Tobias Adrian

International Monetary Fund

700 19th Street, N.W.

Washington, DC 20431

United States

http://www.tobiasadrian.com

SCHOLARLY PAPERS

94

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Rank 399

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63,838

SSRN CITATIONS
Rank 216

SSRN RANKINGS

Top 216

in Total Papers Citations

2,003

CROSSREF CITATIONS

1,415

Ideas:
“  Tobias Adrian is the Financial Counsellor and Director of the Monetary and Capital Markets Department of the International Monetary Fund (IMF). In this capacity, he leads the IMF’s work on financial sector surveillance, monetary and macroprudential policies, financial regulation, bank resolution, debt management, and capital markets. He also oversees capacity building activities in IMF member countries with regard to the supervision and regulation of financial systems, bank resolution, central banking, monetary and exchange rate regimes, and debt management.  ”

Scholarly Papers (94)

1.
Downloads 9,302 ( 806)
Citation 159

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 5,373 (2,037)
Citation 128

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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 2,451 (7,775)
Citation 185

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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 1,478 (17,336)

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credit intermediation, financial institutions

2.
Downloads 5,332 ( 1,993)

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, Vrije Universiteit 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, Vrije Universiteit 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, University of Technology Sydney (UTS), 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), Université Paris Dauphine, 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, Cornell University, 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 - Faculty of Economics and Administration, 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), Vrije Universiteit 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, University of Maryland, 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), Vrije Universiteit 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, Vrije Universiteit 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, Vrije Universiteit 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, Vrije Universiteit 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 5,332 (2,077)

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non-standard errors, multi-analyst approach, liquidity

3.

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 (BIS)
Downloads 5,095 (2,285)
Citation 72

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financial architecture, regulatory reform

4.
Downloads 3,654 ( 4,053)
Citation 111

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 3,370 (4,590)
Citation 148

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

Covar

NBER Working Paper No. w17454
Number of pages: 45 Posted: 06 Oct 2011 Last Revised: 12 Mar 2022
Tobias Adrian and Markus K. Brunnermeier
International Monetary Fund and Princeton University - Department of Economics
Downloads 284 (146,866)
Citation 16

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5.

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 (BIS)
Downloads 3,646 (4,076)
Citation 351

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financial market liquidity, financial cycles, financial intermediary leverage

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 (BIS)
Downloads 3,104 (5,407)
Citation 9

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monetary policy, financial intermediation, financial cycles

7.

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 (BIS)
Downloads 2,893 (6,083)
Citation 108

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

8.

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 (BIS)
Downloads 2,819 (6,332)
Citation 58

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credit crisis, monetary policy

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 Universita della Svizzera italiana (USI Lugano)
Downloads 1,999 (10,786)
Citation 6

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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 Universita della Svizzera italiana (USI Lugano)
Downloads 450 (87,948)
Citation 20

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Asset Pricing, Bayesian Learning, CAPM Anomalies, Value Premium

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 1,767 (13,371)
Citation 28

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shadow banking, financial stability, financial intermediation

11.
Downloads 1,645 ( 15,033)

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 1,645 (14,774)
Citation 34

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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

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12.

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 (BIS)
Downloads 1,444 (18,263)
Citation 38

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monetary policy, financial intermediation

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 (BIS)
Downloads 1,392 (19,310)
Citation 99

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financial intermediation, monetary policy, risk-taking channel

14.

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 Frankfurt School of Finance and Management
Downloads 1,361 (19,962)
Citation 134

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

15.

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 (BIS)
Downloads 1,109 (27,071)
Citation 68

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Financial cycle, financial intermediation, leverage, liquidity

16.

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 1,088 (27,818)
Citation 52

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asset pricing, stochastic volatility, cross section of returns

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 950 (33,699)
Citation 151

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cross sectional asset pricing, financial intermediation

18.
Downloads 932 ( 34,602)
Citation 76

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 767 (44,566)
Citation 33

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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 165 (244,698)
Citation 49

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

19.

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 863 (38,544)
Citation 1

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hedge funds, systemic risk, LTCM crisis

20.

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, Frankfurt School of Finance and Management and Bank for International Settlements (BIS)
Downloads 628 (58,905)
Citation 72

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return predictability, financial intermediation, macroeconomic dynamics, macroprudential policy

21.
Downloads 611 ( 60,865)
Citation 12

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 428 (93,300)
Citation 16

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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: 11 Nov 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 179 (228,191)

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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
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asset pricing, cost of capital, financial intermediation

22.

