Tobias Adrian

International Monetary Fund

700 19th Street, N.W.

Washington, DC 20431

United States

http://www.tobiasadrian.com

SCHOLARLY PAPERS

65

DOWNLOADS
Rank 310

SSRN RANKINGS

Top 310

in Total Papers Downloads

42,715

CITATIONS
Rank 330

SSRN RANKINGS

Top 330

in Total Papers Citations

1,266

Scholarly Papers (65)

1.
Downloads 6,788 ( 659)
Citation 38

Shadow Banking

Number of pages: 81 Posted: 16 Jul 2010
Federal Reserve Banks - Federal Reserve Bank of New York, International Monetary Fund, Federal Reserve Bank of New York and Bank of America Merrill Lynch
Downloads 4,493 (1,339)
Citation 38

Abstract:

shadow banking, financial intermediation

Shadow Banking

FRB of New York Staff Report No. 458
Number of pages: 81 Posted: 20 Jul 2010 Last Revised: 09 Aug 2014
Federal Reserve Banks - Federal Reserve Bank of New York, International Monetary Fund, Federal Reserve Bank of New York and Bank of America Merrill Lynch
Downloads 1,728 (7,137)
Citation 38

Abstract:

shadow banking, financial intermediation

Shadow Banking

Economic Policy Review, Vol. 19, No. 2, 2013
Number of pages: 16 Posted: 13 Jan 2014
Federal Reserve Banks - Federal Reserve Bank of New York, International Monetary Fund, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 567 (38,310)
Citation 38

Abstract:

credit intermediation, financial institutions

2.

Liquidity and Leverage

FRB of New York Staff Report No. 328
Number of pages: 39 Posted: 04 Jun 2008 Last Revised: 11 Nov 2010
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements
Downloads 2,653 (2,709)
Citation 213

Abstract:

financial market liquidity, financial cycles, financial intermediary leverage

3.
Downloads 2,431 ( 4,022)
Citation 136

CoVaR

FRB of New York Staff Report No. 348
Number of pages: 45 Posted: 19 Sep 2008 Last Revised: 17 Oct 2013
Tobias Adrian and Markus K. Brunnermeier
International Monetary Fund and Princeton University - Department of Economics
Downloads 2,322 (4,275)
Citation 133

Abstract:

value at risk, systemic risk, risk spillovers, financial architecture

Covar

NBER Working Paper No. w17454
Number of pages: 45 Posted: 06 Oct 2011
Tobias Adrian and Markus K. Brunnermeier
International Monetary Fund and Princeton University - Department of Economics
Downloads 109 (212,343)
Citation 136

Abstract:

Learning About Beta: Time-Varying Factor Loadings, Expected Returns, and the Conditional CAPM

Federal Reserve Bank of New York Staff Report No. 193
Number of pages: 48 Posted: 09 Apr 2003 Last Revised: 14 Oct 2008
Tobias Adrian and Francesco A. Franzoni
International Monetary Fund and USI Lugano
Downloads 1,881 (6,114)
Citation 18

Abstract:

Asset Pricing, Bayesian Learning, CAPM Anomalies

Learning about Beta: Time-Varying Factor Loadings, Expected Returns, and the Conditional CAPM

Swiss Finance Institute Research Paper No. 08-36
Number of pages: 51 Posted: 21 Nov 2008
Tobias Adrian and Francesco A. Franzoni
International Monetary Fund and USI Lugano
Downloads 409 (57,852)
Citation 18

Abstract:

Asset Pricing, Bayesian Learning, CAPM Anomalies, Value Premium

5.

The Shadow Banking System: Implications for Financial Regulation

FRB of New York Staff Report No. 382
Number of pages: 18 Posted: 30 Jul 2009
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements
Downloads 2,183 (3,163)
Citation 14

Abstract:

financial architecture, regulatory reform

6.

Liquidity, Monetary Policy, and Financial Cycles

Current Issues in Economics and Finance, Vol. 14, No. 1, January/February 2008
Number of pages: 7 Posted: 11 Feb 2008
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements
Downloads 2,132 (3,403)
Citation 97

Abstract:

monetary policy, financial intermediation, financial cycles

7.

Money, Liquidity, and Monetary Policy

FRB of New York Staff Report No. 360
Number of pages: 14 Posted: 22 Jan 2009
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements
Downloads 1,656 (3,921)
Citation 77

Abstract:

credit crisis, monetary policy

8.

