve Bank of Chicago and Board of Governors of the Federal Reserve System
Downloads 45 (354,906)

Abstract:

Treasury bonds, Repo contracts, Special repo rate, Supply-demand factors, Liquidity, Large Scale Asset Purchase programs, Treasury auctions

The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors

FRB of Chicago Working Paper No. 2013-22
Number of pages: 46 Posted: 15 Dec 2013
Stefania D'Amico, Roger Fan and Yuriy Kitsul
Federal Reserve Bank of Chicago, Federal Reserve Bank of Chicago and Board of Governors of the Federal Reserve System
Downloads 34 (396,008)

Abstract:

Repo Market, Special Repo Rate, Monetary Policy

Market-Wide Price Pressures, Excess Comovement, and a Transient Factor in Stock Returns

AFA 2012 Chicago Meetings Paper
Number of pages: 65 Posted: 18 Mar 2011 Last Revised: 21 Dec 2011
Yuriy Kitsul and Reza S. Mahani
Board of Governors of the Federal Reserve System and Georgia State University - Department of Finance
Downloads 136 (180,274)

Abstract:

Market-wide Price Pressures, Excess Comovement, and a Transient Factor in Stock Returns

Number of pages: 65 Posted: 14 Sep 2009 Last Revised: 26 Jan 2011
Yuriy Kitsul and Reza S. Mahani
Board of Governors of the Federal Reserve System and Georgia State University - Department of Finance
Downloads 39 (376,265)

Abstract:

Funding Liquidity Risk and the Cross-section of MBS Returns

Number of pages: 43 Posted: 24 Dec 2014 Last Revised: 06 Jun 2017
Yuriy Kitsul and Marcelo Ochoa
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 82 (259,399)

Abstract:

MBS market, liquidity, risk premiums, supply-demand factors

Funding Liquidity Risk and the Cross-Section of MBS Returns

FEDS Working Paper No. 2016-052
Number of pages: 44 Posted: 28 Jun 2016
Yuriy Kitsul and Marcelo Ochoa
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 51 (335,774)

Abstract:

Agency mortgage-backed securities, Dollar rolls, Implied financing rates, Liquidity, Expected returns, Large Scale Asset Purchase programs

4.

Macroeconomic Variables, Euler Equation and Future Returns on Treasury Bonds: (Semi)Nonparametric Investigation

Number of pages: 46 Posted: 10 Apr 2008 Last Revised: 20 Sep 2010
Ai-ru Meg Cheng and Yuriy Kitsul
University of California, Santa Cruz - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 117 (200,898)

Abstract:

no-arbitrage, pricing kernel, semi-nonparametric. non-parametric, GMM

5.

The Economics of Options-Implied Inflation Probability Density Functions

NBER Working Paper No. w18195
Number of pages: 43 Posted: 29 Jun 2012
Yuriy Kitsul and Jonathan H. Wright
Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 11 (472,880)
Citation 2

Abstract:

6.

Market Risk-Based Capital Requirements, Trading Activity, and Bank Risk

Journal of Banking and Finance, Forthcoming
Number of pages: 49 Posted: 03 Oct 2016 Last Revised: 18 Sep 2017
Dmytro Holod, Yuriy Kitsul and Gokhan Torna
SUNY at Stony Brook University - College of Business, Board of Governors of the Federal Reserve System and SUNY at Stony Brook University - College of Business
Downloads 0 (426,256)

Abstract:

Market Risk-Based Capital Requirements; Capital Regulations; Trading Activity; Systematic Risk; Idiosyncratic Risk; Information Environment