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 (BIS)
Downloads 603 (61,891)
Citation 4

Abstract:

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security brokers and dealers, contracting in financial institutions

23.
Downloads 595 ( 63,206)
Citation 13

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 594 (62,614)
Citation 9

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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
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financial intermediation, shadow bank policies, systemic risk

24.
Downloads 566 ( 67,094)
Citation 4

Intraday Market Making with Overnight Inventory Costs

Journal of Financial Markets, Forthcoming
Number of pages: 65 Posted: 29 Sep 2016 Last Revised: 13 Apr 2020
International Monetary Fund, Columbia University, Federal Reserve Bank of New York, Citadel LLC and Columbia University
Downloads 447 (88,636)
Citation 2

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inventory control, jump-driven stochastic control, market microstructure theory, market making

Intraday Market Making with Overnight Inventory Costs

FRB of NY Staff Report No. 799
Number of pages: 57 Posted: 25 Oct 2016
International Monetary Fund, Columbia University, Federal Reserve Bank of New York, Citadel LLC and Columbia University
Downloads 119 (316,967)
Citation 2

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market microstructure theory, market liquidity, market making, 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, Citadel LLC and Columbia University
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Financial Intermediation, market liquidity, market making, Market microstructure theory

25.

Risk Appetite and Exchange Rates

FRB of New York Staff Report No. 361
Number of pages: 45 Posted: 05 Feb 2009 Last Revised: 29 Mar 2018
Tobias Adrian, Erkko Etula and Hyun Song Shin
International Monetary Fund, Independent and Bank for International Settlements (BIS)
Downloads 548 (69,857)
Citation 54

Abstract:

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asset pricing, financial intermediaries, exchange rates

26.

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 Wharton Financial Institutions Center
Downloads 533 (72,367)
Citation 5

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

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 476 (82,217)
Citation 1

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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 46 (542,159)
Citation 1

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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:

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D03, D86

28.

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 515 (75,475)
Citation 23

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shadow banking, financial stability monitoring, financial intermediation

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 Brookings Institution
Downloads 484 (80,614)
Citation 60

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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 Brookings Institution
Downloads 2 (882,461)
Citation 4
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financial conditions, financial stability, leaning against the wind, macroprudential policy, monetary policy rules, monetary policy transmission, risk taking channel of monetary policy

30.

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 (BIS)
Downloads 473 (83,897)
Citation 12

Abstract:

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monetary policy, liquidity facilities

31.

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 399 (102,063)
Citation 20

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

32.

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 391 (104,447)

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shadow banking, regulation

33.
Downloads 376 (109,222)
Citation 16

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, Board of Governors of the Federal Reserve System and Brookings Institution
Downloads 295 (141,146)
Citation 6

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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, Board of Governors of the Federal Reserve System and Brookings Institution
Downloads 81 (408,144)
Citation 13

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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, Board of Governors of the Federal Reserve System and Brookings Institution

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34.
Downloads 371 (110,829)
Citation 34

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 Frankfurt School of Finance and Management
Downloads 197 (209,655)
Citation 26

Abstract:

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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 Frankfurt School of Finance and Management
Downloads 174 (233,896)
Citation 3

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TIPS, inflation expectations, affine term structure models

35.

What Financing Data Reveal About Dealer Leverage

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 364 (113,240)

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

36.
Downloads 346 (119,715)
Citation 30

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 Citadel LLC
Downloads 346 (118,939)

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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 Citadel LLC
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Citation 18
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corporate bonds, liquidity, market making, regulation, Treasury securities

Market Liquidity after the Financial Crisis

Annual Review of Financial Economics, Vol. 9, pp. 43-83, 2017
Posted: 03 Jan 2018
International Monetary Fund, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Citadel LLC

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37.

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: 116 Posted: 18 Aug 2015 Last Revised: 05 Dec 2017
Tobias Adrian, Richard K. Crump and Erik Vogt
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Citadel LLC
Downloads 336 (123,728)
Citation 13

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

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 (BIS)
Downloads 336 (122,988)
Citation 18

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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 (BIS)

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39.

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, Frankfurt School of Finance and Management and Bank for International Settlements (BIS)
Downloads 328 (126,992)
Citation 35

Abstract:

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

40.