Financial Intermediaries, Financial Stability, and Monetary Policy

FRB of New York Staff Report No. 346
Number of pages: 39 Posted: 15 Sep 2008
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements
Downloads 1,468 (5,656)
Citation 67

Abstract:

monetary policy, financial stability, financial intermediation, security brokers and dealers, commercial banks

9.
Downloads 1,412 ( 10,119)
Citation 5

Shadow Banking Regulation

FRB of New York Staff Report No. 559
Number of pages: 64 Posted: 20 Apr 2012
Tobias Adrian and Adam B. Ashcraft
International Monetary Fund and Federal Reserve Bank of New York
Downloads 1,412 (9,911)
Citation 5

Abstract:

shadow banking, financial regulation

Shadow Banking Regulation

Annual Review of Financial Economics, Vol. 4, pp. 99-140, 2012
Posted: 04 Nov 2012
Tobias Adrian and Adam B. Ashcraft
International Monetary Fund and Federal Reserve Bank of New York

Abstract:

10.

Shadow Banking: A Review of the Literature

FRB of New York Staff Report No. 580
Number of pages: 38 Posted: 13 Nov 2012
Tobias Adrian and Adam B. Ashcraft
International Monetary Fund and Federal Reserve Bank of New York
Downloads 967 (9,025)
Citation 4

Abstract:

shadow banking, financial stability, financial intermediation

11.

Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk

FRB of New York Staff Report No. 254
Number of pages: 47 Posted: 21 Jul 2006
Tobias Adrian and Joshua V. Rosenberg
International Monetary Fund and Federal Reserve Bank of New York
Downloads 895 (18,181)
Citation 55

Abstract:

asset pricing, stochastic volatility, cross section of returns

12.

Pricing the Term Structure with Linear Regressions

FRB of New York Staff Report No. 340
Number of pages: 68 Posted: 22 Mar 2009 Last Revised: 07 May 2013
Tobias Adrian, Richard K. Crump and Emanuel Moench
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 835 (22,734)
Citation 13

Abstract:

term structure of interest rates, Fama-MacBeth regressions, dynamic asset pricing model estimation

13.

Financial Intermediaries and Monetary Economics

FRB of New York Staff Report No. 398
Number of pages: 75 Posted: 20 Oct 2009 Last Revised: 10 Nov 2010
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements
Downloads 783 (13,732)
Citation 74

Abstract:

financial intermediation, monetary policy, risk-taking channel

14.

Monetary Cycles, Financial Cycles and the Business Cycle

FRB of New York Staff Report No. 421
Number of pages: 19 Posted: 06 Jan 2010
Tobias Adrian, Arturo Estrella and Hyun Song Shin
International Monetary Fund, Rensselaer Polytechnic Institute and Bank for International Settlements
Downloads 742 (18,306)
Citation 3

Abstract:

monetary policy, financial intermediation

15.

Measuring Risk in the Hedge Fund Sector

Current Issues in Economics and Finance, Vol. 13, No. 3, March/April 2007
Number of pages: 7 Posted: 27 Sep 2007
Tobias Adrian
International Monetary Fund
Downloads 693 (26,367)
Citation 9

Abstract:

hedge funds, systemic risk, LTCM crisis

16.

Liquidity and Financial Cycles

BIS Working Paper No. 256
Number of pages: 38 Posted: 22 Jul 2008
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements
Downloads 662 (24,252)
Citation 51

Abstract:

Financial cycle, financial intermediation, leverage, liquidity

17.

Financial Intermediaries and the Cross-Section of Asset Returns

Journal of Finance, December 2014, AFA 2012 Chicago Meetings Paper
Number of pages: 58 Posted: 23 Mar 2011 Last Revised: 20 Nov 2014
Tobias Adrian, Erkko Etula and Tyler Muir
International Monetary Fund, Independent and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 627 (28,621)
Citation 22

Abstract:

cross sectional asset pricing, financial intermediation

18.