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 328 (126,992)
Citation 22

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Federal Reserve, lender of last resort

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 Frankfurt School of Finance and Management
Downloads 258 (161,952)
Citation 4

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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 Frankfurt School of Finance and Management
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Citation 9
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Dynamic Asset Pricing, Fama-MacBeth Regressions, GMM, Minimum Distance Estimation, Reduced Rank Regression, Time-varying Betas

42.
Downloads 249 (168,339)
Citation 29

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 224 (185,772)
Citation 2

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systemic risk, repo

Repo and Securities Lending

NBER Working Paper No. w18549
Number of pages: 21 Posted: 20 Nov 2012 Last Revised: 09 Mar 2022
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 25 (668,461)
Citation 3

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43.
Downloads 226 (184,647)
Citation 8

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 Brown University
Downloads 224 (185,772)
Citation 6

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monetary policy, macro-finance, financial stability

Financial Vulnerability and Monetary Policy

CEPR Discussion Paper No. DP12680
Number of pages: 69 Posted: 05 Feb 2018
Tobias Adrian and Fernando Duarte
International Monetary Fund and Brown University
Downloads 2 (882,461)
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Financial Stability, Macro-Finance, monetary policy

44.

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 189 (217,701)

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financial intermediation, macro-finance, capital regulations

45.

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 188 (218,661)
Citation 3

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asset pricing, learning, asymmetric information, limits to arbitrage

46.

An Index of Treasury Market Liquidity: 1991-2017

FRB of NY Staff Report No. 827
Number of pages: 39 Posted: 17 Nov 2017
Tobias Adrian, Michael J. Fleming and Erik Vogt
International Monetary Fund, Federal Reserve Bank of New York and Citadel LLC
Downloads 169 (239,524)
Citation 8

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Treasury securities, market liquidity, funding liquidity, volatility, index

47.
Downloads 152 (261,619)
Citation 14

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 152 (262,319)
Citation 16

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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
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DSGE, Financial Intermediation, liquidity regulation, systemic risk

48.

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 136 (285,571)
Citation 4

Abstract:

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monetary policy, interest rates, term structure, discriminant analysis

49.
Downloads 134 (288,823)
Citation 131

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 Centre for Economic Policy Research (CEPR)
Downloads 134 (289,956)
Citation 3

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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 Centre for Economic Policy Research (CEPR)
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Citation 105
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50.

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, Frankfurt School of Finance and Management and Bank for International Settlements (BIS)
Downloads 124 (305,987)
Citation 6

Abstract:

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monetary policy, financial intermediation, capital markets

51.
Downloads 118 (317,236)
Citation 54

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 118 (318,868)
Citation 23

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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
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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 Board of Governors of the Federal Reserve System
Downloads 83 (402,240)
Citation 1

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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 Last Revised: 18 Mar 2022
International Monetary Fund, Federal Reserve Bank of Boston - Supervision and Regulation, Federal Reserve Bank of New York and Board of Governors of the Federal Reserve System
Downloads 31 (626,103)
Citation 1

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

53.

The Term Structure of Growth-at-Risk

IMF Working Paper No. 18/180
Number of pages: 41 Posted: 22 Aug 2018
International Monetary Fund, International Monetary Fund, Brookings Institution and International Monetary Fund (IMF)
Downloads 112 (329,121)

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Financial stability, downside risk, macrofinancial linkages, volatility paradox, quantile regression, General, International Business Cycles

54.

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 103 (348,168)
Citation 6

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procyclical leverage, endogenous uncertainty, heterogenous agents

55.

Multimodality in Macro-Financial Dynamics

FRB of New York Staff Report No. 903
Number of pages: 52 Posted: 20 Nov 2019 Last Revised: 05 Dec 2020
Tobias Adrian, Nina Boyarchenko and Domenico Giannone
International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
Downloads 92 (374,323)
Citation 13

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density impulse response, multimodality, nonparametric density estimator

56.

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 Citadel LLC
Downloads 84 (395,544)

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financial stability, monetary policy, fiscal policy, regulatory policy

Monetary and Macroprudential Policy with Endogenous Risk

IMF Working Paper No. 20/236
Number of pages: 56 Posted: 05 Jan 2021
International Monetary Fund, Brown University, Brookings Institution and International Monetary Fund MCMMP
Downloads 74 (430,155)

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Monetary and Macroprudential Policy with Endogenous Risk

CEPR Discussion Paper No. DP14435
Number of pages: 36 Posted: 03 Mar 2020
International Monetary Fund, Brown University, Brookings Institution and International Monetary Fund MCMMP
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Macro-Finance, macroprudential policy, monetary policy

58.