Procyclical Leverage and Value-at-Risk

FRB of New York Staff Report No. 338
Number of pages: 29 Posted: 31 Jul 2008 Last Revised: 31 Mar 2011
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements
Downloads 552 (37,812)
Citation 45

Abstract:

security brokers and dealers, contracting in financial institutions

19.
Downloads 519 ( 43,443)
Citation 4

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 439 (53,015)
Citation 4

Abstract:

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 80 (261,481)
Citation 4

Abstract:

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

Disagreement and Learning in a Dynamic Contracting Model

FRB of New York Staff Report No. 269, USC Marshall School of Business Research Paper
Number of pages: 41 Posted: 06 Nov 2005 Last Revised: 22 May 2008
Tobias Adrian and Mark M. Westerfield
International Monetary Fund and University of Washington
Downloads 440 (52,864)
Citation 12

Abstract:

Dynamic Contracts, Heterogeneous Beliefs, Learning, Disagreement Risk, Principal-Agent, Continuous Time

Disagreement and Learning in a Dynamic Contracting Model

Review of Financial Studies, Forthcoming
Number of pages: 41 Posted: 17 Dec 2008
Tobias Adrian and Mark M. Westerfield
International Monetary Fund and University of Washington
Downloads 40 (369,907)
Citation 12

Abstract:

Dynamic Contracts, Heterogeneous Beliefs, Learning, Disagreement Risk, Principal-Agent, Continuous Time

Disagreement and Learning in a Dynamic Contracting Model

The Review of Financial Studies, Vol. 22, Issue 10, pp. 3873-3906, 2009
Posted: 28 Sep 2009
Tobias Adrian and Mark M. Westerfield
International Monetary Fund and University of Washington

Abstract:

D03, D86

21.

Financial Intermediation, Asset Prices and Macroeconomic Dynamics

FRB of New York Staff Report No. 422
Number of pages: 42 Posted: 07 Jan 2010
Tobias Adrian, Emanuel Moench and Hyun Song Shin
International Monetary Fund, Deutsche Bundesbank and Bank for International Settlements
Downloads 357 (48,684)
Citation 19

Abstract:

return predictability, financial intermediation, macroeconomic dynamics, macroprudential policy

22.

The Federal Reserve’s Primary Dealer Credit Facility

Current Issues in Economics and Finance, Vol. 15, No. 4, August 2009
Number of pages: 12 Posted: 15 Sep 2009
International Monetary Fund, affiliation not provided to SSRN and Federal Reserve Bank of New York
Downloads 325 (62,259)
Citation 12

Abstract:

Primary Dealer Credit Facility, primary dealers, financial stability, monetary policy, Federal Reserve, triparty repo

23.

Dodd-Frank One Year on: Implications for Shadow Banking

FRB of New York Staff Report No. 533
Number of pages: 7 Posted: 04 Jan 2012
Tobias Adrian
International Monetary Fund
Downloads 324 (67,976)

Abstract:

shadow banking, regulation

Monetary Policy, Financial Conditions, and Financial Stability

FRB of New York Staff Report No. 690
Number of pages: 38 Posted: 13 Sep 2014
Tobias Adrian and Nellie Liang
International Monetary Fund and Federal Reserve Board
Downloads 315 (79,258)
Citation 30

Abstract:

risk-taking channel of monetary policy, monetary policy transmission, monetary policy rules, financial stability, financial conditions, macroprudential policy

Monetary Policy, Financial Conditions, and Financial Stability

CEPR Discussion Paper No. DP11394
Number of pages: 45 Posted: 18 Jul 2016
Tobias Adrian and Nellie Liang
International Monetary Fund and Federal Reserve Board
Downloads 0
Citation 30
  • Add to Cart

Abstract:

financial conditions, financial stability, leaning against the wind, macroprudential policy, monetary policy rules, monetary policy transmission, risk taking channel of monetary policy

25.

What Financing Data Reveal about Dealer Leverage

Current Issues in Economics and Finance, Vol. 11, No. 3, March 2005
Number of pages: 7 Posted: 05 Apr 2005
Tobias Adrian and Michael J. Fleming
International Monetary Fund and Federal Reserve Bank of New York
Downloads 290 (77,844)
Citation 17

Abstract:

leverage, primary dealers, risk taking, volatility, treasury market

Intraday Market Making with Overnight Inventory Costs

Number of pages: 56 Posted: 29 Sep 2016 Last Revised: 03 Aug 2017
International Monetary Fund, Columbia University, Federal Reserve Bank of New York and Columbia University
Downloads 221 (115,679)

Abstract:

Market microstructure theory, market liquidity, market making, financial intermediation

Intraday Market Making with Overnight Inventory Costs

FRB of NY Staff Report No. 799
Number of pages: 50 Posted: 25 Oct 2016
International Monetary Fund, Columbia University, Federal Reserve Bank of New York and Columbia University
Downloads 70 (287,671)

Abstract:

market microstructure, market liquidity, high-frequency trading, financial intermediation

Intraday Market Making with Overnight Inventory Costs

CEPR Discussion Paper No. DP12245
Number of pages: 56 Posted: 29 Aug 2017
International Monetary Fund, Columbia University, Federal Reserve Bank of New York and Columbia University
Downloads 0
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Abstract:

Financial Intermediation, market liquidity, market making, Market microstructure theory

The Cost of Capital of the Financial Sector

Number of pages: 57 Posted: 22 Dec 2015 Last Revised: 17 Dec 2016
Tobias Adrian, Evan Friedman and Tyler Muir
International Monetary Fund, Columbia University and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 175 (143,983)

Abstract:

The Cost of Capital of the Financial Sector

FRB of NY Staff Report No. 755
Number of pages: 52 Posted: 11 Jan 2016 Last Revised: 21 Sep 2017
Tobias Adrian, Evan Friedman and Tyler Muir
International Monetary Fund, Columbia University and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 104 (219,683)

Abstract:

cost of capital, financial intermediation, asset pricing, capital structure

The Cost of Capital of the Financial Sector

CEPR Discussion Paper No. DP11031
Number of pages: 53 Posted: 12 Jan 2016
Tobias Adrian, Evan Friedman and Tyler Muir
International Monetary Fund, Columbia University and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 4 (554,313)
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Abstract:

asset pricing, cost of capital, financial intermediation

28.
Downloads 283 ( 89,386)
Citation 4

Financial Intermediary Balance Sheet Management

FRB of New York Staff Report No. 532
Number of pages: 30 Posted: 04 Jan 2012
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements
Downloads 283 (88,894)
Citation 4

Abstract:

Capital, debt, leverage, procyclicality

Financial Intermediary Balance Sheet Management

Annual Review of Financial Economics, Vol. 3, pp. 289-307, 2011
Posted: 10 Jan 2012
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements

Abstract:

29.

Risk Appetite and Exchange Rates

FRB of New York Staff Report No. 361
Number of pages: 45 Posted: 05 Feb 2009 Last Revised: 10 Nov 2010
Tobias Adrian, Erkko Etula and Hyun Song Shin
International Monetary Fund, Independent and Bank for International Settlements
Downloads 277 (80,907)
Citation 18

Abstract:

asset pricing, financial intermediaries, exchange rates

Financial Stability Policies for Shadow Banking

FRB of New York Staff Report No. 664
Number of pages: 37 Posted: 14 Feb 2014
Tobias Adrian
International Monetary Fund
Downloads 273 (92,488)

Abstract:

shadow bank policies, systemic risk, financial intermediation

Financial Stability Policies for Shadow Banking

CEPR Discussion Paper No. DP10435
Number of pages: 38 Posted: 02 Mar 2015
Tobias Adrian
International Monetary Fund
Downloads 1 (579,783)
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Abstract:

financial intermediation, shadow bank policies, systemic risk

31.
Downloads 274 ( 92,644)

Financial Stability Monitoring

FEDS Working Paper No. 2013-21
Number of pages: 58 Posted: 10 May 2013
Tobias Adrian, Daniel M. Covitz and Nellie Liang
International Monetary Fund, Federal Reserve Board - Division of Research & Statistics and Federal Reserve Board
Downloads 221 (115,167)

Abstract:

Stability, monitoring, vulnerabilities

Financial Stability Monitoring

FRB of New York Staff Report No. 601
Number of pages: 58 Posted: 02 Mar 2013
Tobias Adrian, Daniel M. Covitz and Nellie Liang
International Monetary Fund, Federal Reserve Board - Division of Research & Statistics and Federal Reserve Board
Downloads 53 (327,251)

Abstract:

financial stability, systemic risk

Financial Stability Monitoring

Annual Review of Financial Economics, Vol. 7, pp. 357-395, 2015
Posted: 11 Dec 2015
Tobias Adrian, Daniel M. Covitz and Nellie Liang
International Monetary Fund, Federal Reserve Board - Division of Research & Statistics and Federal Reserve Board

Abstract:

32.