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. Groen
International Monetary Fund, Independent and Federal Reserve Bank of New York
Downloads 74 (425,186)
Citation 6

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

A Leverage-Based Measure of Financial Stability

Discussion Papers on Business and Economics, University of Southern Denmark, 1/2018
Number of pages: 38 Posted: 12 Feb 2018
Tobias Adrian, Karol Borowiecki and Alexander Tepper
International Monetary Fund, University of Southern Denmark and Federal Reserve Bank of New York
Downloads 46 (542,159)

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Leverage, financial crisis, financial stability, minimum market size for stability, MinMaSS, stability ratio, Long-Term Capital Management, LTCM

A Leverage-Based Measure of Financial Stability

Discussion Papers on Business and Economics, University of Southern Denmark, 3/2021
Number of pages: 38 Posted: 22 Mar 2021
Tobias Adrian, Karol Borowiecki and Alexander Tepper
International Monetary Fund, University of Southern Denmark and Federal Reserve Bank of New York
Downloads 24 (676,246)

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Leverage, financial crisis, financial stability, minimum market size for stability, MinMaSS, stability ratio, Long-Term Capital Management, LTCM

A Leverage-Based Measure of Financial Stability

CEPR Discussion Paper No. DP12676
Number of pages: 40 Posted: 05 Feb 2018 Last Revised: 07 Sep 2020
Tobias Adrian, Karol Borowiecki and Alexande Tepper
International Monetary Fund, University of Southern Denmark and Columbia University - Graduate School of Architecture, Planning and Preservation
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financial crisis, Financial Stability, leverage, Long-Term Capital Management, LTCM, minimum market size for stability, MinMaSS, stability ratio

60.

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
Downloads 67 (448,382)

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systemic risk, banking liquidity, capital regulation, liquidity regulation

61.

Forecasting Macroeconomic Risks

FRB of New York Staff Report No. 914
Number of pages: 33 Posted: 21 Feb 2020
Massachusetts Institute of Technology (MIT) - Sloan School of Management, International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
Downloads 66 (451,777)
Citation 3

Abstract:

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macroeconomic uncertainty, quantile regressions, financial conditions

62.

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: 16 Dec 2017
International Monetary Fund, Federal Reserve Bank of Boston - Supervision and Regulation, Federal Reserve Bank of New York and Board of Governors of the Federal Reserve System
Downloads 65 (455,299)

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

63.

Monetary Policy and Financial Conditions: A Cross-Country Study

FRB of New York Staff Report No. 890, June 2019
Number of pages: 22 Posted: 10 Jun 2019
International Monetary Fund, Brown University, International Monetary Fund and International Monetary Fund (IMF)
Downloads 63 (462,474)
Citation 4

Abstract:

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monetary policy, financial conditions, financial stability

64.

A Leverage-Based Measure of Financial Instability

FRB of New York Staff Report No. 688, Rev. Feb. 2021
Number of pages: 38 Posted: 29 Aug 2014 Last Revised: 23 Mar 2021
Tobias Adrian, Karol Borowiecki and Alexander Tepper
International Monetary Fund, University of Southern Denmark and Federal Reserve Bank of New York
Downloads 57 (485,232)
Citation 2

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leverage, financial crisis, financial stability, minimum market size for stability, MinMaSS, instability ratio, Long-Term Capital Management, LTCM

65.

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 57 (485,232)
Citation 21

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A Quantitative Model for the Integrated Policy Framework

IMF Working Paper No. 20/122
Number of pages: 57 Posted: 12 Aug 2020
International Monetary Fund, International Monetary Fund (IMF), Sveriges Riksbank, International Monetary Fund MCMMP and International Monetary Fund (IMF)
Downloads 52 (514,219)
Citation 1

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Purchasing power, Supply and demand, Exchange rate policy, Exchange premiums, Exchange markets, Monetary Policy, FX Intervention, Emerging Economies, DSGE Model., WP, UIP, EME, inflation expectation, real exchange rate, emerge market economy

A Quantitative Model for the Integrated Policy Framework

CEPR Discussion Paper No. DP15065
Number of pages: 58 Posted: 28 Jul 2020 Last Revised: 16 Aug 2020
International Monetary Fund, International Monetary Fund (IMF), Sveriges Riksbank, International Monetary Fund MCMMP and International Monetary Fund (IMF)
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Capital Flow Measures, DSGE model, emerging economies, FX intervention, monetary policy

67.

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 51 (509,651)

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macroprudential policy, microprudential policy, procyclicality

68.

Procyclical Leverage and Value-at-Risk

NBER Working Paper No. w18943
Number of pages: 43 Posted: 05 Apr 2013 Last Revised: 06 Apr 2022
Tobias Adrian and Hyun Song Shin
International Monetary Fund and Bank for International Settlements (BIS)
Downloads 45 (536,539)
Citation 52

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The Non-U.S. Bank Demand for U.S. Dollar Assets

IMF Working Paper No. 20/101
Number of pages: 47 Posted: 23 Jul 2020
Tobias Adrian and Peichu Xie
International Monetary Fund and International Monetary Fund (IMF)
Downloads 38 (584,064)

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The Non-U.S. Bank Demand for U.S. Dollar Assets

CEPR Discussion Paper No. DP14437
Number of pages: 47 Posted: 03 Mar 2020 Last Revised: 14 Jul 2021
Tobias Adrian and Peichu Xie
International Monetary Fund and International Monetary Fund (IMF)
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70.

A Quantitative Microfounded Model for the Integrated Policy Framework

IMF Working Paper No. 2021/292
Number of pages: 61 Posted: 04 Feb 2022 Last Revised: 01 Mar 2022
International Monetary Fund, International Monetary Fund (IMF), International Monetary Fund (IMF), International Monetary Fund (IMF) and International Monetary Fund MCMMP
Downloads 36 (582,016)

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Monetary Policy, FX Intervention, Capital Controls, Sudden Stops, DSGE Model

71.

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 Last Revised: 06 Feb 2022
Tobias Adrian, Paolo Colla and Hyun Song Shin
International Monetary Fund, Bocconi University - Department of Finance and Bank for International Settlements (BIS)
Downloads 31 (610,373)
Citation 5

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72.

A Medium-Scale DSGE Model for the Integrated Policy Framework

IMF Working Paper No. 2022/015
Number of pages: 99 Posted: 30 Mar 2022
Tobias Adrian, Vitor Gaspar and Francis Vitek
International Monetary Fund, International Monetary Fund (IMF) and International Monetary Fund (IMF)
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Monetary Policy, Foreign Exchange Intervention, Fiscal Policy, Macroprudential Policy, Capital Flow Management, Dynamic Stochastic General Equilibrium Model, Small Open Economy, Policy transmission mechanisms, price inflation, scenario assumption, policy rule parameter, policy rule response coefficient, Mortgages, Consumption, Foreign exchange intervention, Inflation, Capital flow management, Global, Africa

73.

A Review of Shadow Banking

CEPR Discussion Paper No. DP13363
Number of pages: 38 Posted: 11 Dec 2018 Last Revised: 17 Dec 2018
International Monetary Fund, Federal Reserve Bank of New York, International Monetary Fund (IMF) and Federal Reserve Bank of New York
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74.
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Citation 1

Risk Management and Regulation

CEPR Discussion Paper No. DP12422
Number of pages: 35 Posted: 06 Nov 2017 Last Revised: 14 Nov 2017
Tobias Adrian
International Monetary Fund
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Citation 1
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Banking, Financial crises, regulation, Risk management

Risk Management and Regulation

Journal of Risk, Vol. 21, No. 1, 2017
Number of pages: 36 Posted: 01 Nov 2017
Tobias Adrian
International Monetary Fund
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Risk Management, Financial Regulation, Global Financial Crisis, Regulatory Innovation, Financial Innovation

75.

Liquidity, Leverage, and Regulation Ten Years after the Global Financial Crisis

CEPR Discussion Paper No. DP13350
Number of pages: 31 Posted: 03 Dec 2018
Tobias Adrian, John Kiff and Hyun Song Shin
International Monetary Fund, International Monetary Fund and Bank for International Settlements (BIS)
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Citation 7
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76.

Forecasting Macroeconomic Risks

CEPR Discussion Paper No. DP14436
Number of pages: 35 Posted: 03 Mar 2020
Massachusetts Institute of Technology (MIT), International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
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77.

Risk-Taking Channel of Monetary Policy

CEPR Discussion Paper No. DP12677
Number of pages: 28 Posted: 05 Feb 2018
Tobias Adrian, Arturo Estrella and Hyun Song Shin
International Monetary Fund, Rensselaer Polytechnic Institute and Bank for International Settlements (BIS)
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Citation 5
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risk taking channel of monetary policy

78.

Managing Monetary Tradeoffs in Vulnerable Open Economies

CEPR Discussion Paper No. DP16972
Number of pages: 54 Posted: 04 Feb 2022
International Monetary Fund, International Monetary Fund (IMF), International Monetary Fund (IMF), Sveriges Riksbank and International Monetary Fund MCMMP
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capital controls, DSGE model, FX intervention, monetary policy, Sudden stops

79.