The Term Structure of Inflation Expectations

FRB of New York Staff Report No. 362
Number of pages: 49 Posted: 06 Feb 2009
Tobias Adrian and Hao Z. Wu
International Monetary Fund and Princeton University
Downloads 255 (82,060)
Citation 11

Abstract:

affine term structure models, inflation expectations, stochastic volatility, asset pricing, monetary policy

Decomposing Real and Nominal Yield Curves

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 62 Posted: 03 Sep 2012 Last Revised: 07 Dec 2013
Massachusetts Institute of Technology (MIT) - Sloan School of Management, International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 140 (174,763)

Abstract:

TIPS, inflation expectations, affine term structure models

Pricing TIPS and Treasuries with Linear Regressions

FRB of New York Staff Report No. 570
Number of pages: 57 Posted: 22 Sep 2012 Last Revised: 07 May 2013
Massachusetts Institute of Technology (MIT) - Sloan School of Management, International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 104 (219,683)

Abstract:

TIPS, inflation expectations, affine term structure models

Market Liquidity after the Financial Crisis

FRB of NY Staff Report No. 796
Number of pages: 47 Posted: 20 Oct 2016 Last Revised: 21 Sep 2017
International Monetary Fund, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 228 (111,678)

Abstract:

liquidity, market making, Treasury market, corporate bonds, regulation

Market Liquidity after the Financial Crisis

CEPR Discussion Paper No. DP12248
Number of pages: 49 Posted: 29 Aug 2017
International Monetary Fund, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 0
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Abstract:

corporate bonds, liquidity, market making, regulation, Treasury securities

35.

The Federal Reserve’s Commercial Paper Funding Facility

FRB of New York Staff Report No. 423
Number of pages: 38 Posted: 07 Jan 2010 Last Revised: 24 May 2010
Tobias Adrian, Karin J. Kimbrough and Dina Marchioni
International Monetary Fund, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 212 (95,238)
Citation 15

Abstract:

Federal Reserve, lender of last resort

36.

Nonlinearity and Flight to Safety in the Risk-Return Trade-Off for Stocks and Bonds

FRB of NY Staff Report No. 723
Number of pages: 99 Posted: 18 Aug 2015 Last Revised: 30 Aug 2017
Tobias Adrian, Richard K. Crump and Erik Vogt
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 206 (124,462)

Abstract:

flight to safety, risk-return trade-off, dynamic asset pricing, volatility, nonparametric estimation and inference, intermediary asset pricing, asset management

37.

Shadow Bank Monitoring

FRB of New York Staff Report No. 638
Number of pages: 35 Posted: 03 Oct 2013
Tobias Adrian, Adam B. Ashcraft and Nicola Cetorelli
International Monetary Fund, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 194 (55,381)

Abstract:

shadow banking, financial stability monitoring, financial intermediation

38.
Downloads 194 (130,997)
Citation 4

Repo and Securities Lending

FRB of New York Staff Report No. 529
Number of pages: 20 Posted: 24 Dec 2011
International Monetary Fund, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York - Research and Statistics
Downloads 182 (139,037)
Citation 4

Abstract:

systemic risk, repo

Repo and Securities Lending

NBER Working Paper No. w18549
Number of pages: 21 Posted: 20 Nov 2012
International Monetary Fund, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York - Research and Statistics
Downloads 12 (511,366)
Citation 4

Abstract:

Regression-Based Estimation of Dynamic Asset Pricing Models

FRB of New York Staff Report No. 493
Number of pages: 55 Posted: 12 May 2011 Last Revised: 09 Dec 2014
Tobias Adrian, Richard K. Crump and Emanuel Moench
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 182 (139,037)

Abstract:

dynamic asset pricing, Fama-MacBeth regression, financial econometrics, GMM, minimum distance estimation, reduced rank regression

Regression Based Estimation of Dynamic Asset Pricing Models

CEPR Discussion Paper No. DP10449
Number of pages: 56 Posted: 02 Mar 2015
Tobias Adrian, Richard K. Crump and Emanuel Moench
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 0
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Abstract:

Dynamic Asset Pricing, Fama-MacBeth Regressions, GMM, Minimum Distance Estimation, Reduced Rank Regression, Time-varying Betas

40.

Prices and Quantities in the Monetary Policy Transmission Mechanism

Federal Reserve Bank of New York Staff Report No. 396
Number of pages: 15 Posted: 07 Oct 2009 Last Revised: 10 Nov 2010
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements
Downloads 163 (108,845)
Citation 5

Abstract:

monetary policy, liquidity facilities

41.