The Rise of Digital Money

Annual Review of Financial Economics, Vol. 13, pp. 57-77, 2021
Posted: 09 Nov 2021
Tobias Adrian and Tommaso Mancini-Griffoli
International Monetary Fund and International Monetary Fund (IMF)

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80.

Financial Stability Monitoring

FEDS Notes No. 2014-08-04
Posted: 14 Jul 2021
Tobias Adrian, Daniel M. Covitz and Nellie Liang
International Monetary Fund, Board of Governors of the Federal Reserve System and Brookings Institution

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81.

Financial Stability Monitoring

FEDS Working Paper No. 2013-21
Posted: 14 Jul 2021
Tobias Adrian, Daniel M. Covitz and Nellie Liang
International Monetary Fund, Board of Governors of the Federal Reserve System and Brookings Institution

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82.

Dealer Balance Sheet Capacity and Market Liquidity During the 2013 Selloff in Fixed Income Markets

FEDS Notes No. 2013-10-16
Posted: 09 Jul 2021 Last Revised: 03 Jul 2021
International Monetary Fund, Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System, affiliation not provided to SSRN, U.S. Federal Reserve Board - Division of Monetary Affairs and Hong Kong Monetary Authority

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83.

Multimodality in Macro-Financial Dynamics

CEPR Discussion Paper No. DP15088
Number of pages: 60 Posted: 28 Jul 2020 Last Revised: 21 Aug 2020
Tobias Adrian, Nina Boyarchenko and Domenico Giannone
International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
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84.

Global Price of Risk and Stabilization Policies

CEPR Discussion Paper No. DP13435
Number of pages: 64 Posted: 15 Jan 2019
Tobias Adrian, Daniel Stackman and Erik Vogt
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Citadel LLC
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Citation 5
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Financial Stability, Fiscal policy, monetary policy, regulatory policy

85.

The Term Structure of Growth-at-Risk

CEPR Discussion Paper No. DP13349
Number of pages: 44 Posted: 03 Dec 2018
International Monetary Fund, International Monetary Fund, Brookings Institution and International Monetary Fund (IMF)
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Citation 12
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86.

Liquidity, Leverage, and Regulation 10 Years after the Global Financial Crisis

Annual Review of Financial Economics, Vol. 10, pp. 1-24, 2018
Posted: 08 Nov 2018
Tobias Adrian, John Kiff and Hyun Song Shin
International Monetary Fund, International Monetary Fund and Bank for International Settlements (BIS)

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87.

Monetary Policy and Financial Conditions: A Cross-Country Study

CEPR Discussion Paper No. DP12681
Number of pages: 24 Posted: 05 Feb 2018
International Monetary Fund, Brown University, International Monetary Fund and International Monetary Fund (IMF)
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financial conditions, Financial Stability, monetary policy

88.

Dynamic Leverage Asset Pricing

CEPR Discussion Paper No. DP11466
Number of pages: 58 Posted: 30 Aug 2016 Last Revised: 02 Dec 2019
Tobias Adrian, Emanuel Moench and Hyun Song Shin
International Monetary Fund, Frankfurt School of Finance and Management and Bank for International Settlements (BIS)
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intermediary asset pricing, Leverage Cycles, Macro-Finance

89.

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 Citadel LLC
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Citation 2
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asset management, dynamic asset pricing, flight-to-safety, intermediary asset pricing, nonparametric estimation and inference, risk-return tradeoff, volatility

90.

Financial Stability Monitoring

FEDS Notes No. 2014-08-04 https://doi.org/10.17016/2380-7172.0026
Posted: 16 Dec 2014
Tobias Adrian, Daniel M. Covitz and Nellie Liang
International Monetary Fund, Board of Governors of the Federal Reserve System and Brookings Institution

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91.

Dealer Balance Sheet Capacity and Market Liquidity During the 2013 Selloff in Fixed Income Markets

FEDS Notes No. 2013-10-16 https://doi.org/10.17016/2380-7172.0004
Posted: 17 Dec 2013
International Monetary Fund, Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of New York, U.S. Federal Reserve Board - Division of Monetary Affairs and Hong Kong Monetary Authority

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92.

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 (BIS)

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financial intermediation, credit supply

93.

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 (BIS)

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94.

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

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Monetary policy, liquidity backstop, money markets