Inference, Arbitrage, and Asset Price Volatility

FRB of New York Staff Report No. 187, EFA 2004 Maastricht Meetings
Number of pages: 28 Posted: 13 Jul 2004 Last Revised: 10 Jun 2010
Tobias Adrian
International Monetary Fund
Downloads 162 (150,975)
Citation 4

Abstract:

asset pricing, learning, asymmetric information, limits to arbitrage

42.
Downloads 118 (199,356)

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 118 (200,170)

Abstract:

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
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Abstract:

DSGE, Financial Intermediation, liquidity regulation, systemic risk

Macro Risk Premium and Intermediary Balance Sheet Quantities

FRB of New York Staff Report No. 428
Number of pages: 39 Posted: 03 Feb 2010
Tobias Adrian, Emanuel Moench and Hyun Song Shin
International Monetary Fund, Deutsche Bundesbank and Bank for International Settlements
Downloads 91 (240,849)
Citation 11

Abstract:

monetary policy, financial intermediation, capital markets

Macro Risk Premium and Intermediary Balance Sheet Quantities

IMF Economic Review, Vol. 58, Issue 1, pp. 179-207, 2010
Number of pages: 29 Posted: 18 Oct 2010
Tobias Adrian, Emanuel Moench and Hyun Song Shin
International Monetary Fund, Deutsche Bundesbank and Bank for International Settlements
Downloads 25 (436,069)
Citation 11
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Abstract:

44.

Leverage Asset Pricing

FRB of New York Staff Report No. 625
Number of pages: 45 Posted: 05 Sep 2013
Tobias Adrian, Emanuel Moench and Hyun Song Shin
International Monetary Fund, Deutsche Bundesbank and Bank for International Settlements
Downloads 88 (162,866)
Citation 1

Abstract:

return predictability, cross-sectional asset pricing, financial intermediation, macro-finance

45.

Monetary Tightening Cycles and the Predictability of Economic Activity

Federal Reserve Bank of New York Staff Report No. 397
Number of pages: 16 Posted: 07 Oct 2009
Arturo Estrella and Tobias Adrian
Rensselaer Polytechnic Institute and International Monetary Fund
Downloads 85 (230,849)
Citation 8

Abstract:

monetary policy, interest rates, term structure, discriminant analysis

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 76 (269,695)

Abstract:

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
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Abstract:

Macroprudential Policy: Case Study from a Tabletop Exercise

FRB of NY Staff Report No. 742
Number of pages: 42 Posted: 06 Oct 2015 Last Revised: 30 Aug 2017
International Monetary Fund, Federal Reserve Bank of Boston - Supervision and Regulation, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of Boston
Downloads 63 (299,747)

Abstract:

financial stability, macroprudential policy, monetary policy, financial overheating, tabletop exercise

Macroprudential Policy: Case Study from a Tabletop Exercise

FRB Boston Risk and Policy Analysis Unit Paper No. RPA 15-1
Number of pages: 42 Posted: 07 Sep 2017
International Monetary Fund, Federal Reserve Bank of Boston - Supervision and Regulation, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of Boston
Downloads 4 (560,083)

Abstract:

Financial stability, macroprudential policy, monetary policy, financial overheating, tabletop exercise

48.

Financial Amplification of Foreign Exchange Risk Premia

FRB of New York Staff Report No. 461
Number of pages: 33 Posted: 01 Aug 2010
Tobias Adrian, Erkko Etula and Jan J. J. Groen
International Monetary Fund, Independent and Federal Reserve Bank of New York
Downloads 49 (311,238)

Abstract:

foreign exchange risk premium, systemic risk monitoring, financial intermediation, asset pricing

49.

The Federal Reserve's Commercial Paper Funding Facility

Economic Policy Review, Vol. 17, No. 1, p. 25, May 2011
Number of pages: 15 Posted: 01 Nov 2011
Tobias Adrian, Karin J. Kimbrough and Dina Marchioni
International Monetary Fund, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 39 (346,244)
Citation 15

Abstract:

50.

Discussion of 'An Integrated Framework for Multiple Financial Regulations'

FRB of New York Staff Report No. 583
Number of pages: 11 Posted: 09 Dec 2012
Tobias Adrian
International Monetary Fund
Downloads 36 (352,637)

Abstract:

macroprudential policy, microprudential policy, procyclicality

51.
Downloads 33 (388,258)

Vulnerable Growth

FRB of NY Staff Report No. 794
Number of pages: 44 Posted: 30 Sep 2016 Last Revised: 21 Sep 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 33 (397,481)

Abstract:

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
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Abstract:

52.

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 24 (319,531)

Abstract:

procyclical leverage, endogenous uncertainty, heterogenous agents

53.

Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007-9

NBER Working Paper No. w18335
Number of pages: 56 Posted: 01 Sep 2012
Tobias Adrian, Paolo Colla and Hyun Song Shin
International Monetary Fund, Bocconi University - Department of Finance and Bank for International Settlements
Downloads 15 (475,315)
Citation 12

Abstract:

54.

Procyclical Leverage and Value-at-Risk

NBER Working Paper No. w18943
Number of pages: 43 Posted: 05 Apr 2013
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements
Downloads 3 (524,718)
Citation 45

Abstract:

55.

Macroprudential Policy: A Case Study from a Tabletop Exercise

Economic Policy Review, Issue 23-1, pp. 1-30, 2017
Number of pages: 30 Posted: 02 Mar 2017 Last Revised: 30 Aug 2017
International Monetary Fund, Federal Reserve Bank of Boston - Supervision and Regulation, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of Boston
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Abstract:

financial stability, macroprudential policy, monetary policy, financial overheating, tabletop exercise

56.

Financial Vulnerability and Monetary Policy

FRB of NY Staff Report No. 804
Number of pages: 67 Posted: 30 Dec 2016 Last Revised: 06 Sep 2017
Tobias Adrian and Fernando Duarte
International Monetary Fund and Federal Reserve Bank of New York
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Citation 57

Abstract:

monetary policy, macro-finance, financial stability

57.

Dynamic Leverage Asset Pricing

CEPR Discussion Paper No. DP11466
Number of pages: 49 Posted: 30 Aug 2016
Tobias Adrian, Emanuel Moench and Hyun Song Shin
International Monetary Fund, Deutsche Bundesbank and Bank for International Settlements
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Citation 1
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Abstract:

intermediary asset pricing, Leverage Cycles, Macro-Finance

58.

Global Price of Risk and Stabilization Policies

FRB of NY Staff Report No. 786
Number of pages: 65 Posted: 12 Aug 2016 Last Revised: 31 Aug 2017
Tobias Adrian, Daniel Stackman and Erik Vogt
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of New York
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Abstract:

financial stability, monetary policy, fiscal policy, regulatory policy

59.

Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds

CEPR Discussion Paper No. DP11401
Number of pages: 81 Posted: 25 Jul 2016
Tobias Adrian, Richard K. Crump and Erik Vogt
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of New York
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Abstract:

asset management, dynamic asset pricing, flight-to-safety, intermediary asset pricing, nonparametric estimation and inference, risk-return tradeoff, volatility

60.

Risk Appetite and Exchange Rates

FRB of NY Staff Report No. 750
Number of pages: 22 Posted: 10 Dec 2015 Last Revised: 30 Aug 2017
Tobias Adrian, Erkko Etula and Hyun Song Shin
International Monetary Fund, Independent and Bank for International Settlements
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Citation 17

Abstract:

asset pricing, financial intermediaries, exchange rates

61.

Discussion of 'Systemic Risk and the Solvency-Liquidity Nexus of Banks'

FRB of New York Staff Report No. 722
Number of pages: 11 Posted: 28 Oct 2015
Tobias Adrian
International Monetary Fund
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Abstract:

systemic risk, banking liquidity, capital regulation, liquidity regulation

62.

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
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Abstract:

financial intermediation, macro-finance, capital regulations

63.

Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007-09

FRB of New York Staff Report No. 528, Economic Theory Center Working Paper No. 36-2012
Posted: 24 Dec 2011 Last Revised: 04 Oct 2012
Tobias Adrian, Paolo Colla and Hyun Song Shin
International Monetary Fund, Bocconi University - Department of Finance and Bank for International Settlements

Abstract:

financial intermediation, credit supply

64.

The Changing Nature of Financial Intermediation and the Financial Crisis of 2007–2009

Annual Review of Economics, Vol. 2, pp. 603-618, 2010
Posted: 18 Oct 2010
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements

Abstract:

65.

The Commercial Paper Funding Facility

Posted: 17 Mar 2009
Tobias Adrian, Karin J. Kimbrough and Dina Marchioni
International Monetary Fund, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York

Abstract:

Monetary policy, liquidity backstop, money markets